Search Results - subject:"matrix theory"

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 …

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

A RANDOM-MATRIX-THEORY-BASED ANALYSIS OF STOCKS OF MARKETS FROM DIFFERENT COUNTRIES

COELHO, RICARDO; RICHMOND, PETER; HUTZLER, STEFAN; … - In: Advances in Complex Systems (ACS) 11 (2008) 05, pp. 655-668

Correlations of stocks in time have been widely studied. Both the random matrix theory approach and the graphical … correlation between stocks traded in markets of different countries, we show that the random matrix theory approach is able to …

Persistent link: https://www.econbiz.de/10005050873

Random matrix theory filters in portfolio optimisation: A stability and risk assessment

Daly, J.; Crane, M.; Ruskin, H.J. - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 16, pp. 4248-4260

Random matrix theory (RMT) filters, applied to covariance matrices of financial returns, have recently been shown to …

Persistent link: https://www.econbiz.de/10010589903

Hubbard model and the origin of ferromagnetism

Tasaki, H. - In: The European Physical Journal B - Condensed Matter and … 64 (2008) 3, pp. 365-372

Persistent link: https://www.econbiz.de/10009282719

Topologies and Laplacian spectra of a deterministic uniform recursive tree

Zhang, Zhongzhi; Zhou, Shuigeng; Qi, Yi; Guan, Jihong - In: The European Physical Journal B - Condensed Matter and … 63 (2008) 4, pp. 507-513

Persistent link: https://www.econbiz.de/10009282850