A complexity gap computed as the normalized largest eigenvalue minus average pairwise correlation collapses to zero during shocks and shows a false-recovery phase before true restoration, predicting higher future volatility when low.
Markowitz, Modern portfolio theory, Journal of Finance 7 (11) (1952) 77–91
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Structural Dynamics of G5 Stock Markets During Exogenous Shocks: A Random Matrix Theory-Based Complexity Gap Approach
A complexity gap computed as the normalized largest eigenvalue minus average pairwise correlation collapses to zero during shocks and shows a false-recovery phase before true restoration, predicting higher future volatility when low.