Mathematical Sciences Research Institute

Home » Workshop » Schedules » Cointegration, S&P, and random matrices

Cointegration, S&P, and random matrices

[HYBRID WORKSHOP] Connections and Introductory Workshop: Universality and Integrability in Random Matrix Theory and Interacting Particle Systems, Part 1 August 23, 2021 - August 27, 2021

August 25, 2021 (09:30 AM PDT - 10:30 AM PDT)
Speaker(s): Vadim Gorin (University of Wisconsin-Madison)
Location: MSRI: Simons Auditorium, Online/Virtual
Primary Mathematics Subject Classification No Primary AMS MSC
Secondary Mathematics Subject Classification No Secondary AMS MSC

Cointegration, S&P, And Random Matrices


Cointegration is a property of N-dimensional time series, which says that each individual component is non -stationary (growing like a random walk), but there exists a stationary linear combination. Testing procedures for the presence of cointegration has been extensively studied in statistics and economics, but most results are restricted to the case when N is much smaller than the length of the time series. I will discuss the recently discovered mathematical structures, which make the large N case accessible. On the applied side we will see a remarkable match between predictions of random matrix theory and behavior of S&P 100 stocks. On the theoretical side we will see how ideas from statistical mechanics and asymptotic representation theory play a crucial role in the analysis. (Based on joint work with Anna Bykhovskaya.)

91262?type=thumb Slides 1.06 MB application/pdf Download
Video/Audio Files

Cointegration, S&P, And Random Matrices

Troubles with video?

Please report video problems to itsupport@msri.org.

See more of our Streaming videos on our main VMath Videos page.