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q-fin.ST2024
Multivariate Distributions in Non-Stationary Complex Systems II: Empirical Results for Correlated Stock Markets
Anton J. Heckens, Efstratios Manolakis, Cedric Schuhmann +1
Multivariate Distributions are needed to capture the correlation structure of complex systems. In previous works, we developed a Random Matrix Model for such correlated multivariat…
q-fin.ST2024★ 2 cited
Multivariate Distributions in Non-Stationary Complex Systems I: Random Matrix Model and Formulae for Data Analysis
Efstratios Manolakis, Anton J. Heckens, Benjamin Köhler +1
Risk assessment for rare events is essential for understanding systemic stability in complex systems. As rare events are typically highly correlated, it is important to study heavy…