AI RESEARCH
Conditioning on a Volatility Proxy Compresses the Apparent Timescale of Collective Market Correlation
arXiv CS.LG
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ArXi:2603.14072v1 Announce Type: cross We address the attribution problem for apparent slow collective dynamics: is the observed persistence intrinsic, or inherited from a persistent driver? For the leading eigenvalue fraction $\psi_1=\lambda_{\max}/N$ of S\&P 500 60-day rolling correlation matrices ($237$ stocks, 2004--2023), a VIX-coupled Ornstein--Uhlenbeck model reduces the effective relaxation time from $298$ to $61$ trading days and improves the fit over bare mean reversion by $\Delta$BIC$=109.