Dynamics of the market states in the space of correlation matrices with applications to financial markets
arXiv:2107.05663
Abstract
The concept of states of financial markets based on correlations has gained increasing attention during the last 10 years. We propose to retrace some important steps up to 2018, and then give a more detailed view of recent developments that attempt to make the use of this more practical. Finally, we try to give a glimpse to the future proposing the analysis of trajectories in correlation matrix space directly or in terms of symbolic dynamics as well as attempts to analyze the clusters that make up the states in a random matrix context.
16 pages, 9 figures, to appear in the Proceedings Volume, Eds. Anirban Chakraborti, Emmanuel Haven, Sudip Patra and Naresh Singh, "Quantum Decision Theory and Complexity Modelling in Economics and Public Policy" (Springer-Cham, New Economic Windows)