کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
978823 | 1480201 | 2006 | 18 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The bulk of the stock market correlation matrix is not pure noise
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
We analyse the structure of the distribution of eigenvalues of the stock market correlation matrix with increasing length of the time series representing the price changes. We use 100 highly capitalized stocks from the American market and relate the result to the corresponding ensemble of Wishart random matrices. It turns out that systematically more eigenvalues remain beyond the borders prescribed by this variant of the random matrix theory (RMT). This may indicate that even the bulk of the spectrum of the stock market correlation matrix carries some sort of correlations that are masked by a measurement noise when the time series used to construct the matrix are short. We also study some other characteristics of the “noisy” eigensignals, like their return distributions, temporal correlations or their multifractal spectra, and the results support the above conclusions.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 359, 1 January 2006, Pages 589-606
Journal: Physica A: Statistical Mechanics and its Applications - Volume 359, 1 January 2006, Pages 589-606
نویسندگان
J. KwapieÅ, S. Drożdż, P. OÅwie¸cimka,