Stability and hierarchy of quasi-stationary states: financial markets as an example

DOI10.1088/1742-5468/2015/08/P08011zbMath1456.62115arXiv1503.00556OpenAlexW1726931041MaRDI QIDQ3302370

Thomas Guhr, Yuriy Stepanov, Philip Rinn, Rudi Schäfer, Joachim Peinke

Publication date: 11 August 2020

Published in: Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1503.00556

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Markov processes: estimation; hidden Markov models (62M05) Financial applications of other theories (91G80) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (8)

A new attempt to identify long-term precursors for endogenous financial crises in the market correlation structures ⋮ New collectivity measures for financial covariances and correlations ⋮ Identifying dominant industrial sectors in market states of the S&P 500 financial data ⋮ A Review of Two Decades of Correlations, Hierarchies, Networks and Clustering in Financial Markets ⋮ Generic features in the spectral decomposition of correlation matrices ⋮ Uncovering the dynamics of correlation structures relative to the collective market motion ⋮ Quasi-stationary states in temporal correlations for traffic systems: Cologne orbital motorway as an example ⋮ Collective behavior in the North Rhine-Westphalia motorway network

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• Evidence of Markov properties of high frequency exchange rate data

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