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arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,657 papers · 148 categories

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0111 · Jun 200919922001200920172026
3 results for “tracy-widom”
A causal interactions indicator between two time series using extreme variations in the first eigenvalue of lagged correlation matricesq-fin.PM

Method identifies causal interactions between time series using extreme eigenvalue variability.

problem Detecting causal interactions between time series.
method Largest eigenvalue of lagged correlation matrices, measuring causal interactions through variability.
result The method outperforms traditional Granger causality tests in detecting structural changes.
time seriescausal interactionseigenvalueeigenvalue variabilitylagged correlation
2023-07-11abs ↗pdf ↗
Community-level Contagion among Diverse Financial Assetsphysics.soc-ph

Study examines financial contagion at community level, finding increased contagion density and widespread transmission.

problem Understanding and managing financial contagion in interconnected markets.
method High-frequency data, Louvain community detection, Vector Autoregression, Tracy-Widom random matrix theory.
result Contagion density increases over time, and there is no significant difference between intra- and inter-community contagion.
financial contagioncommunity detectionhigh-frequency datavector autoregressiontracy-widom
2025-09-10abs ↗pdf ↗