Localization in covariance matrices of coupled heterogenous Ornstein-Uhlenbeck processes
نویسندگان
چکیده
منابع مشابه
Localization in covariance matrices of coupled heterogenous Ornstein-Uhlenbeck processes.
We define a random-matrix ensemble given by the infinite-time covariance matrices of Ornstein-Uhlenbeck processes at different temperatures coupled by a Gaussian symmetric matrix. The spectral properties of this ensemble are shown to be in qualitative agreement with some stylized facts of financial markets. Through the presented model formulas are given for the analysis of heterogeneous time se...
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ژورنال
عنوان ژورنال: Physical Review E
سال: 2014
ISSN: 1539-3755,1550-2376
DOI: 10.1103/physreve.90.062129