Abstract
We present an alternative method based on random matrix approach that enables to distinguish the respective role of temporal autocorrelations inside given time series and cross correlations between various time series. The proposed algorithm is based on the properties of Wigner eigenspectrum of random matrices instead of commonly used Wishart eigenspectrum methodology. It is then qualitatively and quantitatively applied to financial data of stocks building WIG 30 — the main Warsaw Stock Exchange Index.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
