Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Random matrix ensembles of time-lagged correlation matrices: Derivation
  of eigenvalue spectra and analysis of financial time-series   We derive the exact form of the eigenvalue spectra of correlation matrices
derived from a set of time-shifted, finite Brownian random walks (time-series).
These matrices can be seen as random, real, asymmetric matrices with a special
structure superimposed due to the time-shift. We demonstrate that the
associated eigenvalue spectrum is circular symmetric in the complex plane for
large matrices. This fact allows us to exactly compute the eigenvalue density
via an inverse Abel-transform of the density of the symmetrized problem. We
demonstrate the validity of this approach by numerically computing eigenvalue
spectra of lagged correlation matrices based on uncorrelated, Gaussian
distributed time-series. We then compare our theoretical findings with
eigenvalue densities obtained from actual high frequency (5 min) data of the
S&P500 and discuss the observed deviations. We identify various non-trivial,
non-random patterns and find asymmetric dependencies associated with
eigenvalues departing strongly from the Gaussian prediction in the imaginary
part. For the same time-series, with the market contribution removed, we
observe strong clustering of stocks, i.e. causal sectors. We finally comment on
the time-stability of the observed patterns.

37
The categories of this paper are: supr-con
5
The categories of this paper are: gr-qc
18
The categories of this paper are: econ
19
The categories of this paper are: eess
10
The categories of this paper are: q-bio
26
The categories of this paper are: bayes-an
14
The categories of this paper are: math-ph
33
The categories of this paper are: plasm-ph
24
The categories of this paper are: dg-ga
32
The categories of this paper are: atom-ph
12
The categories of this paper are: nucl-th
7
The categories of this paper are: hep-th
15
The categories of this paper are: nucl-ex
30
The categories of this paper are: q-alg
4
The categories of this paper are: cond-mat
16
The categories of this paper are: stat