We propose a route for the evaluation of risk based on a transformation of the covariance matrix. The approach uses a … then has similar statistical properties in terms of their probability distributions. The method is tested using historical …

probability distribution of relative gains which matches the high frequency historical data of the NASDAQ stock exchange index …

entropies are compared with those of stochastically generated symbolic sequences and the nature of correlations present in this …

presence of correlations and its relation with variability has not been widely explored. In this work we apply the detrended … sites located in Mexico. We systematically calculate the correlation exponents and the sample entropy (SE) of geoelectric … particular, a complex behavior, characterized by a high entropy across several scales and crossover in the correlation exponents …

Time series models showing power law tails in autocorrelation functions are common in econometrics. A special non … and covariance matrices. …

, distribution of eigenvalues, eigenvalue spacing predicted by random matrix theory (RMT) to compare cross-correlation matrix … August 2004 to March 2005 were analyzed. Most eigenvalues in the spectrum of the cross-correlation matrix of stock price … changes agree with the universal predictions of RMT. We find that the cross-correlation matrix satisfies the universal …

We consider different models of stochastic dissipative equations and theoretically compute the probability distribution …

(index “velocities” and “accelerations”). Based on the results, we propose a simple stochastic differential equation with two … noise terms, which explains the observed features but preserves linearity. The solution of the model based on this equation … is a Lévy distribution. By introducing an additional (damping) term in the original equation, the stationary solution …