?
Coarse graining correlation matrices according to macrostructures: financial markets as a paradigm
Physica Scripta. 2024.
We analyze correlation structures in financial markets by coarse graining the Pearson correlation matrices according to market sectors to obtain Guhr matrices using Guhr’s correlation method according to P Rinn et al (2015, Europhysics Letters 110, 68 003). We compare the results for the evolution of market states and the corresponding transition matrices with those obtained using Pearson correlation matrices. The behavior of market states is found to be similar for both the coarse grained and Pearson matrices. However, the number of relevant variables is reduced by orders of magnitude.
Buchko A., Peresetsky A., HSE Economic Journal 2025 Vol. 29 No. 3 P. 383–406
In recent years cryptocurrencies have gained popularity: institutional and retail investors as well as different trading companies started positively looking at crypto assets. As a result, the convergence level between cryptocurrencies and the traditional markets has changed a lot. Stocks deserve close attention because they are a key asset for many investors. This article explores ...
Added: September 17, 2026
Martínez-Ramos M. M., Vyas M., Majari P. et al., Plos One 2024
Analyzing market states of the S&P 500 components on a time horizon January 3, 2006 to August 10, 2023, we found the appearance of a new market state not previously seen, which implies an isolated state or the beginning of a new general market condition. We study this in terms of the Pearson correlation matrix and relative ...
Added: October 6, 2025
В. А. Маневич, А. А. Пересецкий, П. В. Погорелова, Прикладная эконометрика 2022 Т. 65 № 1 С. 65–76
In the last ten years, cryptocurrencies have developed rapidly, of which bitcoin has the largest capital‐ ization. With the development of the cryptocurrency market, more and more investors include bitcoin in their asset portfolio. In this regard, the question of the relationship between the volatility of the cryp‐ tocurrency market and the stock market is ...
Added: June 8, 2022
Botchkarev A., Slavica Slovaca 2018 № 2 С. 135–141
The article is devoted to razocharovaniye ‘disappointment’ as language-specific word in order to show its specific conceptual configuration in the Russian linguistic consciousness. In this regard, the National Corpus is more appropriate, because a conceptual configuration of an analyzed concept is not present in a “finished” form in any single utterance, but may be reconstructed ...
Added: January 28, 2019
Koldanov A. P., Мозохин Д. Е., , in: Models, Algorithms, and Technologies for Network Analysis / From the 4th International Conference on Network Analysis.: NY: Springer, 2016. P. 183–196.
The problem of stationarity of sign coincidence of returns is considered. Statinarity of sign coincidence of a pair of stocks is tested by two sample Kolmogorov-Smirnov and Chi-Square tests. Multiple comparison pocedures, such as Bonferroni and Holm procedures, are employed to test stationarity of sign coincidence in market network and to control the family-wise error rate (FWER). ...
Added: December 13, 2015
Byachkova A., , in: Financial Econometrics and Empirical Market Microstructure.: NY: Springer, 2015. P. 47–53.
Econophysics is a relatively new discipline. It is one of the most interesting and promising trends in modeling complex economic systems such as financial markets. In this paper we use the approach of econophysics to explain various mechanisms of price formation in the stock market. We study a model, which was proposed by Jean-Philippe Bouchaud ...
Added: September 29, 2015
Schaworonkow N., Blythe D., Kegeles J. et al., Human Brain Mapping 2015 Vol. 36 No. 8 P. 2901–2914
Relating behavioral and neuroimaging measures is essential to understanding human brain function. Often, this is achieved by computing a correlation between behavioral measures, e.g., reaction times, and neurophysiological recordings, e.g., prestimulus EEG alpha-power, on a single-trial-basis. This approach treats individual trials as independent measurements and ignores the fact that data are acquired in a temporal order. It has ...
Added: May 13, 2015
Shiryaev A., Zhitlukhin M., Ziemba W., / Series Social Science Research Network "Social Science Research Network". 2013.
We study the land and stock markets in Japan circa 1990. While the Nikkei stock average in the late 1980s and its -48% crash in 1990 is generally recognized as a financial market bubble, a bigger bubble and crash was in the golf course membership index market. The crash in the Nikkei which started on ...
Added: March 9, 2014
Penikas H. I., Selmier II W. T., / NRU Higher School of Economics. Series WP BRP "Economics/EC". 2013. No. 15.
This essay aims at highlighting the linkage between current international banking regulation (namely, that produced by the Basel Committee on Banking Supervision) and economic activity, which is proxied by the S&P500 stock market index. It is revealed that the amount of regulatory documents published per year affects stock market performance, but only for the next ...
Added: August 17, 2013
Zavertiaeva M. A., Parshakov P., Программные продукты и системы 2012 № 4 (100) С. 90–96
The article presents a comparative analysis of neural network modeling and regression analysis for forecasting the S & P 500 index. Initially, the forecast of the absolute value of the index is provided, then we justify the use of stationery data, that is, the return of S & P 500. The comparison of two methods ...
Added: March 12, 2013
Lavrova A. A., Вестник Воронежского государственного университета. Серия: Лингвистика и межкультурная коммуникация 2013 № 1 С. 134–139
The article deals with the structures containing the break of syntactical unit in presidential debates. On the basis of comparative analysis of the structures containing the break of syntactical unit and other types of segmentation in presidential debates and affective speech, correlations between the syntactic speech characteristics and the effective and pseudo-affective constituents of ...
Added: October 6, 2012