We analyzed the dependence structure of the credit and stock market using random matrix theory and network topology. The dynamics of both markets have been spotlighted throughout the subprime crisis. In this study, we compared these two markets in view of the market-wide effect from random...

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,...

This work employs various techniques in order to filter random noise from the information provided by minimum spanning trees obtained from the correlation matrices of international stock market indices prior to and during times of crisis. The first technique establishes a threshold above which...

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...

We analyse the eigenvalue fluctuations of the Laplacian of various networks under the random matrix theory framework. Analyses of random networks, scale-free networks and small-world networks show that the nearest neighbor spacing distribution of the Laplacian of these networks follow Gaussian...

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...

We investigated the topological properties of stock networks constructed by a minimal spanning tree. We compared the 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...

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...

A financial market is an example of an adaptive complex network consisting of many interacting units. This network reflects market’s behavior. In this paper, we use Random Matrix Theory (RMT) notion for specifying the largest eigenvector of correlation matrix as the market mode of stock...

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...