Signal inference in financial stock return correlations through phase-ordering kinetics in the quenched regime

Financial stock return correlations have been analyzed through the lens of random matrix theory to differentiate the underlying signal from spurious correlations. The continuous spectrum of the eigenvalue distribution derived from the stock return correlation matrix typically aligns with a rescaled Marchenko-Pastur distribution, indicating no detectable signal. In this study, we introduce a stochastic field theory model to establish a detection threshold for signals present in the limit where the eigenvalues are within the continuous spectrum, which itself closely resembles that of a random matrix where standard methods such as principal component analysis fail to infer a signal. We then apply our method to Standard & Poor's 500 financial stocks' return correlations, detecting the presence of a signal in the largest eigenvalues within the continuous spectrum.

Authors

Institutions

Publication Details

Journal
PLoS ONE
Published
2025-10-31
DOI
https://doi.org/10.1371/journal.pone.0334436
Primary Topic
Complex Systems and Time Series Analysis
Type
article
Field-Weighted Citation Impact
0.00
Controls
|||
ALL TIME
JAN
FEB
MAR
APR
MAY
JUN
JUL
AUG
SEP
OCT
article

Signal inference in financial stock return correlations through phase-ordering kinetics in the quenched regime

Vincent Lahoche, Dine Ousmane Samary, Ixandra Achitouv
PLoS ONE
Complex Systems and Time Series Analysis
article

Signal inference in financial stock return correlations through phase-ordering kinetics in the quenched regime

Vincent Lahoche, Dine Ousmane Samary, Ixandra Achitouv
article en

Abstract

Financial stock return correlations have been analyzed through the lens of random matrix theory to differentiate the underlying signal from spurious correlations. The continuous spectrum of the eigenvalue distribution derived from the stock return correlation matrix typically aligns with a rescaled Marchenko-Pastur distribution, indicating no detectable signal. In this study, we introduce a stochastic field theory model to establish a detection threshold for signals present in the limit where the eigenvalues are within the continuous spectrum, which itself closely resembles that of a random matrix where standard methods such as principal component analysis fail to infer a signal. We then apply our method to Standard & Poor's 500 financial stocks' return correlations, detecting the presence of a signal in the largest eigenvalues within the continuous spectrum.

PLoS ONEVol. 20(10)
Centre National de la Recherche Scientifique (FR), Université Paris-Saclay (FR), Université d'Abomey-Calavi (BJ), Laboratoire Matière et Systèmes Complexes (FR), CEA Paris-Saclay (FR)
Openalex Percentile: Top 59%
Complex Systems and Time Series Analysis
AI Navigator

Ask Laika to Summarize, Analyze, and Connect papers live on the map.

Summarize Papers & Methodologies

Extract key findings, datasets, and comparative methods across publications.

Benchmark Rankings & Visual Analytics

Rank top research institutions, authors, funders, topics, and journals by Field-Weighted Citation Impact (FWCI) and paper volume with instant charts.

Connect Distant Disciplines

Bridge topological clusters on the map to find hidden collaborative intersections.