# 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 } }

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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