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Abstract

The concept of states of financial markets based on correlations has gained increasing attention during the last 10 years. We propose to retrace some important steps up to 2018, and then give a more detailed view of recent developments that attempt to make the use of this more practical. Finally, we try to give a glimpse to the future proposing the analysis of trajectories in correlation matrix space directly or in terms of symbolic dynamics as well as attempts to analyze the clusters that make up the states in a random matrix context.

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Acknowledgements

The authors are grateful to Francois Leyvraz for their critical inputs and suggestions. The authors also thank CIC AC -UNAM for their hospitality in various events and DGAPA, Mexico for financial support under grant number AG101122 and CONACyT, Mexico for financial support under FRONTERAS grant number 425854. H.K.P., P.M. and S.S. are grateful for financial support provided by UNAM-DGAPA and CONACYT Proyecto Fronteras 952. T.H.S. and H.K.P. acknowledge the support grant by CONACYT Proyecto Fronteras 201, UNAM-DGAPA-PAPIIT AG100819 and IN113620. T.H.S. and H.K.P. also acknowledge computing support under project LANCAD-UNAM-DGTIC-016

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Correspondence to Hirdesh K. Pharasi or Anirban Chakraborti .

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Pharasi, H.K., Sadhukhan, S., Majari, P., Chakraborti, A., Seligman, T.H. (2023). Market State Dynamics in Correlation Matrix Space. In: Chakraborti, A., Haven, E., Patra, S., Singh, N. (eds) Quantum Decision Theory and Complexity Modelling in Economics and Public Policy. New Economic Windows. Springer, Cham. https://doi.org/10.1007/978-3-031-38833-0_9

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