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Statistical properties of the stock and credit market: RMT and network topology

Lim, Kyuseong; Kim, Min Jae; Kim, Sehyun; Kim, Soo Yong - In: Physica A: Statistical Mechanics and its Applications 407 (2014) C, pp. 66-75

We analyzed the dependence structure of the credit and stock market using random matrix theory and network topology …

Persistent link: https://www.econbiz.de/10010777058

Random, but not so much a parameterization for the returns and correlation matrix of financial time series

Martins, André C.R. - In: Physica A: Statistical Mechanics and its Applications 383 (2007) 2, pp. 527-532

A parameterization that is a modified version of a previous work is proposed for the returns and correlation matrix of financial time series and its properties are studied. This parameterization allows easy introduction of non-stationarity and it shows several of the characteristics of the true,...

Persistent link: https://www.econbiz.de/10010871671

Pruning a minimum spanning tree

Sandoval, Leonidas - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 8, pp. 2678-2711

information is then combined with the information obtained from the first technique in order to create a smaller network, in which …

Persistent link: https://www.econbiz.de/10010872222

Collective origin of the coexistence of apparent random matrix theory noise and of factors in large sample correlation matrices

Malevergne, Y.; Sornette, D. - In: Physica A: Statistical Mechanics and its Applications 331 (2004) 3, pp. 660-668

Through simple analytical calculations and numerical simulations, we demonstrate the generic existence of a self-organized macroscopic state in any large multivariate system possessing non-vanishing average correlations between a finite fraction of all pairs of elements. The coexistence of an...

Persistent link: https://www.econbiz.de/10010873012

Principal regression analysis and the index leverage effect

Reigneron, Pierre-Alain; Allez, Romain; Bouchaud, … - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 17, pp. 3026-3035

We revisit the index leverage effect, that can be decomposed into a volatility effect and a correlation effect. We investigate the latter using a matrix regression analysis, that we call ‘Principal Regression Analysis’ (PRA) and for which we provide some analytical (using Random Matrix...

Persistent link: https://www.econbiz.de/10010873200

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

original stock network with the estimated network; the original network is obtained by the actual stock returns, while the … 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

Understanding interarrival and interdeparture time statistics from interactions in queuing systems

Helbing, Dirk; Treiber, Martin; Kesting, Arne - In: Physica A: Statistical Mechanics and its Applications 363 (2006) 1, pp. 62-72

We discuss the statistics of long queues, in which the interdeparture time statistics is dominated by spatial interactions among the elements in a queue rather than the arrival or exit processes. Based on a Fokker–Planck approach, it is possible to calculate the stationary distance...

Persistent link: https://www.econbiz.de/10010874328

Network analysis of a financial market based on genuine correlation and threshold method

Namaki, A.; Shirazi, A.H.; Raei, R.; Jafari, G.R. - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 21, pp. 3835-3841

A financial market is an example of an adaptive complex network consisting of many interacting units. This network … correlation matrix as the market mode of stock network. For a better risk management, we clean the correlation matrix by removing … topological structure of a network we apply the removing market mode technique and the threshold method to Tehran Stock Exchange …

Persistent link: https://www.econbiz.de/10010874740

Collective behavior of stock price movements—a random matrix theory approach

Plerou, V.; Gopikrishnan, P.; Rosenow, B.; Amaral, L.A.N.; … - In: Physica A: Statistical Mechanics and its Applications 299 (2001) 1, pp. 175-180

We review recent work on quantifying collective behavior among stocks by applying the conceptual framework of random matrix theory (RMT), developed in physics to describe the energy levels of complex systems. RMT makes predictions for “universal” properties that do not depend on the...

Persistent link: https://www.econbiz.de/10011057033

Quantifying fluctuations in economic systems by adapting methods of statistical physics

Stanley, H.E.; Gopikrishnan, P.; Plerou, V.; Amaral, L.A.N. - In: Physica A: Statistical Mechanics and its Applications 287 (2000) 3, pp. 339-361

The emerging subfield of econophysics explores the degree to which certain concepts and methods from statistical physics can be appropriately modified and adapted to provide new insights into questions that have been the focus of interest in the economics community. Here we give a brief overview...

Persistent link: https://www.econbiz.de/10011057441