Spectral density of the correlation matrix of factor models: A random matrix theory approach

Rosario Nunzio Mantegna; Fabrizio Lillo; Fabrizio Lillo; Rosario N. Mantegna

Spectral density of the correlation matrix of factor models: A random matrix theory approach

Rosario Nunzio Mantegna, Fabrizio Lillo, Fabrizio Lillo, Rosario N. Mantegna

Fisica e Chimica - Emilio Segrè

Risultato della ricerca: Article › peer review

28 Citazioni (Scopus)

Abstract

We studied the eigenvalue spectral density of the correlation matrix of factor models of multivariate time series. By making use of the random matrix theory, we analytically quantified the effect of statistical uncertainty on the spectral density due to the finiteness of the sample. We considered a broad range of models, ranging from one-factor models to hierarchical multifactor models.

Lingua originale	English
pagine (da-a)	016219-1-016219-10
Numero di pagine	10
Rivista	PHYSICAL REVIEW E, STATISTICAL, NONLINEAR, AND SOFT MATTER PHYSICS
Volume	72
Stato di pubblicazione	Published - 2005

All Science Journal Classification (ASJC) codes

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title = "Spectral density of the correlation matrix of factor models: A random matrix theory approach",

abstract = "We studied the eigenvalue spectral density of the correlation matrix of factor models of multivariate time series. By making use of the random matrix theory, we analytically quantified the effect of statistical uncertainty on the spectral density due to the finiteness of the sample. We considered a broad range of models, ranging from one-factor models to hierarchical multifactor models.",

author = "Mantegna, {Rosario Nunzio} and Fabrizio Lillo and Fabrizio Lillo and Mantegna, {Rosario N.}",

year = "2005",

language = "English",

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T1 - Spectral density of the correlation matrix of factor models: A random matrix theory approach

AU - Mantegna, Rosario Nunzio

AU - Lillo, Fabrizio

AU - Mantegna, Rosario N.

PY - 2005

Y1 - 2005

N2 - We studied the eigenvalue spectral density of the correlation matrix of factor models of multivariate time series. By making use of the random matrix theory, we analytically quantified the effect of statistical uncertainty on the spectral density due to the finiteness of the sample. We considered a broad range of models, ranging from one-factor models to hierarchical multifactor models.

AB - We studied the eigenvalue spectral density of the correlation matrix of factor models of multivariate time series. By making use of the random matrix theory, we analytically quantified the effect of statistical uncertainty on the spectral density due to the finiteness of the sample. We considered a broad range of models, ranging from one-factor models to hierarchical multifactor models.

UR - http://hdl.handle.net/10447/2622

UR - https://www.ncbi.nlm.nih.gov/pubmed/16090078

M3 - Article

SN - 1539-3755

VL - 72

SP - 016219-1-016219-10

JO - Physical Review E - Statistical, Nonlinear, and Soft Matter Physics

JF - Physical Review E - Statistical, Nonlinear, and Soft Matter Physics

ER -

Spectral density of the correlation matrix of factor models: A random matrix theory approach

Abstract

All Science Journal Classification (ASJC) codes

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