Universal correlations and power-law tails in financial covariance matrices

We investigate whether quantities such as the global spectral density or individual eigenvalues of financial covariance matrices can be best modelled by standard random matrix theory or rather by its generalisations displaying power-law tails. In order to generate individual eigenvalue distributions a chopping procedure is devised, which produces a statistical ensemble of asset-price covariances from a single instance of financial data sets. Local results for the smallest eigenvalue and individual spacings are very stable upon reshuffling the time windows and assets. They are in good agreement with the universal Tracy-Widom distribution and Wigner surmise, respectively. This suggests a strong degree of robustness especially in the low-lying sector of the spectra, most relevant for portfolio selections. Conversely, the global spectral density of a single covariance matrix as well as the average over all unfolded nearest-neighbour spacing distributions deviate from standard Gaussian random matrix predictions. The data are in fair agreement with a recently introduced generalised random matrix model, with correlations showing a power-law decay.     

The smallest eigenvalue distribution at the spectrum edge of random matrices

Pfaffian expressions are derived for the smallest eigenvalue distributions of Laguerre orthogonal and symplectic ensembles of random matrices. Asymptotic forms of the smallest eigenvalue distributions are evaluated in the limit of large matrix dimension.     

Random Incidence Matrices: Moments of the Spectral Density

We study numerically and analytically the spectrum of incidence matrices of random labeled graphs on N vertices: any pair of vertices is connected by an edge with probability p. We give two algorithms to compute the moments of the eigenvalue distribution as explicit polynomials in N and p. For large N and fixed p the spectrum contains a large eigenvalue at Np and a semicircle of small eigenvalues. For large N and fixed average connectivity pN (dilute or sparse random matrices limit) we show that the spectrum always contains a discrete component. An anomaly in the spectrum near eigenvalue 0 for connectivity close to e is observed. We develop recursion relations to compute the moments as explicit polynomials in pN. Their growth is slow enough so that they determine the spectrum. The extension of our methods to the Laplacian matrix is given in Appendix.     

Asymptotic Distribution of Eigenvalues of Weakly Dilute Wishart Matrices

We study the eigenvalue distribution of large random matrices that are randomly diluted. We consider two random matrix ensembles that in the pure (nondilute) case have a limiting eigenvalue distribution with a singular component at the origin. These include the Wishart random matrix ensemble and Gaussian random matrices with correlated entries. Our results show that the singularity in the eigenvalue distribution is rather unstable under dilution and that even weak dilution destroys it. This revised version was published online in July 2006 with corrections to the Cover Date.     

Speed of synchronization in complex networks of neural oscillators: analytic results based on Random Matrix Theory

We analyze the dynamics of networks of spiking neural oscillators. First, we present an exact linear stability theory of the synchronous state for networks of arbitrary connectivity. For general neuron rise functions, stability is determined by multiple operators, for which standard analysis is not suitable. We describe a general nonstandard solution to the multioperator problem. Subsequently, we derive a class of neuronal rise functions for which all stability operators become degenerate and standard eigenvalue analysis becomes a suitable tool. Interestingly, this class is found to consist of networks of leaky integrate-and-fire neurons. For random networks of inhibitory integrate-and-fire neurons, we then develop an analytical approach, based on the theory of random matrices, to precisely determine the eigenvalue distributions of the stability operators. This yields the asymptotic relaxation time for perturbations to the synchronous state which provides the characteristic time scale on which neurons can coordinate their activity in such networks. For networks with finite in-degree, i.e., finite number of presynaptic inputs per neuron, we find a speed limit to coordinating spiking activity. Even with arbitrarily strong interaction strengths neurons cannot synchronize faster than at a certain maximal speed determined by the typical in-degree.     

Reproducible sequence generation in random neural ensembles

Little is known about the conditions that neural circuits have to satisfy to generate reproducible sequences. Evidently, the genetic code cannot control all the details of the complex circuits in the brain. In this Letter, we give the conditions on the connectivity degree that lead to reproducible and robust sequences in a neural population of randomly coupled excitatory and inhibitory neurons. In contrast to the traditional theoretical view we show that the sequences do not need to be learned. In the framework proposed here just the averaged characteristics of the random circuits have to be under genetic control. We found that rhythmic sequences can be generated if random networks are in the vicinity of an excitatory-inhibitory synaptic balance. Reproducible transient sequences, on the other hand, are found far from a synaptic balance.     

Percolation in living neural networks

We study living neural networks by measuring the neurons' response to a global electrical stimulation. Neural connectivity is lowered by reducing the synaptic strength, chemically blocking neurotransmitter receptors. We use a graph-theoretic approach to show that the connectivity undergoes a percolation transition. This occurs as the giant component disintegrates, characterized by a power law with an exponent beta approximately or = 0.65. Beta is independent of the balance between excitatory and inhibitory neurons and indicates that the degree distribution is Gaussian rather than scale free.     

Ensemble averageability in network spectra

The extreme eigenvalues of connectivity matrices govern the influence of the network structure on a number of network dynamical processes. A fundamental open question is whether the eigenvalues of large networks are well represented by ensemble averages. Here we investigate this question explicitly and validate the concept of ensemble averageability in random scale-free networks by showing that the ensemble distributions of extreme eigenvalues converge to peaked distributions as the system size increases. We discuss the significance of this result using synchronization and epidemic spreading as example processes.     

Rigidity and normal modes in random matrix spectra

We consider the Gaussian ensembles of random matrices and describe the normal modes of the eigenvalue spectrum, i.e., the correlated fluctuations of eigenvalues about their most probable values. The associated normal mode spectrum is linear, and for large matrices, the normal modes are found to be Chebyshev polynomials of the second kind. We contrast this with the behaviour of a sequence of uncorrelated levels, which has a quadratic normal mode spectrum. The difference in the rigidity of random matrix spectra and sequences of uncorrelated levels can be attributed to this difference in the normal mode spectra. We illustrate this by calculating the number variance in the two cases.     

Coherent periodic activity in excitatory Erdös-Renyi neural networks: the role of network connectivity

In this article, we investigate the role of connectivity in promoting coherent activity in excitatory neural networks. In particular, we would like to understand if the onset of collective oscillations can be related to a minimal average connectivity and how this critical connectivity depends on the number of neurons in the networks. For these purposes, we consider an excitatory random network of leaky integrate-and-fire pulse coupled neurons. The neurons are connected as in a directed Erdo?s-Renyi graph with average connectivity scaling as a power law with the number of neurons in the network. The scaling is controlled by a parameter γ, which allows to pass from massively connected to sparse networks and therefore to modify the topology of the system. At a macroscopic level, we observe two distinct dynamical phases: an asynchronous state corresponding to a desynchronized dynamics of the neurons and a regime of partial synchronization (PS) associated with a coherent periodic activity of the network. At low connectivity, the system is in an asynchronous state, while PS emerges above a certain critical average connectivity (c). For sufficiently large networks, (c) saturates to a constant value suggesting that a minimal average connectivity is sufficient to observe coherent activity in systems of any size irrespectively of the kind of considered network: sparse or massively connected. However, this value depends on the nature of the synapses: reliable or unreliable. For unreliable synapses, the critical value required to observe the onset of macroscopic behaviors is noticeably smaller than for reliable synaptic transmission. Due to the disorder present in the system, for finite number of neurons we have inhomogeneities in the neuronal behaviors, inducing a weak form of chaos, which vanishes in the thermodynamic limit. In such a limit, the disordered systems exhibit regular (non chaotic) dynamics and their properties correspond to that of a homogeneous fully connected network for any γ-value. Apart for the peculiar exception of sparse networks, which remain intrinsically inhomogeneous at any system size.     

Eigenvalue density of cross-correlations in Sri Lankan financial market

We apply the universal properties with Gaussian orthogonal ensemble (GOE) of random matrices namely spectral properties, distribution of eigenvalues, eigenvalue spacing predicted by random matrix theory (RMT) to compare cross-correlation matrix estimators from emerging market data. The daily stock prices of the Sri Lankan All share price index and Milanka price index from August 2004 to March 2005 were analyzed. Most eigenvalues in the spectrum of the cross-correlation matrix of stock price changes agree with the universal predictions of RMT. We find that the cross-correlation matrix satisfies the universal properties of the GOE of real symmetric random matrices. The eigen distribution follows the RMT predictions in the bulk but there are some deviations at the large eigenvalues. The nearest-neighbor spacing and the next nearest-neighbor spacing of the eigenvalues were examined and found that they follow the universality of GOE. RMT with deterministic correlations found that each eigenvalue from deterministic correlations is observed at values, which are repelled from the bulk distribution.     

Understanding the Variability in Graph Data Sets through Statistical Modeling on the Stiefel Manifold

Network analysis provides a rich framework to model complex phenomena, such as human brain connectivity. It has proven efficient to understand their natural properties and design predictive models. In this paper, we study the variability within groups of networks, i.e., the structure of connection similarities and differences across a set of networks. We propose a statistical framework to model these variations based on manifold-valued latent factors. Each network adjacency matrix is decomposed as a weighted sum of matrix patterns with rank one. Each pattern is described as a random perturbation of a dictionary element. As a hierarchical statistical model, it enables the analysis of heterogeneous populations of adjacency matrices using mixtures. Our framework can also be used to infer the weight of missing edges. We estimate the parameters of the model using an Expectation-Maximization-based algorithm. Experimenting on synthetic data, we show that the algorithm is able to accurately estimate the latent structure in both low and high dimensions. We apply our model on a large data set of functional brain connectivity matrices from the UK Biobank. Our results suggest that the proposed model accurately describes the complex variability in the data set with a small number of degrees of freedom.     

Eigenvalue density of linear stochastic dynamical systems: A random matrix approach

Eigenvalue problems play an important role in the dynamic analysis of engineering systems modeled using the theory of linear structural mechanics. When uncertainties are considered, the eigenvalue problem becomes a random eigenvalue problem. In this paper the density of the eigenvalues of a discretized continuous system with uncertainty is discussed by considering the model where the system matrices are the Wishart random matrices. An analytical expression involving the Stieltjes transform is derived for the density of the eigenvalues when the dimension of the corresponding random matrix becomes asymptotically large. The mean matrices and the dispersion parameters associated with the mass and stiffness matrices are necessary to obtain the density of the eigenvalues in the frameworks of the proposed approach. The applicability of a simple eigenvalue density function, known as the Marenko–Pastur (MP) density, is investigated. The analytical results are demonstrated by numerical examples involving a plate and the tail boom of a helicopter with uncertain properties. The new results are validated using an experiment on a vibrating plate with randomly attached spring–mass oscillators where 100 nominally identical samples are physically created and individually tested within a laboratory framework.     

Normal random matrix ensemble as a growth problem

In general or normal random matrix ensembles, the support of eigenvalues of large size matrices is a planar domain (or several domains) with a sharp boundary. This domain evolves under a change of parameters of the potential and of the size of matrices. The boundary of the support of eigenvalues is a real section of a complex curve. Algebro-geometrical properties of this curve encode physical properties of random matrix ensembles. This curve can be treated as a limit of a spectral curve which is canonically defined for models of finite matrices. We interpret the evolution of the eigenvalue distribution as a growth problem, and describe the growth in terms of evolution of the spectral curve. We discuss algebro-geometrical properties of the spectral curve and describe the wave functions (normalized characteristic polynomials) in terms of differentials on the curve. General formulae and emergence of the spectral curve are illustrated by three meaningful examples.     

Probability of Local Bifurcation Type from a Fixed Point: A Random Matrix Perspective

Results regarding probable bifurcations from fixed points are presented in the context of general dynamical systems (real, random matrices), time-delay dynamical systems (companion matrices), and a set of mappings known for their properties as universal approximators (neural networks). The eigenvalue spectrum is considered both numerically and analytically using previous work of Edelman et al. Based upon the numerical evidence, various conjectures are presented. The conclusion is that in many circumstances, most bifurcations from fixed points of large dynamical systems will be due to complex eigenvalues. Nevertheless, surprising situations are presented for which the aforementioned conclusion does not hold, e.g., real random matrices with Gaussian elements with a large positive mean and finite variance. PACS numbers: 05.45.−a, 05.45.Tp, 89.75.−k, 89.75.Fb     

The physical position neighbourhood evolving network model

Many social, technological, biological and economical systems are properly described by evolved network models. In this paper, a new evolving network model with the concept of physical position neighbourhood connectivity is proposed and studied. This concept exists in many real complex networks such as communication networks. The simulation results for network parameters such as the first nonzero eigenvalue and maximal eigenvalue of the graph Laplacian, clustering coefficients, average distances and degree distributions for different evolving parameters of this model are presented. The dynamical behaviour of each node on the consensus problem is also studied. It is found that the degree distribution of this new model represents a transition between power-law and exponential scaling, while the Barábasi-Albert scale-free model is only one of its special (limiting) cases. It is also found that the time to reach a consensus becomes shorter sharply with increasing of neighbourhood scale of the nodes.     

Network extreme eigenvalue: from mutimodal to scale-free networks

The extreme eigenvalues of adjacency matrices are important indicators on the influence of topological structures to the collective dynamical behavior of complex networks. Recent findings on the ensemble averageability of the extreme eigenvalue have further authenticated its applicability to the study of network dynamics. However, the ensemble average of extreme eigenvalue has only been solved analytically up to the second order correction. Here, we determine the ensemble average of the extreme eigenvalue and characterize its deviation across the ensemble through the discrete form of random scale-free network. Remarkably, the analytical approximation derived from the discrete form shows significant improvement over previous results, which implies a more accurate prediction of the epidemic threshold. In addition, we show that bimodal networks, which are more robust against both random and targeted removal of nodes, are more vulnerable to the spreading of diseases.     

相关变量随机数序列产生方法

当采用蒙特卡罗方法对很多问题进行研究时,有时需要对多维相关随机变量进行抽样.之前的研究表明:在协方差矩阵满足正定条件时,可以采用Cholesky分解方法产生多维相关随机变量.本文首先对产生多维相关随机变量的理论公式进行了推导,发现采用Cholesky分解并不是产生多维相关随机变量的唯一方法,其他的矩阵分解方法只要能满足协方差矩阵的分解条件,同样可以用来产生多维相关随机变量.同时给出了采用协方差矩阵、相对协方差矩阵和相关系数矩阵产生多维随机变量的公式,以方便以后使用.在此基础上,利用一个简单测试题和Jacobi矩阵分解方法对上述理论进行了验证.通过对大亚湾中微子能谱进行抽样分析,Jacobi矩阵分解和Cholesky矩阵分解结果一致.针对核工程中的不确定性分析常用的~(238)U辐射俘获截面协方差矩阵进行分解时,由于协方差矩阵的矩阵本征值有负值,导致很多矩阵分解方法无法使用,在引入置零修正以后发现,与Cholesky对角线置零修正相比,Jacobi负本征值置零修正的误差更小.     

Model architecture for associative memory in a neural network of spiking neurons

A synaptic connectivity model is assembled on a spiking neuron network aiming to build up a dynamic pattern recognition system. The connection architecture includes gap junctions and both inhibitory and excitatory chemical synapses based on Hebb’s hypothesis. The network evolution resulting from external stimulus is sampled in a properly defined frequency space. Neurons’ responses to different current injections are mapped onto a subspace using Principal Component Analysis. Departing from the base attractor, related to a quiescent state, different external stimuli drive the network to different fixed points through specific trajectories in this subspace.