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Coarse graining correlation matrices according to macrostructures: Financial markets as a paradigm
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.
Dynamics of the market states in the space of correlation matrices with applications to financial markets
The concept of states of financial markets based on correlations has gained increasing attention during the last 10 years.
Dynamics of market states and risk assessment
Previous research explored various conditions of financial markets based on the similarity of correlation structures and classified as market states.
Network geometry and market instability
The complexity of financial markets arise from the strategic interactions among agents trading stocks, which manifest in the form of vibrant correlation patterns among stock prices.
A perspective on correlation-based financial networks and entropy measures
In this brief review, we critically examine the recent work done on correlation-based networks in financial systems.
Market states: A new understanding
We investigate the statistical properties of correlation matrices constructed from the sliding epochs.
Phase separation and scaling in correlation structures of financial markets
The correlation structures change drastically, akin to phase transitions in physical phenomena, as do the influential stocks (leaders) and sectors (communities), during market events like crashes.
