most citedEigenvalue Distribution of Empirical Correlation Matrices for Multiscale Complex Systems and Application to Financial Data

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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…