Permutation invariant Gaussian matrix models for financial correlation matrices

DOI10.1016/J.PHYSA.2024.130015MaRDI QIDQ6608263zbMATH OpenFDO

Authors George Barnes, Sanjaye Ramgoolam, Michael Stephanou

Publication date 19 September 2024

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.PHYSA.2024.130015

zbMATH Keywords

financial correlationsGaussianityhigh-frequency foreign exchange datapermutation invariant matrix modelsstatistical mechanicssymmetric group representation theory

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites work

• A Brownian-Motion Model for the Eigenvalues of a Random Matrix
• A Fourier transform method for nonparametric estimation of multivariate volatility
• Beyond universality in random matrix theory
• Characteristic vectors of bordered matrices with infinite dimensions
• Cleaning large correlation matrices: tools from random matrix theory
• Computing the nearest correlation matrix--a problem from finance
• Detecting correlations and triangular arbitrage opportunities in the Forex by means of multifractal detrended cross-correlations analysis
• Detecting intraday financial market states using temporal clustering
• Dissecting financial markets: sectors and states
• DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
• Efficient covariance estimation for asynchronous noisy high-frequency data
• Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency
• Financial applications of random matrix theory: old laces and new pieces
• Gaussianity and typicality in matrix distributional semantics
• Hidden symmetries and large \(N\) factorisation for permutation invariant matrix observables
• High-frequency covariance estimates with noisy and asynchronous financial data
• scientific article; zbMATH DE number 1964693 (Why is no real title available?)
• Linguistic matrix theory
• Mahalanobis distance and its application for detecting multivariate outliers
• Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
• On covariance estimation of non-synchronously observed diffusion processes
• On covariation estimation for multivariate continuous Itō semimartingales with noise in non-synchronous observation schemes
• Permutation invariant Gaussian matrix models
• Permutation invariant Gaussian two-matrix models
• Random matrices: universality of local eigenvalue statistics
• RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS
• Realized kernels in practise : trades and quotes

Cited in

(2)

• Gauged permutation invariant matrix quantum mechanics: partition functions
• Permutation invariant matrix quantum thermodynamics and negative specific heat capacities in large N systems

This page was built for publication: Permutation invariant Gaussian matrix models for financial correlation matrices

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6608263)