Localization in covariance matrices of coupled heterogenous Ornstein-Uhlenbeck processes.

  • Paolo Barucca
  • Published 2014 in
    Physical review. E, Statistical, nonlinear, and…


We define a random-matrix ensemble given by the infinite-time covariance matrices of Ornstein-Uhlenbeck processes at different temperatures coupled by a Gaussian symmetric matrix. The spectral properties of this ensemble are shown to be in qualitative agreement with some stylized facts of financial markets. Through the presented model formulas are given for… (More)


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