Anqi Xiong received his B.S. degree in Electrical Engineering from the Hunan University, Hunan, China. M.S. degree in Electrical Engineering from New Jersey Institute of Technology, Newark, New Jersey, in 2012 and 2014 respectively. Since 2015, he has been a Ph.D. candidate in the Department of Electrical and Computer Engineering at New Jersey Institute of Technology, Newark, New Jersey. His current research interests includes subspace methods signal transforms, machine learning, deep learning and financial signal processing.
In this paper, the eigendecomposition of a Toeplitz matrix populated by an exponential function in order to model empirical correlations of US equity returns is investigated.