RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS
From MaRDI portal
Recommendations
- Random Matrix Theory of Dynamical Cross Correlations in Financial Data
- Random matrix application to correlations amongst the volatility of assets
- scientific article; zbMATH DE number 6781489
- Random matrix ensembles of time-lagged correlation matrices: derivation of eigenvalue spectra and analysis of financial time-series
- Financial applications of random matrix theory: old laces and new pieces
Cited in
(only showing first 100 items - show all)- Universality results for the largest eigenvalues of some sample covariance matrix ensembles
- Concentration of measure and spectra of random matrices: applications to correlation matrices, elliptical distributions and beyond
- On a spiked model for large volatility matrix estimation from noisy high-frequency data
- Random matrix theory analysis of cross-correlations in the US stock market: evidence from Pearson's correlation coefficient and detrended cross-correlation coefficient
- Random magnets and correlations of stock price fluctuations
- Noisy covariance matrices and portfolio optimization. II
- Dynamics of cross-correlations in the stock market
- A unified model for regularized and robust portfolio optimization
- Eigenvector statistics of Lévy matrices
- Analyzing financial correlation matrix based on the eigenvector-eigenvalue identity
- Optimal signal detection in some spiked random matrix models: likelihood ratio tests and linear spectral statistics
- A note on power-law cross-correlated processes
- A combinatorial optimization approach to scenario filtering in portfolio selection
- Improving portfolios global performance using a cleaned and robust covariance matrix estimate
- Encoded value-at-risk: a machine learning approach for portfolio risk measurement
- A generalized Lieb's theorem and its applications to spectrum estimates for a sum of random matrices
- High dimensional deformed rectangular matrices with applications in matrix denoising
- Diversified minimum-variance portfolios
- Economic fluctuations and statistical physics: the puzzle of large fluctuations
- Portfolio selection with probabilistic utility
- Eigenvalues of large sample covariance matrices of spiked population models
- Phase transition of the largest eigenvalue for nonnull complex sample covariance matrices
- Statistical arbitrage in the US equities market
- Institutional investors and the dependence structure of asset returns
- Liquidity risk and instabilities in portfolio optimization
- Extension of the random matrix theory to the L-moments for robust portfolio selection
- Hidden noise structure and random matrix models of stock correlations
- Estimation of spiked eigenvalues in spiked models
- The times change: multivariate subordination. Empirical facts
- Lost in contagion? Building a liquidation index from covariance dynamics
- Robust estimation of a high-dimensional integrated covariance matrix
- Implied basket correlation dynamics
- Applying free random variables to random matrix analysis of financial data. Part I: The Gaussian case
- Financial applications of random matrix theory: a short review
- Statistics of VIX futures and applications to trading volatility exchange-traded products
- On the non-stationarity of financial time series: impact on optimal portfolio selection
- Constructing analytically tractable ensembles of stochastic covariances with an application to financial data
- Stability and hierarchy of quasi-stationary states: financial markets as an example
- Replica approach to mean-variance portfolio optimization
- Spectra of large time-lagged correlation matrices from random matrix theory
- FINANCIAL AND OTHER SPATIO-TEMPORAL TIME SERIES: LONG-RANGE CORRELATIONS AND SPECTRAL PROPERTIES
- SOME FURTHER ANALYTICAL PROPERTIES OF THE CONSTANT CORRELATION MODEL FOR PORTFOLIO SELECTION
- Convergence of sample eigenvectors of spiked population model
- A RANDOM-MATRIX-THEORY-BASED ANALYSIS OF STOCKS OF MARKETS FROM DIFFERENT COUNTRIES
- Random matrix ensembles of time-lagged correlation matrices: derivation of eigenvalue spectra and analysis of financial time-series
- MULTISCALED CROSS-CORRELATION DYNAMICS IN FINANCIAL TIME-SERIES
- Large dimensional analysis and optimization of robust shrinkage covariance matrix estimators
- scientific article; zbMATH DE number 1934559 (Why is no real title available?)
- Correlation as probability: applications of Sheppard's formula to financial assets
- Portfolio optimization under expected shortfall: contour maps of estimation error
- An empirical approach to financial crisis indicators based on random matrices
- A methodology for index tracking based on time-series clustering
- A nested factor model for non-linear dependencies in stock returns
- Emergence of statistically validated financial intraday lead-lag relationships
- A generalization of random matrix theory and its application to statistical physics
- scientific article; zbMATH DE number 1836453 (Why is no real title available?)
- Mean--variance efficient portfolios with many assets: 50\% short
- Tail risks in large portfolio selection: penalized quantile and expectile minimum deviation models
- Random matrix application to correlations amongst the volatility of assets
- [[:Publication:5006871|Bias-variance trade-off in portfolio optimization under expected shortfall with $ \newcommand{\e}Template:\rm e {\ell_2}$ regularization]]
- A practical guide to robust portfolio optimization
- Collective behavior in the North Rhine-Westphalia motorway network
- Identifying subdominant collective effects in a large motorway network
- A new attempt to identify long-term precursors for endogenous financial crises in the market correlation structures
- Simulating realistic correlation matrices for financial applications: correlation matrices with the Perron–Frobenius property
- Portfolio construction by mitigating error amplification: the bounded-noise portfolio
- Regularizing portfolio optimization
- Graph-based dimension reduction heuristics to stock correlation matrices
- Power mapping with dynamical adjustment for improved portfolio optimization
- Cleaning large correlation matrices: tools from random matrix theory
- Complex market dynamics in the light of random matrix theory
- A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering
- Random Matrix Theory of Dynamical Cross Correlations in Financial Data
- Asymmetric matrices in an analysis of financial correlations
- The Student ensemble of correlation matrices: eigenvalue spectrum and Kullback-Leibler entropy
- scientific article; zbMATH DE number 6781489 (Why is no real title available?)
- The eigenvalue spectrum of lagged correlation matrices
- Asymmetric random matrices: what do we need them for?
- Non-stationarity in financial markets: dynamics of market states versus generic features
- Power mapping and noise reduction for financial correlations
- Random matrix filtering in portfolio optimization
- Financial applications of random matrix theory: old laces and new pieces
- Wavelet evolutionary network for complex-constrained portfolio rebalancing
- Uncovering the dynamics of correlation structures relative to the collective market motion
- Large dimensional analysis of general margin based classification methods
- A Dichotomous Behavior of Guttman-Kaiser Criterion from Equi-Correlated Normal Population
- Exact multivariate amplitude distributions for non-stationary Gaussian or algebraic fluctuations of covariances or correlations
- Matrix moments in a real, doubly correlated algebraic generalization of the Wishart model
- Quantifying the dynamics of financial correlations
- A smooth transition towards a Tracy–Widom distribution for the largest eigenvalue of interacting k-body fermionic embedded Gaussian ensembles
- Correlation Matrices Driven by Stochastic Isospectral Flows
- Cross-impact of order flow imbalance in equity markets
- Marchenko–Pastur law with relaxed independence conditions
- CORRELATION MATRIX OF EQUI-CORRELATED NORMAL POPULATION: FLUCTUATION OF THE LARGEST EIGENVALUE, SCALING OF THE BULK EIGENVALUES, AND STOCK MARKET
- Student‐t stochastic volatility model with composite likelihood EM‐algorithm
- An eigenvalue distribution derived ‘Stability Measure’ for evaluating Minimum Variance portfolios
- Time-convergent random matrices from mean-field pinned interacting eigenvalues
- Two stage approach to functional network reconstruction for binary time-series
- Random matrix time series
- High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: risk underestimation
This page was built for publication: RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4521262)
