Random matrix approach to cross correlations in financial data.

  title={Random matrix approach to cross correlations in financial data.},
  author={Vasiliki Plerou and P. Gopikrishnan and Bernd Rosenow and Luis A. Nunes Amaral and Thomas Guhr and Harry Eugene Stanley},
  journal={Physical review. E, Statistical, nonlinear, and soft matter physics},
  volume={65 6 Pt 2},
We analyze cross correlations between price fluctuations of different stocks using methods of random matrix theory (RMT). Using two large databases, we calculate cross-correlation matrices C of returns constructed from (i) 30-min returns of 1000 US stocks for the 2-yr period 1994-1995, (ii) 30-min returns of 881 US stocks for the 2-yr period 1996-1997, and (iii) 1-day returns of 422 US stocks for the 35-yr period 1962-1996. We test the statistics of the eigenvalues lambda(i) of C against a… 
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