application of the random matrix theory on the cross-correlation of stock prices
نویسندگان
چکیده
the analysis of cross-correlations is extensively applied for understanding of interconnections in stock markets. variety of methods are used in order to search stock cross-correlations including the random matrix theory (rmt), the principal component analysis (pca) and the hierachical structures. in this work, we analyze cross-crrelations between price fluctuations of 20 company stocks of iran by using rmt. we find the eigenvalues and eigenvectors of the matrices of the cross-correlations related to these stocks. the results show some eigenvalues do not fall within the bounds of rmt eigenvalues, that indicate the correlations of stocks in usual and critical flucatutions.
منابع مشابه
APPLICATION OF THE RANDOM MATRIX THEORY ON THE CROSS-CORRELATION OF STOCK PRICES
The analysis of cross-correlations is extensively applied for understanding of interconnections in stock markets. Variety of methods are used in order to search stock cross-correlations including the Random Matrix Theory (RMT), the Principal Component Analysis (PCA) and the Hierachical Structures. In this work, we analyze cross-crrelations between price fluctuations of 20 company stocks...
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عنوان ژورنال:
international journal of mathematical modelling and computationsجلد ۶، شماره ۳، صفحات ۲۱۱-۲۱۹
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