A new attempt to identify long-term precursors for endogenous financial crises in the market correlation structures

DOI10.1088/1742-5468/ac59abOpenAlexW4224035626MaRDI QIDQ5078664

Thomas Guhr, Anton J. Heckens

Publication date: 23 May 2022

Published in: Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2107.09048

zbMATH Keywords

machine learningquantitative financeclustering techniquesrisk measure and management

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Related Items

New collectivity measures for financial covariances and correlations, Identifying dominant industrial sectors in market states of the S&P 500 financial data, The Markowitz's mean-variance interpretation under the efficient market hypothesis in the context of critical recession periods

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Analysis of time series subject to changes in regime
• The index cohesive effect on stock market correlations
• Stability and hierarchy of quasi-stationary states: financial markets as an example
• Dependence structure of market states
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS
• Dissecting financial markets: sectors and states
• Least squares quantization in PCM
• A Review of Two Decades of Correlations, Hierarchies, Networks and Clustering in Financial Markets
• Theory of Financial Risk and Derivative Pricing
• DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
• Uncovering the dynamics of correlation structures relative to the collective market motion
• Quasi-stationary states in temporal correlations for traffic systems: Cologne orbital motorway as an example
• Collective behavior of stock price movements - a random matrix theory approach