Permutation invariant Gaussian matrix models for financial correlation matrices
From MaRDI portal
Publication:6608263
DOI10.1016/J.PHYSA.2024.130015MaRDI QIDQ6608263
Sanjaye Ramgoolam, Michael Stephanou, George Barnes
Publication date: 19 September 2024
Published in: Physica A (Search for Journal in Brave)
Gaussianitystatistical mechanicssymmetric group representation theoryfinancial correlationshigh-frequency foreign exchange datapermutation invariant matrix models
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Computing the nearest correlation matrix--a problem from finance
- Beyond universality in random matrix theory
- On covariation estimation for multivariate continuous Itō semimartingales with noise in non-synchronous observation schemes
- Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency
- Cleaning large correlation matrices: tools from random matrix theory
- Random matrices: universality of local eigenvalue statistics
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
- Characteristic vectors of bordered matrices with infinite dimensions
- On covariance estimation of non-synchronously observed diffusion processes
- Gaussianity and typicality in matrix distributional semantics
- Permutation invariant Gaussian matrix models
- Detecting correlations and triangular arbitrage opportunities in the Forex by means of multifractal detrended cross-correlations analysis
- Linguistic matrix theory
- A Fourier transform method for nonparametric estimation of multivariate volatility
- Hidden symmetries and large \(N\) factorisation for permutation invariant matrix observables
- Efficient covariance estimation for asynchronous noisy high-frequency data
- MAHALANOBIS DISTANCE AND ITS APPLICATION FOR DETECTING MULTIVARIATE OUTLIERS
- Realized kernels in practice: trades and quotes
- A Brownian-Motion Model for the Eigenvalues of a Random Matrix
- RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS
- Detecting intraday financial market states using temporal clustering
- Dissecting financial markets: sectors and states
- Permutation invariant Gaussian two-matrix models
- High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
- DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
Related Items (1)
This page was built for publication: Permutation invariant Gaussian matrix models for financial correlation matrices
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6608263)
