Asymmetric correlation matrices: an analysis of financial data
AbstractWe analyze the spectral properties of correlation matrices between distinct statistical systems. Such matrices are intrinsically non symmetric, and lend themselves to extend the spectral analyses usually performed on standard Pearson correlation matrices to the realm of complex eigenvalues. We employ some recent random matrix theory results on the average eigenvalue density of this type of matrices to distinguish between noise and non trivial correlation structures, and we focus on financial data as a case study. Namely, we employ daily prices of stocks belonging to the American and British stock exchanges, and look for the emergence of correlations between two such markets in the eigenvalue spectrum of their non symmetric correlation matrix. We find several non trivial results, also when considering time-lagged correlations over short lags, and we corroborate our findings by additionally studying the asymmetric correlation matrix of the principal components of our datasets.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1201.6535.
Date of creation: Jan 2012
Date of revision: Apr 2012
Publication status: Published in Eur. Phys. J. B 85, 213 (2012)
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-02-15 (All new papers)
- NEP-ECM-2012-02-15 (Econometrics)
- NEP-ETS-2012-02-15 (Econometric Time Series)
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- Sandoval, Leonidas Junior, 2013. "To lag or not to lag? How to compare indices of stock markets that operate at different times," Insper Working Papers wpe_319, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
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