A new attempt to identify long-term precursors for endogenous financial crises in the market correlation structures

DOI10.1088/1742-5468/AC59ABMaRDI QIDQ5078664zbMATH OpenOpenAlexFDO

Authors Anton J. Heckens, Thomas Guhr

Publication date 23 May 2022

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

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2107.09048

zbMATH Keywords

machine learningquantitative financeclustering techniquesrisk measure and management

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

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• Dependence structure of market states
• Dissecting financial markets: sectors and states
• Least squares quantization in PCM
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• RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS
• Stability and hierarchy of quasi-stationary states: financial markets as an example
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• Theory of Financial Risk and Derivative Pricing
• Uncovering the dynamics of correlation structures relative to the collective market motion

Cited in

(5)

• Financial crashes as endogenous jumps: estimation, testing and forecasting
• New collectivity measures for financial covariances and correlations
• Transitions between quasi-stationary states in traffic systems: cologne orbital motorways as an example
• Identifying dominant industrial sectors in market states of the S&P 500 financial data
• The Markowitz's mean-variance interpretation under the efficient market hypothesis in the context of critical recession periods

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