most citedA causal interactions indicator between two time series using extreme variations in the first eigenvalue of lagged correlation matrices

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q-fin.PM2023★ 1 cited

A causal interactions indicator between two time series using extreme variations in the first eigenvalue of lagged correlation matrices

Alejandro Rodriguez Dominguez, Om Hari Yadav

This paper presents a method to identify causal interactions between two time series. The largest eigenvalue follows a Tracy-Widom distribution, derived from a Coulomb gas model. T…