APPLICATION OF THE RANDOM MATRIX THEORY ON THE CROSS-CORRELATION OF STOCK PRICES
الموضوعات : فصلنامه ریاضیF. Sotoude Vanoliya 1 , A. Pourdarvish Heydari 2
1 - Department of Statistics, University of Mazandaran, Iran
2 - Department of Statistics, University of Mazandaran, Iran
الکلمات المفتاحية: random matrix theory, Cross-Correlation, Eigenvalue and eigenvector,
ملخص المقالة :
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.
