Search for content and authors
 

Applying Free Random Variables to the Analysis of Temporal Correlations in Real Complex Systems

Malgorzata Snarska 

Jagiellonian University, Institute of Physics (IF UJ), Reymonta 4, Kraków 30-059, Poland
Cracow University of Economics (CUOE), Rakowicka 27, Kraków 31-510, Poland

Abstract

Spatio-temporal structure of correlations and optimal forecasts of future correlations is a task of major importance. However, the information about cross-correlations and their temporal dynamics is usually inferred from historical (past) observations, which are inevitably contaminated by measurement noise and it is a constant challenge to unscramble signal from noise. The main purpose of this thesis is to study the dynamical properties of real complex systems such as e.g. economy and/or financial market by looking at their spectral properties eg. density of eigenvalues under umbrella of Free Random Variables Calculus and Random Matrix Theory.

 

Auxiliary resources (full texts, presentations, posters, etc.)
  1. POSTER: Applying Free Random Variables to the Analysis of Temporal Correlations in Real Complex Systems, PDF document, version 1.4, 0.2MB
 

Legal notice
  • Legal notice:
 

Related papers

Presentation: Poster at 5 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych", by Malgorzata Snarska
See On-line Journal of 5 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych"

Submitted: 2010-11-05 10:38
Revised:   2010-11-05 10:52