Toy Model for Large Non-Symmetric Random Matrices

• Authors: M. Snarska
• Languages of publication: EN

Abstracts

EN

Non-symmetric rectangular correlation matrices occur in many problems in economics. We test the method of extracting statistically meaningful correlations between input and output variables of large dimensionality and build a toy model for artificially included correlations in large random time series.The results are then applied to analysis of polish macroeconomic data and can be used as an alternative to classical cointegration approach.

Keywords

EN

02.05.Sk; 02.70.Hm; 89.65.Gh; 02.50.-r; 89.20.-a

Discipline

• 02.70.Hm: Spectral methods
• 02.50.-r: Probability theory, stochastic processes, and statistics(see also section 05 Statistical physics, thermodynamics, and nonlinear dynamical systems)
• 89.20.-a: Interdisciplinary applications of physics
• 89.65.Gh: Economics; econophysics, financial markets, business and management(for economic issues regarding production and use of renewable energy, see 88.05.Lg)

• Journal: Acta Physica Polonica A
• Year: 2008
• Volume: 114
• Issue: 3
• Pages: 555-559

Dates

published

2008-09

received

2007-11-22

Contributors

author

M. Snarska

• Mark Kac Complex Systems Research Center, Institute of Physics, Jagellonian University, 30-059 Cracow, Reymonta 4, Poland

References

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• 8. Z. Burda, A. Goerlich, A. Jarosz, J. Jurkiewicz, Signal and Noise in Correlation Matrix, http://arxiv.org/pdf/cond-mat/0305627
• 9. S.H. Friedberg, A.J. Insel, L.E. Spence, Linear Algebra, Prentice Hall, Upper Saddle River 2002

Identifiers

DOI

10.12693/APhysPolA.114.555