Analyzing financial correlation matrix based on the eigenvector-eigenvalue identity

DOI10.1016/J.PHYSA.2020.125713MaRDI QIDQ2066070zbMATH OpenOpenAlexFDO

Authors Chun-Xiao Nie

Publication date 13 January 2022

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2020.125713

zbMATH Keywords

correlation matrixeigenvectormaximum eigenvalue

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Recommendations

• MULTISCALED CROSS-CORRELATION DYNAMICS IN FINANCIAL TIME-SERIES
• RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS
• Correlation matrices with the Perron Frobenius property
• Generic features in the spectral decomposition of correlation matrices
• Eigenvalue-eigenvector analysis for a class of patterned correlation matrices with an application

Cites work

• Cleaning large correlation matrices: tools from random matrix theory
• Random matrix application to correlations amongst the volatility of assets
• Random matrix theory analysis of cross-correlations in the US stock market: evidence from Pearson's correlation coefficient and detrended cross-correlation coefficient

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