Coarse graining correlation matrices according to macrostructures: Financial markets as a paradigm
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arXiv
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| Format: | Preprint |
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2024
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| _version_ | 1866909231383314432 |
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| author | Martínez-Ramos, M. Mijaíl Majari, Parisa Cruz-Hernández, Andres R. Pharasi, Hirdesh K. Vyas, Manan |
| author_facet | Martínez-Ramos, M. Mijaíl Majari, Parisa Cruz-Hernández, Andres R. Pharasi, Hirdesh K. Vyas, Manan |
| contents | 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 Ref. [P. Rinn {\it et. al.}, Europhysics Letters 110, 68003 (2015)]. 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. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2402_05364 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Coarse graining correlation matrices according to macrostructures: Financial markets as a paradigm Martínez-Ramos, M. Mijaíl Majari, Parisa Cruz-Hernández, Andres R. Pharasi, Hirdesh K. Vyas, Manan Statistical Finance Data Analysis, Statistics and Probability Applications 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 Ref. [P. Rinn {\it et. al.}, Europhysics Letters 110, 68003 (2015)]. 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. |
| title | Coarse graining correlation matrices according to macrostructures: Financial markets as a paradigm |
| topic | Statistical Finance Data Analysis, Statistics and Probability Applications |
| url | https://arxiv.org/abs/2402.05364 |