1 citations · 3 across the 4 of their papers we have counts for
4 papers
From sectorial coarse graining to extreme coarse graining of S&P 500 correlation matrices
Manan Vyas, M. Mijaíl Martínez-Ramos, Parisa Majari +1
Starting from the Pearson Correlation Matrix of stock returns and from the desire to obtain a reduced number of parameters relevant for the dynamics of a financial market, we propo…
COVID anomaly in the correlation analysis of S&P 500 market states
M. Mijaíl Martínez-Ramos, Manan Vyas, Parisa Majai +1
Analyzing market states of the S&P 500 components on a time horizon January 3, 2006 to August 10, 2023, we found the appearance of a new market state not previously seen and we sha…
Dynamics of the market states in the space of correlation matrices with applications to financial markets
Hirdesh K. Pharasi, Suchetana Sadhukhan, Parisa Majari +2
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, an…
Dynamics of market states and risk assessment
Hirdesh K. Pharasi, Eduard Seligman, Suchetana Sadhukhan +2
Previous research explored various conditions of financial markets based on the similarity of correlation structures and classified as market states. We introduce modifications to…