PL EN


Preferences help
enabled [disable] Abstract
Number of results
2015 | 127 | 3A | A-118-A-122
Article title

Alternative Random Matrix Approach in Analysis of Correlations in Financial Data

Authors
Content
Title variants
Languages of publication
EN
Abstracts
EN
We present an alternative method based on random matrix approach that enables to distinguish the respective role of temporal autocorrelations inside given time series and cross correlations between various time series. The proposed algorithm is based on the properties of Wigner eigenspectrum of random matrices instead of commonly used Wishart eigenspectrum methodology. It is then qualitatively and quantitatively applied to financial data of stocks building WIG 30 - the main Warsaw Stock Exchange Index.
Keywords
Contributors
author
  • Institute of Theoretical Physics, University of Wrocław, Econophysics and Time Series Analysis Group (ETSA), pl. M. Borna 9, PL-50204 Wrocław, Poland
author
  • Institute of Theoretical Physics, University of Wrocław, Econophysics and Time Series Analysis Group (ETSA), pl. M. Borna 9, PL-50204 Wrocław, Poland
References
  • [1] J. Wishart, Biometrica A 20, 32 (1928), doi: 10.1093/biomet/20a.1-2.32
  • [2] V.A. Marc̀enko, L.A. Pastur, Math. USSR Sb. 1, 457 (1967), doi: 10.1070/sm1967v001n04abeh001994
  • [3] M. Mehta, Random Matrices, Academic Press, New York 1995
  • [4] T. Guhr, A. Müller-Groeling, H.A. Weidenmüller, Phys. Rep. 299, 190 (1998), doi: 10.1016/s0370-1573(97)00088-4
  • [5] L. Laloux, P. Cizeau, J.P. Bouchaud, M. Potters, Risk Mag. 12, 69 (1999)
  • [6] L. Laloux, P. Cizeau, J.P. Bouchaud, M. Potters, Phys. Rev. Lett. 83, 1467 (1999), doi: 10.1103/physrevlett.83.1467
  • [7] V. Plerou, P. Gopikrishnan, B. Rosenov, L.N. Amaral, H.E. Stanley, Phys. Rev. Lett. 83, 1471 (1999), doi: 10.1103/physrevlett.83.1471
  • [8] V. Plerou, P. Gopikrishnan, B. Rosenov, L.N. Amaral, T. Guhr, H.E. Stanley, Phys. Rev. E 65, 066126 (2002), doi: 10.1103/physreve.65.066126
  • [9] B. Podobnik, D. Wang, D. Horvatić, I. Grosse, H.E. Stanley, Europhys. Lett. 90, 68001 (2010), doi: 10.1209/0295-5075/90/68001
  • [10] S. Drożdż, J. Kwapień, P. Oświęcimka, Acta Phys. Pol. B 38 4027 (2007)
  • [11] D. Wang, B. Podobnik, D. Horvatić, H.E. Stanley, Phys. Rev. E 83, 046121 (2011), doi: 10.1103/physreve.83.046121
  • [12] E.P. Wigner, Ann. Math. 53, 36 (1951), doi: 10.2307/1969342
  • [13] D. Grech, J. Miśkiewicz, Europhys. Lett. 97, 30005 (2012), doi: 10.1209/0295-5075/97/30005
Document Type
Publication order reference
YADDA identifier
bwmeta1.element.bwnjournal-article-appv127n3a21kz
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.