APPLICATION OF THE RANDOM MATRIX THEORY ON THE CROSS-CORRELATION OF STOCK PRICES
سال انتشار: 1395
نوع سند: مقاله ژورنالی
زبان: انگلیسی
مشاهده: 116
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شناسه ملی سند علمی:
JR_IJMAC-6-3_003
تاریخ نمایه سازی: 28 دی 1401
چکیده مقاله:
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.
کلیدواژه ها:
نویسندگان
F. Sotoude Vanoliya
Department of Statistics, University of Mazandaran, Iran
A. Pourdarvish Heydari
Department of Statistics, University of Mazandaran, Iran