most citedPermutation symmetry in large N Matrix Quantum Mechanics and Partition Algebras

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q-fin.ST2023

Permutation invariant Gaussian matrix models for financial correlation matrices

George Barnes, Sanjaye Ramgoolam, Michael Stephanou

We construct an ensemble of correlation matrices from high-frequency foreign exchange market data, with one matrix for every day for 446 days. The matrices are symmetric and have v…