2 papers
math-ph2021
Generic Features in the Spectral Decomposition of Correlation Matrices
Yuriy Stepanov, Hendrik Herrmann, Thomas Guhr
We show that correlation matrices with particular average and variance of the correlation coefficients have a notably restricted spectral structure. Applying geometric methods, we…
q-fin.ST2015
Dynamics of quasi-stationary systems: Finance as an example
Philip Rinn, Yuriy Stepanov, Joachim Peinke +2
We propose a combination of cluster analysis and stochastic process analysis to characterize high-dimensional complex dynamical systems by few dominating variables. As an example,…