Random matrix approach to cross correlations in financial data

Plerou, Vasiliki; Gopikrishnan, Parameswaran; Rosenow, Bernd; A. Nunes Amaral, Luı́s; Guhr, Thomas; Eugene Stanley, H.

doi:10.1103/physreve.65.066126

Public

Random matrix approach to cross correlations in financial data

Published in Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics • Jun 27, 2002

Authors:

Vasiliki Plerou

Parameswaran Gopikrishnan

Bernd Rosenow

Abstract

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 r...

Subject

Eigenvalues and eigenvectors

Random matrix

Randomness

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