Random matrix ensembles of time-lagged correlation matrices: derivation of eigenvalue spectra and analysis of financial time-series
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Publication:3605232
DOI10.1080/14697680701691477zbMATH Open1154.91609arXivphysics/0609053OpenAlexW2150547629MaRDI QIDQ3605232FDOQ3605232
Stefan Thurner, Christoly Biely
Publication date: 23 February 2009
Published in: Quantitative Finance (Search for Journal in Brave)
Abstract: 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 with eigenvalue densities obtained from actual high frequency (5 min) data of the S&P500 and discuss the observed deviations. We identify various non-trivial, non-random patterns and find asymmetric dependencies associated with eigenvalues departing strongly from the Gaussian prediction in the imaginary part. For the same time-series, with the market contribution removed, we observe strong clustering of stocks, i.e. causal sectors. We finally comment on the time-stability of the observed patterns.
Full work available at URL: https://arxiv.org/abs/physics/0609053
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- Non-Hermitean Wishart random matrices (I)
- FINANCIAL AND OTHER SPATIO-TEMPORAL TIME SERIES: LONG-RANGE CORRELATIONS AND SPECTRAL PROPERTIES
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