• 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
  • 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
May 25, 2026
HSE Scientists Train Neural Network to 'Hear' Faults in Electric Motors
Researchers at the AI and Digital Science Institute of the HSE Faculty of Computer Science have developed a new method—the Signature-Guided Data Augmentation (SGDA) framework—that achieves 99% accuracy in motor fault detection and 86% accuracy in fault classification. The application of this approach can reduce industrial equipment repair costs, minimise downtime, and improve production safety. The study results have been published in Engineering Applications of Artificial Intelligence.
May 25, 2026
'The Humanities Serve as a Conscience'
Maria Mizernaia studies Soviet literature and the history of book publishing. In this interview for the HSE Young Scientists project, she discusses plans to publish a novel about besieged Leningrad, AI-provoked reflections on what it means to be human, and how novels can help satisfy our dopamine hunger.
May 25, 2026
Is It Possible to Predict a Citys Life Based on the Shape of Its Neighbourhoods?
Is it possible to predict, based on the configuration of streets and buildings, where a café will open or where traffic congestion will occur? Participants in the Spatial Analysis and Modelling of Urban Processes research and study group use open data and machine learning to identify universal patterns. Alexander Sheludkov and Eduard Somov discuss the purpose of comparing cities, the need for new forms of urban statistics, and how open data is transforming approaches to urban studies.

 

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 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
Диагностика рыночного оценивания фондовых активов с использованием моделей фундаментального анализа
Петров С. С., Бархатова Д. А., Kashina O. et al., Аудит и финансовый анализ 2015 № 6 С. 324–331
We have developed in the paper the method that allows to reveal stockholder’s expectations about stock prices growth. The procedure is based on the analysis of stock price and dividend payments time series; it was tested for a number of American and Russian securities. The attributes of “speculative” securities, securities with pessimistic forecasts and securities ...
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