Search Results - subject:"Random matrix theory"

ON THE APPLICATION OF THE CROSS-CORRELATIONS IN THE CHINESE FUND MARKET: DESCRIPTIVE PROPERTIES AND SCALING BEHAVIORS

DENG, WEIBING; LI, WEI; CAI, XU; WANG, QIUPING A. - In: Advances in Complex Systems (ACS) 14 (2011) 01, pp. 97-109

intermittence phenomenon in the distribution of the cross-correlation coefficients. Also by employing the random matrix theory (RMT …

Persistent link: https://www.econbiz.de/10008829631

The evolutionary synchronization of the exchange rate system in ASEAN+6

Feng, Xiaobing; Hu, Haibo; Wang, Xiaofan - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 24, pp. 5785-5793

Although there are extensive researches on the behavior of the world currency network, the complexity of the Asian regional currency system is not well understood regardless of its importance. Using daily exchange rates this paper examines exchange rate co-movements in the region before and...

Persistent link: https://www.econbiz.de/10010588520

Dynamics of implied volatility surfaces from random matrix theory

Kim, Min Jae; Lee, Sun Young; Hwang, Dong Il; Kim, Soo Yong - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 14, pp. 2762-2769

We analyze the dynamics of the implied volatility surface of KOSPI 200 futures options from random matrix theory. To … of eigenvalues in a noisy regime is distinguishably smaller than a random matrix theory prediction. We discern the …

Persistent link: https://www.econbiz.de/10010589882

Strong approximation of eigenvalues of large dimensional Wishart matrices by roots of generalized Laguerre polynomials

Dette, Holger - 2001

Persistent link: https://www.econbiz.de/10009776761

Topological properties of stock networks based on minimal spanning tree and random matrix theory in financial time series

Eom, Cheoljun; Oh, Gabjin; Jung, Woo-Sung; Jeong, Hawoong; … - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 6, pp. 900-906

estimated network is the correlation matrix created by random matrix theory. We found that the consistency between the two …

Persistent link: https://www.econbiz.de/10010874198

Structure of a financial cross-correlation matrix under attack

Lim, Gyuchang; Kim, SooYong; Kim, Junghwan; Kim, Pyungsoo; … - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 18, pp. 3851-3858

matrix theory (RMT), network theory, and the correlation coefficient distributions, we show that the global structure of a … ‘global’ means the overall effect of the replacement on other untouched returns. Through statistical analyses such as random …

Persistent link: https://www.econbiz.de/10010589557

Effect of changing data size on eigenvalues in the Korean and Japanese stock markets

Eom, Cheoljun; Jung, Woo-Sung; Kaizoji, Taisei; Kim, … - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 22, pp. 4780-4786

In this study, we attempted to determine how eigenvalues change, according to random matrix theory (RMT), in stock …

Persistent link: https://www.econbiz.de/10010591512

Random matrix analysis of network Laplacians

Jalan, Sarika; Bandyopadhyay, Jayendra N. - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 2, pp. 667-674

We analyse the eigenvalue fluctuations of the Laplacian of various networks under the random matrix theory framework … of the Laplacian of these networks follow Gaussian orthogonal ensemble statistics of the random matrix theory …

Persistent link: https://www.econbiz.de/10010873013

The δn statistic for the β-Hermite ensemble

Le Caër, G.; Male, C.; Delannay, R. - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 14, pp. 3384-3398

The fluctuation δn of the nth unfolded eigenvalue was recently characterized for the classical Gaussian ensembles of N×N random matrices (GOE, GUE, GSE). It is investigated here for the β-Hermite ensemble as a function of the reciprocal of the temperature β by Monte Carlo simulations. The...

Persistent link: https://www.econbiz.de/10011062710

Random Matrix Theory and Macro-Economic Time-Series: An Illustration Using the Evolution of Business Cycle Synchronisation, 1886-2006

Ormerod, Paul - In: Economics - The Open-Access, Open-Assessment E-Journal 2 (2008), pp. 1-10

The aim of this paper is to show that random matrix theory (RMT) can be a useful addition to the economist?s tool … may be dominated by noise rather than by true information. Random matrix theory was developed in physics to overcome this …

Persistent link: https://www.econbiz.de/10005082985