Using the eigenvalues and eigenvectors of correlations matrices of some of the main
financial market indices in the world, we show that high volatility of markets is directly linked …

In this study, we first build two empirical cross-correlation matrices in the US stock market by
two different methods, namely the Pearson's correlation coefficient and the detrended cross …

We analyze the cross-correlation matrix C of the index returns of the main financial markets
after the 2008 crisis using methods of random matrix theory. We test the eigenvalues of C for …

This paper presents a quantitative analysis of the relationship between the stock market
returns and corresponding trading volumes using high-frequency data from the Polish stock …

Using data from world stock exchange indices prior to and during periods of global financial
crises, clusters and networks of indices are built for asset graphs based on distance …

The paper uses empirical data, including 42 globally main stock indices in the period 1996–
2014, to systematically study the evolution of fluctuation modes and inner structures of …

2.1. Numerical simulation of Free Central Limit Theorem for the eigenvalues Gaussian
random matrices of different sizes N. The red line represents the theoretical spectral density …