We address the question of how to precisely identify correlated behavior between different firms in the economy by applying methods of random matrix theory (RMT). Specifically, we use methods of random matrix theory to analyze the cross-correlation matrix C of price changes of the largest 1000 US stocks for the 2-year period 1994–1995. We find that the statistics of most of the eigenvalues in t...

This paper addresses the problem of estimation when the cross-correlation in the errors between diierent random variables are unknown. A new data fusion algorithm, the Covariance Intersection Algorithm(CI), is presented. It is proved that this algorithm yields consistent estimates irrespective of the actual correlations. This property is illustrated in an application of decentralised estimation...

We have measured the X-ray/optical cross-correlation functions (CCFs) of the two black hole binary systems SWIFT J1753.5−0127 and GX 339−4 using ULTRACAM and RXTE. We find each one is unique and different from the one such measurement in the literature, for XTE J1118+480. Our CCFs are inconsistent with reprocessing, and suggest a mechanism which regulates emission between the different spectral...

In this paper we examine two couplings that produce time-shifted synchronization in a pair of chaotic oscillators. The couplings do not utilize an explicit timedelay term. We characterize the observed synchronization by determining the dependence of the time shift and cross correlation between the drive and response oscillators on a tunable parameter. Our observations agree well with estimates ...

One of the types of signals for which the LIGO interferometric gravitational wave detectors will search is a stochastic background of gravitational radiation. We review the technique of searching for a background using the optimally-filtered cross-correlation statistic, and describe the state of plans to perform such cross-correlations between the two LIGO interferometers as well as between LIG...

The summation generator is a real adder generator with a maximum period, near-maximum linear complexity and maximum order of correlation immunity. However it is neither secure against and nor immune to correlation attack between its output sequences and carry sequences in special cases. A modi"ed summation generator, secure against such an attack, has recently been proposed, but no proof is giv...

We consider the question of cross-correlation measurements using Virgo and the LSC Interferometers (LIGO Livingston, LIGO Hanford, and GEO600) to search for a stochastic gravitational-wave background. We find that inclusion of Virgo into the network will substantially improve the sensitivity to correlations above 200Hz if all detectors are operating at their design sensitivity. This is illustra...

We describe a new approach to constrain the amplitude of matter perturbations in the Universe using galaxy clusters. We combine the galaxy cluster X-ray luminosity function of the REFLEX survey with the mass– luminosity relationship obtained via gravitational lensing from a sample of galaxy clusters identified in Sloan Digital Sky Survey commissioning data and confirmed through cross-correlatio...