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cond-mat.stat-mech2025
Deformation of semi-circle law for the correlated time series and Phase transition
Masato Hisakado, Takuya Kaneko
We study Wigner-type random matrices constructed from financial time series with temporal correlations. We characterize the deformed spectral law through its moments and observe be…
q-fin.RM2025
Phase transition in a long-memory log-Gaussian Cox process
Masato Hisakado, Shintaro Mori
We study a stochastic point process with power-law temporal correlations driven by hidden variables. We show that a generalized Merton-type model under an exponential-tail asset as…