Random matrix approach to cross correlations in financial data.

@article{Plerou2002RandomMA,
  title={Random matrix approach to cross correlations in financial data.},
  author={V. Plerou and P. Gopikrishnan and B. Rosenow and L. Amaral and T. Guhr and H. Stanley},
  journal={Physical review. E, Statistical, nonlinear, and soft matter physics},
  year={2002},
  volume={65 6 Pt 2},
  pages={
          066126
        }
}
  • V. Plerou, P. Gopikrishnan, +3 authors H. Stanley
  • Published 2002
  • Mathematics, Physics, Economics, Medicine
  • Physical review. E, Statistical, nonlinear, and soft matter physics
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… Expand
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