Analyzing financial correlation matrix based on the eigenvector-eigenvalue identity

DOI10.1016/j.physa.2020.125713OpenAlexW3113447965MaRDI QIDQ2066070

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

eigenvectorcorrelation matrixmaximum eigenvalue

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites Work

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

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