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q-fin.ST2025★ 3 cited
Eigenvalue Distribution of Empirical Correlation Matrices for Multiscale Complex Systems and Application to Financial Data
Luan M. T. de Moraes, Antônio M. S. Macêdo, Giovani L. Vasconcelos +1
We introduce a method for describing eigenvalue distributions of correlation matrices from multidimensional time series. Using our newly developed matrix H theory, we improve the d…
q-fin.ST2025★ 4 cited
Matrix H-theory approach to stock market fluctuations
Luan M. T. de Moraes, Antônio M. S. Macedo, Raydonal Ospina +1
We introduce matrix H theory, a framework for analyzing collective behavior arising from multivariate stochastic processes with hierarchical structure. The theory models the joint…