Научно-исследовательский семинар «Вычислительные среды»

Докладчик: Мартинес Рамос Мануэль Михаил, научный сотрудник Лаборатории вычислительной физики МИЭМ НИУ ВШЭ

Название доклада: Correlations beyond the trend: a study on financial markets

Аннотация:  In Scientific Reports 2, 644 (10.1038/srep00644), data on stocks of companies of the S & P 500 Index are analyzed, in the period from 1992 to 2010, obtaining sequences of correlation matrices. These matrices form clusters with characteristic correlation patterns, called market states. The state of the market, defined as the highest eigenvalue of the correlation matrix, is coupled to the average correlation, which is generally high. The geometric centers of the clusters that make up the market states, show at first glance the persistence of high intrasectoral correlations. These, on the other hand, seem to evolve into more complex patterns. Using the techniques of partial correlation, Guhr projection and coarse graining, we seek to discern the dynamics of the market beyond its principal component. We found a market state not observed before, during the time of the COVID-19 pandemic (PLOS ONE 19, E0301238 (2024): 10.1371/journal.pone.0301238). In addition, we give evidence of the sufficiency of the average inter- and intra-sectoral correlations, as a characteristic of market states (Physica Scripta 99 085204 (2024): 10.1088/1402-4896/ad5b97).

Семинар пройдет в аудитории 125 (Таллинская 34).

Для заказа пропуска слушателям из других организаций писать на почту секретарю семинара Суховерховой Диане Дмитриевне dsukhoverkhova@hse.ru.

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