We derive the exact form of the eigenvalue spectra of correlation matrices derived from a set of time-shifted, finite Brownian random walks (time-series). These matrices can be seen as random, real, asymmetric matrices with a special structure superimposed due to the time-shift. We demonstrate that the associated eigenvalue spectrum is circular symmetric in the complex plane for large matrices. This fact allows us to exactly compute the eigenvalue density via an inverse Abel-transform of the density of the symmetrized problem. We demonstrate the validity of this approach by numerically computing eigenvalue spectra of lagged correlation matrices based on uncorrelated, Gaussian distributed time-series. We then compare our theoretical findings...
Using the correlation matrix formalism we study the temporal aspects of the Warsaw Stock Market evol...
We studied the eigenvalue spectral density of the correlation matrix of factor models of multivariat...
The major theories of finance leading into the main body of this research are discussed and our expe...
We derive the exact form of the eigenvalue spectra of correlation matrices derived from a set of tim...
We derive the exact form of the eigenvalue spectra of correlation matrices derived from a set of tim...
We study some properties of eigenvalue spectra of financial correlation matrices. In particular, we ...
We study some properties of eigenvalue spectra of financial correlation matrices. In particular, we ...
The dynamics of the equal-time cross-correlation matrix of multivariate financial time series is exp...
Financial markets are highly correlated systems that reveal both the inter-market dependencies and t...
We analyze cross correlations between price fluctuations of different stocks using methods of random...
A parameterization that is a modified version of a previous work is proposed for the returns and cor...
The cross-correlation matrix between equities comprises multiple interactions between traders with v...
Given an $N$-dimensional sample of size $T$ and form a sample correlation matrix $\mathbf{C}$. Suppo...
Signatures of universality are detected by comparing individual eigenvalue distributions and level s...
International audienceThe correlation matrix is the key element in optimal portfolio allocation and ...
Using the correlation matrix formalism we study the temporal aspects of the Warsaw Stock Market evol...
We studied the eigenvalue spectral density of the correlation matrix of factor models of multivariat...
The major theories of finance leading into the main body of this research are discussed and our expe...
We derive the exact form of the eigenvalue spectra of correlation matrices derived from a set of tim...
We derive the exact form of the eigenvalue spectra of correlation matrices derived from a set of tim...
We study some properties of eigenvalue spectra of financial correlation matrices. In particular, we ...
We study some properties of eigenvalue spectra of financial correlation matrices. In particular, we ...
The dynamics of the equal-time cross-correlation matrix of multivariate financial time series is exp...
Financial markets are highly correlated systems that reveal both the inter-market dependencies and t...
We analyze cross correlations between price fluctuations of different stocks using methods of random...
A parameterization that is a modified version of a previous work is proposed for the returns and cor...
The cross-correlation matrix between equities comprises multiple interactions between traders with v...
Given an $N$-dimensional sample of size $T$ and form a sample correlation matrix $\mathbf{C}$. Suppo...
Signatures of universality are detected by comparing individual eigenvalue distributions and level s...
International audienceThe correlation matrix is the key element in optimal portfolio allocation and ...
Using the correlation matrix formalism we study the temporal aspects of the Warsaw Stock Market evol...
We studied the eigenvalue spectral density of the correlation matrix of factor models of multivariat...
The major theories of finance leading into the main body of this research are discussed and our expe...