scholarly journals Random Matrix Theory of Dynamical Cross Correlations in Financial Data

2009 ◽  
Vol 179 ◽  
pp. 60-70 ◽  
Author(s):  
Yasuhiro Nakayama ◽  
Hiroshi Iyetomi
Keyword(s):  
Random Matrix Theory ◽  
Random Matrix ◽  
Matrix Theory ◽  
Financial Data ◽  
Cross Correlations

APPLICATION OF RANDOM MATRIX THEORY TO STUDY CROSS-CORRELATIONS OF STOCK PRICES

2000 ◽  
Vol 03 (03) ◽  
pp. 399-403 ◽  
Author(s):  
BERND ROSENOW ◽  
VASILIKI PLEROU ◽  
PARAMESWARAN GOPIKRISHNAN ◽  
LUÍS A. NUNES AMARAL ◽  
H. EUGENE STANLEY
Keyword(s):  
Random Matrix Theory ◽  
Random Matrix ◽  
Stock Prices ◽  
Matrix Theory ◽  
Localization Theory ◽  
Largest Eigenvalues ◽  
Cross Correlations ◽  
Universal Properties ◽  
Matrix Formula ◽  
Gaussian Orthogonal Ensemble

We address the question of how to precisely identify correlated behavior between different firms in the economy by applying methods of random matrix theory (RMT). Specifically, we use methods of random matrix theory to analyze the cross-correlation matrix [Formula: see text] of price changes of the largest 1000 US stocks for the 2-year period 1994–1995. We find that the statistics of most of the eigenvalues in the spectrum of [Formula: see text] agree with the predictions of random matrix theory, but there are deviations for a few of the largest eigenvalues. To prove that the rest of the eigenvalues are genuinely random, we test for universal properties such as eigenvalue spacings and eigenvalue correlations. We demonstrate that [Formula: see text] shares universal properties with the Gaussian orthogonal ensemble of random matrices. In addition, we quantify the number of significant participants, that is companies, of the eigenvectors using the inverse participation ratio, and find eigenvectors with large inverse participation ratios at both edges of the eigenvalue spectrum — a situation reminiscent of results in localization theory.

Analysis of Cross-Correlations in Emerging Markets Using Random Matrix Theory

2017 ◽  
Author(s):  
Thomas Chinwe Urama ◽  
◽  
Patrick Oseloka Ezepue ◽  
Peters Chimezie ◽  
◽  
...  
Keyword(s):  
Emerging Markets ◽  
Random Matrix Theory ◽  
Random Matrix ◽  
Matrix Theory ◽  
Cross Correlations

A random matrix theory approach to financial cross-correlations

2000 ◽  
Vol 287 (3-4) ◽  
pp. 374-382 ◽  
Author(s):  
V Plerou ◽  
P Gopikrishnan ◽  
B Rosenow ◽  
L.A.N Amaral ◽  
H.E Stanley
Keyword(s):  
Random Matrix Theory ◽  
Random Matrix ◽  
Matrix Theory ◽  
Theory Approach ◽  
Cross Correlations

scholarly journals Analysis of Cross-Correlations in Emerging Markets Using Random Matrix Theory

2017 ◽  
Vol 07 (02) ◽  
pp. 291-307 ◽  
Author(s):  
Thomas Chinwe Urama ◽  
Patrick Oseloka Ezepue ◽  
Chimezie Peters Nnanwa
Keyword(s):  
Emerging Markets ◽  
Random Matrix Theory ◽  
Random Matrix ◽  
Matrix Theory ◽  
Cross Correlations
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