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Random matrix approach to cross correlations in financial data.
A analysis of cross correlations between price fluctuations of different stocks using methods of random matrix theory finds that the largest eigenvalue corresponds to an influence common to all stocks, and discusses applications to the construction of portfolios of stocks that have a stable ratio of risk to return.
Statistical causes for the Epps effect in microstructure noise
We present two statistical causes for the distortion of correlations on high-frequency financial data. We demonstrate that the asynchrony of trades as well as the decimalization of stock prices has a
Transitions toward Quantum Chaos: With Supersymmetry from Poisson to Gauss
Abstract The transition from arbitrary to chaotic fluctuation properties in quantum systems is studied in a random matrix model. It is assumed that the Hamiltonian can be written as the sum of an
Spin-Orbit Coupling in Semiclassical Approximation
Abstract The spin-orbit coupling in a deformed system is studied by approximating the Schrodinger equation semiclassically. The discrete character of spin is preserved and WKB techniques are used for
Microscopic spectrum of the QCD Dirac operator with finite quark masses
We compute the microscopic spectrum of the QCD Dirac operator in the presence of dynamical fermions in the framework of random-matrix theory for the chiral Gaussian unitary ensemble. We obtain
Strain in semiconductor core-shell nanowires
We compute strain distributions in core-shell nanowires of zinc blende structure. We use both continuum elasticity theory and an atomistic model, and consider both finite and infinite wires. The
A New Method to Estimate the Noise in Financial Correlation Matrices
A power mapping of the elements in the correlation matrix which suppresses the noise and thereby effectively 'prolongs' the time series and can be applied to all systems in which time series are measured.