dorsal/arxiv
View SchemaThe bulk of the stock market correlation matrix is not pure noise
| Authors | J. Kwapien, P. Oswiecimka, S. Drozdz |
|---|---|
| Categories | |
| ArXiv ID | physics/0505074 |
| URL | https://arxiv.org/abs/physics/0505074 |
| DOI | 10.1016/j.physa.2005.05.090 |
| Journal | Physica A 359 (2006) 589-606 |
Abstract
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 result to the corresponding ensemble of Wishart random matrices. It turns out that systematically more eigenvalues stay 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.
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"abstract": "We analyse the structure of the distribution of eigenvalues of the stock\nmarket correlation matrix with increasing length of the time series\nrepresenting the price changes. We use 100 highly-capitalized stocks from the\nAmerican market and relate result to the corresponding ensemble of Wishart\nrandom matrices. It turns out that systematically more eigenvalues stay beyond\nthe borders prescribed by this variant of the Random Matrix Theory (RMT). This\nmay indicate that even the bulk of the spectrum of the stock market correlation\nmatrix carries some sort of correlations that are masked by a measurement noise\nwhen the time series used to construct the matrix are short. We also study some\nother characteristics of the \"noisy\" eigensignals, like their return\ndistributions, temporal correlations or their multifractal spectra and the\nresults support the above conclusions.",
"arxiv_id": "physics/0505074",
"authors": [
"J. Kwapien",
"P. Oswiecimka",
"S. Drozdz"
],
"categories": [
"physics.soc-ph",
"q-fin.ST"
],
"doi": "10.1016/j.physa.2005.05.090",
"journal_ref": "Physica A 359 (2006) 589-606",
"title": "The bulk of the stock market correlation matrix is not pure noise",
"url": "https://arxiv.org/abs/physics/0505074"
},
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