Before revision: The aim of this work is to build financial crisis indicators based on market data time series . After choosing an optimal size for a rolling window, the market data is seen every trading day as a random matrix from which a covariance and correlation matrix is obtained. Our indicators deal with the spectral properties of these covariance and correlation matrices.
After revision: The aim of this work is to build financial crisis indicators based on market data time series . After choosing an optimal size for a rolling window, the market data is seen every trading day as a random matrix from which a covariance and a correlation matrix are obtained. The indicators that we have built deal with the spectral properties of these covariance and correlation matrices.