英文标题：
《Localization in covariance matrices of coupled heterogenous
  Ornstein-Uhlenbeck processes》
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作者：
Paolo Barucca
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最新提交年份：
2014
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英文摘要：
  We define a random-matrix ensemble given by the infinite-time covariance matrices of Ornstein-Uhlenbeck processes at different temperatures coupled by a Gaussian symmetric matrix. The spectral properties of this ensemble are shown to be in qualitative agreement with some stylized facts of financial markets. Through the presented model formulas are given for the analysis of heterogeneous time-series. Furthermore evidence for a localization transition in eigenvectors related to small and large eigenvalues in cross-correlations analysis of this model is found and a simple explanation of localization phenomena in financial time-series is provided. Finally we identify both in our model and in real financial data an inverted-bell effect in correlation between localized components and their local temperature: high and low temperature/volatility components are the most localized ones.
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中文摘要：
我们定义了一个随机矩阵系综，由高斯对称矩阵耦合的不同温度下Ornstein-Uhlenbeck过程的无限时间协方差矩阵给出。该系综的光谱特性与金融市场的一些典型事实在定性上是一致的。通过提出的模型，给出了分析非均匀时间序列的公式。此外，在该模型的互相关分析中，发现了与小特征值和大特征值相关的特征向量中存在局部化转变的证据，并对金融时间序列中的局部化现象提供了一个简单的解释。最后，我们在我们的模型和真实金融数据中都发现了局部成分与其局部温度之间相关性的倒贝尔效应：高温和低温/波动性成分是最局部的。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Physics        物理学
二级分类：Statistical Mechanics        统计力学
分类描述：Phase transitions, thermodynamics, field theory, non-equilibrium phenomena, renormalization group and scaling, integrable models, turbulence
相变，热力学，场论，非平衡现象，重整化群和标度，可积模型，湍流
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