• A
  • A
  • A
  • АБВ
  • АБВ
  • АБВ
  • A
  • A
  • A
  • A
  • A
Обычная версия сайта
  • RU
  • EN
  • HSE University
  • Publications
  • Book chapter
  • Spectral Properties of Financial Correlation Matrices
  • RU
  • EN
Расширенный поиск
Высшая школа экономики
Национальный исследовательский университет
Priority areas
  • business informatics
  • economics
  • engineering science
  • humanitarian
  • IT and mathematics
  • law
  • management
  • mathematics
  • sociology
  • state and public administration
by year
  • 2028
  • 2027
  • 2026
  • 2025
  • 2024
  • 2023
  • 2022
  • 2021
  • 2020
  • 2019
  • 2018
  • 2017
  • 2016
  • 2015
  • 2014
  • 2013
  • 2012
  • 2011
  • 2010
  • 2009
  • 2008
  • 2007
  • 2006
  • 2005
  • 2004
  • 2003
  • 2002
  • 2001
  • 2000
  • 1999
  • 1998
  • 1997
  • 1996
  • 1995
  • 1994
  • 1993
  • 1992
  • 1991
  • 1990
  • 1989
  • 1988
  • 1987
  • 1986
  • 1985
  • 1984
  • 1983
  • 1982
  • 1981
  • 1980
  • 1979
  • 1978
  • 1977
  • 1976
  • 1975
  • 1974
  • 1973
  • 1972
  • 1971
  • 1970
  • 1969
  • 1968
  • 1967
  • 1966
  • 1965
  • 1964
  • 1963
  • 1958
  • More
Subject
News
August 25, 2026
Scientists Develop Algorithm for More Reliable Processors in Data Centres
Researchers from HSE MIEM and Samara University have developed the LRF-3D algorithm to automatically bypass idle nodes in three-dimensional networks-on-chip. Thanks to its hierarchical architecture, the algorithm outperforms existing solutions in both speed and path accuracy, improving processor reliability for use in data centres, supercomputers, and AI computing. The source code and test results are publicly available.
August 24, 2026
Researchers Develop Method for Direct Generation of Regulatory DNA
Researchers at HSE University have developed a model for generating promoters and enhancers—DNA sequences that regulate gene activity. The model works directly with DNA nucleotides, without first transforming them into a continuous numerical representation. This solution could be useful for applications in synthetic biology and gene therapy. The study results were presented at the ICLR 2026 Workshop ‘Generative AI in Genomics (Gen^2): Barriers and Frontiers.’
August 21, 2026
Social Integration: At the Crossroads of Knowledge and Values
The International Laboratory for Social Integration Research (ILSIR) at HSE University studies the challenges faced by vulnerable groups and explores ways to help them participate fully in everyday life. To develop effective solutions, the laboratory’s researchers combine cutting-edge methods with practical fieldwork. In this interview with the HSE News Service, Laboratory Head Elena Iarskaia-Smirnova discusses the laboratory’s work.

 

Have you spotted a typo?
Highlight it, click Ctrl+Enter and send us a message. Thank you for your help!

Publications
  • Books
  • Articles
  • Chapters of books
  • Working papers
  • Report a publication
  • Research at HSE

?

Spectral Properties of Financial Correlation Matrices

P. 135–156.
Kazakov M., Kalyagin V. A.

Random matrix theory (RMT) is applied to investigate the cross-correlation matrix of a financial time series in four different stock markets: Russian, American, German, and Chinese. The deviations of distribution of eigenvalues of market correlation matrix from RMT global regime are investigated. Specific properties of each market are observed and discussed.

Language: English
DOI
Text on another site
Keywords: random matricesrandom graphs Market networkstock marketWishart–Laguerre ensemble

In book

Models, Algorithms and Technologies for Network Analysis, Springer Proceedings in Mathematics & Statistics
Vol. 156. , Switzerland: Springer, 2016.
Similar publications
Применение методов кластеризации для формирования оптимального инвестиционного портфеля на российском фондовом рынке
Lysenok N., Финансовый журнал 2026 Т. 18 № 4 С. 45–63
The article discusses the application of clustering methods to form an optimal investment portfolio that allows the investor to achieve an effective risk-reward ratio. Three popular clustering methods, K-Means, MeanShift, and DBSCAN, are examined. The article focuses on the DBSCAN clustering method and highlights its advantages over other clustering methods in the context of financial data analysis. DBSCAN is ...
Added: August 27, 2026
Применение моделей машинного обучения для многомерного среднесрочного прогнозирования стоимости акций
Sizykh N., Кудрявцева Н. С., Управление большими системами: сборник трудов 2025 № 118 С. 250–285
Numerous studies in the field of forecasting securities prices, particularly stock prices, are aimed at finding more accurate and effective models. However, attention to multivariate forecasting, which allows for more accurate forecasts, remains underappreciated, as its implementation requires a significant increase in computing resources. Therefore, the selection of more simplified yet effective models is relevant. ...
Added: February 3, 2026
A Clustering Model for Stocks that Considers Hidden Dynamics and Price Trajectory
Morychev G., Sizykh D., Sizykh N., IEEE Access 2025 Vol. 13 P. 213194–213210
One of the main tools for analyzing large volumes of financial data is the use of clustering methods and models, which allow the identification of various patterns. This study examines the problem of clustering time series that reflect the behavior of prices, yields, modes, trends, and a number of related stock indicators. The relevance and ...
Added: February 3, 2026
СОВРЕМЕННЫЕ ТЕНДЕНЦИИ И РИСКИ РАЗВИТИЯ МЕЖДУНАРОДНОГО ФИНАНСОВОГО РЫНКА
Kosov M., Вестник экономической безопасности 2023 № 6 С. 213–221
The basis of the international financial market is foreign exchange flows arising from the functioning of the world economy. The main task of financial flows is to exchange the results of the activities of world economies. Therefore, the essence of the international financial market is to support the movement of foreign currency flows between financial ...
Added: October 22, 2025
Российские розничные инвесторы в цифровом пространстве: характеристики группы
Iudin I., Социологические исследования 2025 № 4 С. 140–146
The notion of market devices when applied to digital investment technologies suggests that they not only construct the stock market, but influence individuals’ behaviors as well. Current article aims to outline the types the types of Russian retail investors (lay participants of the stock market) based on the digital technologies and tools they use, as ...
Added: May 12, 2025
Выявление манипуляций на российском фондовом рынке с использованием методов искусственного интеллекта
Khaziev G., Финансы и бизнес 2024 Т. 20 № 4 С. 57–78
This paper examines the the eff ectiveness of artifi cial intelligence models to detect manipulation of Russian stocks based on the authors’ sample of 866 manipulation cases over the period from 2012 to 2024. We build four artifi cial intelligence classifi cation models to fi nd the most eff ective method for manipulation detection: Logistic ...
Added: February 8, 2025
Model for Assessing the Liquidity of a Stock Market Trading Instrument
Sizykh D., Tregub K., Belyakov B. et al., , in: 2024 17th International Conference on Management of Large-Scale System Development (MLSD).: IEEE, 2024. P. 1–5.
Currently, a large number of studies are being conducted to improve the accuracy of the developed forecasting methods for the stock market. At the same time, multivariate models based on machine learning methods are increasingly used. Since liquidity indicators have a significant impact on asset pricing, taking them into account can improve the accuracy of ...
Added: January 15, 2025
Цена на нефть и российский фондовый индекс: анализ причинной связи
Свиридов О. И., Skorobogatov A., Прикладная эконометрика 2025 Т. 77 С. 5–24
Paper analyzes a causal link between oil price and the Russian stock market. One of the findings is that only price shocks related to economic activity or future oil supply expectations have persistent impacts on the stock market, while the effects of supply-related oil shocks are insignificant. In addition, jumps in oil price volatility have ...
Added: November 21, 2024
Optimal Estimation in Mixed-Membership Stochastic Block Models
Noskov F., Panov M., / Series arXiv "math". 2023.
Community detection is one of the most critical problems in modern network science. Its applications can be found in various fields, from protein modeling to social network analysis. Recently, many papers appeared studying the problem of overlapping community detection, where each node of a network may belong to several communities. In this work, we consider ...
Added: May 31, 2024
Simulation Modeling of Information Transfer Between Stock Exchanges Based on a Multi-Agent Model
Lukianchenko P., Интеллектуальные системы в производстве 2023 Т. 21 № 4 С. 88–94
. ...
Added: March 5, 2024
Lagrangian stochastic integrals of motion in isotropic random flows
Sirota V. A., Ilyin A., Kopyev A. V. et al., Physics of Fluids 2024 Vol. 36 No. 2 Article 021701
A set of exact integrals of motion is found for systems driven by homogenous isotropic stochastic flow. The integrals of motion describe the evolution of (hyper-)surfaces of different dimensions transported by the flow and can be expressed in terms of local surface densities. The expression for the integrals is universal: it represents general geometric properties ...
Added: February 17, 2024
Социально-демографический портрет и ценностные установки пользователей инвестиционных приложений в России
Iudin I., Экономическая социология 2024 Т. 25 № 2 С. 58–87
The past decade saw a rapid increase in the number of retail investors. The number of people holding brokerage accounts in Russia increased from 1 million in 2012 up to 23 million in 2022. This was mostly due to the lower market entry barriers and the widespread adoption of mobile investment apps. This paper examines ...
Added: January 12, 2024
Economic policy uncertainty, geopolitical risk, market sentiment, and regional stocks: asymmetric analyses of the EU sectors
Bossman A., Gubareva M., Teplova T., Eurasian Economic Review 2023 Vol. 13 P. 321–372
The purpose of this study is to investigate the asymmetric effects of economic policy uncertainty (EPU), geopolitical risk (GPR), and market sentiment (VIX) on European Union (EU) stocks by sectors of economic activity. The design and methodological approach of our research are rooted in parametric and nonparametric quantile-based techniques. We employ monthly data covering eleven sectors of economic activity ...
Added: January 8, 2024
Index Fund Portfolios Efficiency on the Stock Markets of the Russia, USA, Germany and China for 2012-2022
Sizykh N., Natalia Dendeberova, Sizykh D., , in: 16th International Conference Management of large-scale system development (MLSD).: IEEE, 2023. P. 1–5.
An analysis of the performance indicators of index investment portfolios of the Russian Federation, the USA, Germany and China stock markets for 2012-2022 was carried out. The most effective methods for optimizing index portfolios have been identified. An analysis and comparison of factors influencing the efficiency of index portfolios of various stock markets was carried ...
Added: December 22, 2023
Сентимент инвесторов и аномалии в поведении биржевых характеристик инвестиционных активов
Teplova T., Sokolova T., Fayzulin M. et al., М.: ИНФРА-М, 2022.
Монография научных сотрудников Центра финансовых исследований и анализа данных (ЦФИАнД) факультета экономических наук (ФЭН) НИУ ВШЭ впервые обобщает описанные в академической литературе эмпирические результаты тестирования различных гипотез о поведении инвестиционных активов под влиянием метрик инвестиционного внимания и сентимента, а также демонстрирует авторские приемы анализа текстовых сообщений в различных каналах коммуникаций. Представлен большой статистический материал по участию розничных инвесторов ...
Added: January 16, 2023
Инвестиционный режим иностранных ценных бумаг: правовые аспекты
Lapteva A., Скворцов О. Ю., Российский юридический журнал 2022 № 4 С. 110–120
The paper is devoted to the analysis of the investment regime of foreign securities admitted to the Russian stock market. The analysis is based on the postulate that domestic legislation regulates investment activity sector-by-sector or point-by-point. This also applies to such an area as the admission of Russian investors to purchase securities issued by foreign ...
Added: December 3, 2022
Multifractal Early Warning Signals about Sudden Changes in the Stock Exchange States
Dmitriev A., Lebedev A., Kornilov V. et al., Complexity 2022 Vol. 2022 Article 8177307
Critical phenomena in stock exchange are regularly occurring and difficult to predict events, often leading to disastrous consequences. The presented paper is devoted to the search and research of early warning signals of critical transitions in stock exchange based on the results of a multifractal analysis of a series of transactions in shares of public ...
Added: October 28, 2022
Sampling discretization and related problems
Kashin B. S., Kosov E., Limonova I. V. et al., Journal of Complexity 2022 Vol. 71 Article 101653
This survey addresses sampling discretization and its connections with other areas of mathematics. The survey concentrates on sampling discretization of norms of elements of finite-dimensional subspaces. We present here known results on sampling discretization of both integral norms and the uniform norm beginning with classical results and ending with very recent achievements. We also show how sampling ...
Added: June 1, 2022
Управление риском активных портфельных стратегий в условиях финансового кризиса: мониторинг аномалий биржевого спроса и предложения
Петров С. С., Kashina O., Ошарина Н. Н., Аудит и финансовый анализ 2016 № 3 С. 210–219
На основе подхода Вальраса к ценообразованию финансовых активов в работе исследуются аномалии спроса и предложения, ранее обнаруженные авторами при изучении фондового кризиса 2008-2009 гг. в России. Онлайн-анализ лимитных заявок показывает, что в преддверии кризиса иногда наблюдается регулярная склонность крупных инвесторов к покупке различных акций на фоне начавшегося нисходящего тренда их цены. Показано, что это явление можно ...
Added: February 1, 2022
  • About
  • About
  • Key Figures & Facts
  • Sustainability at HSE University
  • Faculties & Departments
  • International Partnerships
  • Faculty & Staff
  • HSE Buildings
  • HSE University for Persons with Disabilities
  • Public Enquiries
  • Studies
  • Admissions
  • Programme Catalogue
  • Undergraduate
  • Graduate
  • Exchange Programmes
  • Summer University
  • Summer Schools
  • Semester in Moscow
  • Business Internship
  • Research
  • International Laboratories
  • Research Centres
  • Research Projects
  • Monitoring Studies
  • Conferences & Seminars
  • Academic Jobs
  • Yasin (April) International Academic Conference on Economic and Social Development
  • Media & Resources
  • Publications by staff
  • HSE Journals
  • Publishing House
  • iq.hse.ru: commentary by HSE experts
  • Library
  • Economic & Social Data Archive
  • Video
  • HSE Repository of Socio-Economic Information
  • HSE1993–2026
  • Contacts
  • Copyright
  • Privacy Policy
  • Site Map
Edit