Zobrazeno 1 - 10
of 58
pro vyhledávání: '"Pharasi, Hirdesh K."'
Autor:
Martínez-Ramos, M. Mijaíl, Majari, Parisa, Cruz-Hernández, Andres R., Pharasi, Hirdesh K., Vyas, Manan
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 correlation method according to Ref. [P. Rinn {\it et. al.}, Europhysics Lette
Externí odkaz:
http://arxiv.org/abs/2402.05364
Autor:
Kulkarni, Saumitra, Pharasi, Hirdesh K., Vijayaraghavan, Sudharsan, Kumar, Sunil, Chakraborti, Anirban, Samal, Areejit
Publikováno v:
In Physica A: Statistical Mechanics and its Applications 1 June 2024 643
Autor:
Pharasi, Hirdesh K., Sadhukhan, Suchetana, Majari, Parisa, Chakraborti, Anirban, Seligman, Thomas H.
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, and then give a more detailed view of recent developments that attempt t
Externí odkaz:
http://arxiv.org/abs/2107.05663
Autor:
Pharasi, Hirdesh K., Seligman, Eduard, Sadhukhan, Suchetana, Majari, Parisa, Seligman, Thomas H.
Publikováno v:
In Physica A: Statistical Mechanics and its Applications 1 January 2024 633
Autor:
Pharasi, Hirdesh K., Seligman, Eduard, Sadhukhan, Suchetana, Majari, Parisa, Seligman, Thomas H.
Previous research explored various conditions of financial markets based on the similarity of correlation structures and classified as market states. We introduce modifications to previous selection criteria for these market states, mainly due to inc
Externí odkaz:
http://arxiv.org/abs/2011.05984
Autor:
Samal, Areejit, Pharasi, Hirdesh K., Ramaia, Sarath Jyotsna, Kannan, Harish, Saucan, Emil, Jost, Jürgen, Chakraborti, Anirban
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. Over the past few decades, complex financial markets have often been
Externí odkaz:
http://arxiv.org/abs/2009.12335
In this brief review, we critically examine the recent work done on correlation-based networks in financial systems. The structure of empirical correlation matrices constructed from the financial market data changes as the individual stock prices flu
Externí odkaz:
http://arxiv.org/abs/2004.09448
We present the clustering analysis of the financial markets of S&P 500 (USA) and Nikkei 225 (JPN) markets over a period of 2006-2019 as an example of a complex system. We investigate the statistical properties of correlation matrices constructed from
Externí odkaz:
http://arxiv.org/abs/2003.07058
Financial markets, being spectacular examples of complex systems, display rich correlation structures among price returns of different assets. The correlation structures change drastically, akin to phase transitions in physical phenomena, as do the i
Externí odkaz:
http://arxiv.org/abs/1910.06242
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 oft-encountered problem in computational finance is the choice of an
Externí odkaz:
http://arxiv.org/abs/1809.07100