Title variants
Languages of publication
Abstracts
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.
Discipline
- 89.75.-k: Complex systems(for complex chemical systems, see 82.40.Qt; for biological complexity, see 87.18.-h)
- 05.45.Tp: Time series analysis
- 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)
- 02.60.-x: Numerical approximation and analysis
- 89.75.Fb: Structures and organization in complex systems
Journal
Year
Volume
Issue
Pages
A-118-A-122
Physical description
Dates
published
2015-03
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
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- [3] M. Mehta, Random Matrices, Academic Press, New York 1995
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- [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
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Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.bwnjournal-article-appv127n3a21kz