APPLICATION OF THE RANDOM MATRIX THEORY ON THE CROSS-CORRELATION OF STOCK PRICES
عنوان مقاله: APPLICATION OF THE RANDOM MATRIX THEORY ON THE CROSS-CORRELATION OF STOCK PRICES
شناسه ملی مقاله: JR_IJMAC-6-3_003
منتشر شده در در سال 1395
شناسه ملی مقاله: JR_IJMAC-6-3_003
منتشر شده در در سال 1395
مشخصات نویسندگان مقاله:
F. Sotoude Vanoliya - Department of Statistics, University of Mazandaran, Iran
A. Pourdarvish Heydari - Department of Statistics, University of Mazandaran, Iran
خلاصه مقاله:
F. Sotoude Vanoliya - Department of Statistics, University of Mazandaran, Iran
A. Pourdarvish Heydari - Department of Statistics, University of Mazandaran, Iran
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 ۲۰ 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.
کلمات کلیدی: random matrix theory, Cross-Correlation, Eigenvalue and eigenvector
صفحه اختصاصی مقاله و دریافت فایل کامل: https://civilica.com/doc/1590049/