Search Results - subject:"Random matrix"

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

reflects market’s behavior. In this paper, we use Random Matrix Theory (RMT) notion for specifying the largest eigenvector of …

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

Applying free random variables to random matrix analysis of financial data. Part I: The Gaussian case

Burda, Zdzisław; Jarosz, Andrzej; Nowak, Maciej; … - In: Quantitative Finance 11 (2011) 7, pp. 1103-1124

We apply the concept of free random variables to doubly correlated (Gaussian) Wishart random matrix models, appearing …

Persistent link: https://www.econbiz.de/10009208407

Dependence structure of the commodity and stock markets, and relevant multi-spread strategy

Kim, Min Jae; Kim, Sehyun; Jo, Yong Hwan; Kim, Soo Yong - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 21, pp. 3842-3854

two different markets. This study analyzed the dependence structure of the commodity and stock markets using the random … matrix theory technique and network analysis. Our results show that the stock and commodity markets must be handled as …

Persistent link: https://www.econbiz.de/10010590342

Comparing the structure of an emerging market with a mature one under global perturbation

Namaki, A.; Jafari, G.R.; Raei, R. - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 17, pp. 3020-3025

two statistical approaches, random matrix theory (RMT) and the correlation coefficient distribution. By using RMT, we find …

Persistent link: https://www.econbiz.de/10010590478

Identifying the structure of group correlation in the Korean financial market

Ahn, Sanghyun; Choi, Jaewon; Lim, Gyuchang; Cha, Kil Young - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 11, pp. 1991-2001

We investigate the structure of the cross-correlation in the Korean stock market. We analyze daily cross-correlations between price fluctuations of 586 different Korean stock entities for the 6-year time period from 2003 to 2008. The main purpose is to investigate the structure of group...

Persistent link: https://www.econbiz.de/10010590632

Dependence structure of the Korean stock market in high frequency data

Kim, Min Jae; Kwak, Young Bin; Kim, Soo Yong - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 5, pp. 891-901

, using the Trade and Quote data of 663 actively traded stocks in Korean stock market. It is found that the random matrix …

Persistent link: https://www.econbiz.de/10010591529

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

Principal regression analysis and the index leverage effect

Reigneron, Pierre-Alain; Allez, Romain; Bouchaud, … - Université Paris-Dauphine (Paris IX) - 2011

provide some analytical (using Random Matrix Theory) and numerical benchmarks. We find that downward index trends increase the …

Persistent link: https://www.econbiz.de/10011166376

Analysis of stock prices of mining business

Ahn, Sanghyun; Lim, G.C.; Kim, S.H.; Kim, Soo Yong; … - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 12, pp. 2340-2349

random matrix theory and overlapping matrices. However, during the period of 2006–2009, the effect of the global economic …

Persistent link: https://www.econbiz.de/10011057985

EIGENVECTOR LOCALIZATION AS A TOOL TO STUDY SMALL COMMUNITIES IN ONLINE SOCIAL NETWORKS

SLANINA, FRANTIŠEK; KONOPÁSEK, ZDENĚK - In: Advances in Complex Systems (ACS) 13 (2010) 06, pp. 699-723

We present and discuss a mathematical procedure for identification of small "communities" or segments within large bipartite networks. The procedure is based on spectral analysis of the matrix encoding network structure. The principal tool here is localization of eigenvectors of the matrix, by...

Persistent link: https://www.econbiz.de/10008739187