Random Matrix Approach to Correlation Matrix of Financial Data (Mexican Stock Market Case)
نویسندگان
چکیده
منابع مشابه
Volatility of an Indian stock market : A random matrix approach
We examine volatility of an Indian stock market in terms of aspects like participation, synchronization of stocks and quantification of volatility using the random matrix approach. Volatility pattern of the market is found using the BSE index for the three-year period 2000-2002. Random matrix analysis is carried out using daily returns of 70 stocks for several time windows of 85 days in 2001 to...
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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 f...
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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...
متن کاملDynamical Analysis of Stock Market Instability by Cross-correlation Matrix
We study stock market instability by using cross-correlations constructed from the return time series of 366 stocks traded on the Tokyo Stock Exchange from January 5, 1998 to December 30, 2013. To investigate the dynamical evolution of the cross-correlations, crosscorrelation matrices are calculated with a rolling window of 400 days. To quantify the volatile market stages where the potential ri...
متن کاملapplication of the random matrix theory on the cross-correlation of stock prices
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...
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ژورنال
عنوان ژورنال: Modern Economy
سال: 2015
ISSN: 2152-7245,2152-7261
DOI: 10.4236/me.2015.69099