Toy model for large non-symmetric random matrices

Malgorzata Snarska ,  Maciej A. Nowak 

Jagiellonian University, Institute of Physics (IF UJ), Reymonta 4, Kraków 30-059, Poland

Abstract

Non-symmetric rectangular correlation random matrices occur in many problems in economics. We test the method of extracting statistically meaningful correlations between input and output variables of large dimensionality and build a toy model for artificially included correlations in large random time series.The results are then applied to analysis of polish macroeconomic data and can be used as an alternative to classical cointegration approach.

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Presentation: Oral at 3 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych", by Malgorzata Snarska
See On-line Journal of 3 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych"

Submitted: 2007-09-15 23:21
Revised:   2009-06-07 00:44
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