42 citations · 80 across the 15 of their papers we have counts for
7 papers · 1 filter
Coarse graining correlation matrices according to macrostructures: Financial markets as a paradigm
M. Mijaíl Martínez-Ramos, Parisa Majari, Andres R. Cruz-Hernández +2
We analyze correlation structures in financial markets by coarse graining the Pearson correlation matrices according to market sectors to obtain Guhr matrices using Guhr's correlat…
Dynamics of the market states in the space of correlation matrices with applications to financial markets
Hirdesh K. Pharasi, Suchetana Sadhukhan, Parisa Majari +2
The concept of states of financial markets based on correlations has gained increasing attention during the last 10 years. We propose to retrace some important steps up to 2018, an…
Dynamics of market states and risk assessment
Hirdesh K. Pharasi, Eduard Seligman, Suchetana Sadhukhan +2
Previous research explored various conditions of financial markets based on the similarity of correlation structures and classified as market states. We introduce modifications to…
Network geometry and market instability
Areejit Samal, Hirdesh K. Pharasi, Sarath Jyotsna Ramaia +4
The complexity of financial markets arise from the strategic interactions among agents trading stocks, which manifest in the form of vibrant correlation patterns among stock prices…
Phase separation and scaling in correlation structures of financial markets
Anirban Chakraborti, Hrishidev, Kiran Sharma +1
Financial markets, being spectacular examples of complex systems, display rich correlation structures among price returns of different assets. The correlation structures change dra…
Complex market dynamics in the light of random matrix theory
Hirdesh K. Pharasi, Kiran Sharma, Anirban Chakraborti +1
We present a brief overview of random matrix theory (RMT) with the objectives of highlighting the computational results and applications in financial markets as complex systems. An…
Identifying long-term precursors of financial market crashes using correlation patterns
Hirdesh K. Pharasi, Kiran Sharma, Rakesh Chatterjee +3
The study of the critical dynamics in complex systems is always interesting yet challenging. Here, we choose financial market as an example of a complex system, and do a comparativ…