Corpus ID: 235829496

Dynamics of the market states in the space of correlation matrices with applications to financial markets

@inproceedings{Pharasi2021DynamicsOT,
  title={Dynamics of the market states in the space of correlation matrices with applications to financial markets},
  author={Hirdesh K. Pharasi and Suchetana Sadhukhan and Parisa Majari and Anirban Chakraborti and Thomas H. Seligman},
  year={2021}
}
The concept of states of financial markets based on correlations has gained increasing attention during the last 10 years. We propose to retrace some important steps up to 2018, and then give a more detailed view of recent developments that attempt to make the use of this more practical. Finally, we try to give a glimpse to the future proposing the analysis of trajectories in correlation matrix space directly or in terms of symbolic dynamics as well as attempts to analyze the clusters that make… Expand

Figures and Tables from this paper

References

SHOWING 1-10 OF 38 REFERENCES
Dynamics of market states and risk assessment
Based on previous developments of the concept of market states using correlation matrices, in the present paper we address the dynamical evolution of correlation matrices in time. This will implyExpand
Non-stationarity in Financial Markets: Dynamics of Market States Versus Generic Features
Correlations play an important rôle when estimating risk in the financial markets. This is so from a systemic viewpoint when trying to assess the stability of the markets, but also from a practicalExpand
Zooming into market states
We analyze the daily stock data of the Nasdaq Composite index in the 22-year period 1992-2013 and identify market states as clusters of correlation matrices with similar correlation structures. WeExpand
Noise Dressing of Financial Correlation Matrices
We show that results from the theory of random matrices are potentially of great interest to understand the statistical structure of the empirical correlation matrices appearing in the study of priceExpand
Identifying long-term precursors of financial market crashes using correlation patterns
The study of the critical dynamics in complex systems is always interesting yet challenging. Here, we choose financial market as an example of a complex system, and do a comparative analyses of twoExpand
Stability and Hierarchy of Quasi-Stationary States: Financial Markets as an Example
We combine geometric data analysis and stochastic modeling to describe the collective dynamics of complex systems. As an example we apply this approach to financial data and focus on theExpand
Complex Market Dynamics in the Light of Random Matrix Theory
We present a brief overview of random matrix theory (RMT) with the objectives of highlighting the computational results and applications in financial markets as complex systems. An oft-encounteredExpand
Emerging spectra of singular correlation matrices under small power-map deformations.
TLDR
The so-called power map is used and its nonlinearity breaks the degeneracy of the zero eigenvalues and the so-emerging spectra to correlations and this sensitivity will be demonstrated for uncorrelated and correlated Wishart ensembles. Expand
Identifying States of a Financial Market
TLDR
A definition of state is proposed for a financial market and it is found that a wide variety of characteristic correlation structure patterns exist in the observation time window, and that they can be classified into several typical “market states”. Expand
Dynamics of quasi-stationary systems: Finance as an example
TLDR
A combination of cluster analysis and stochastic process analysis is proposed to characterize high-dimensional complex dynamical systems by few dominating variables to simplify the complexity of the system. Expand
...
1
2
3
4
...