RMT Assessments of the Market Latent Information Embedded in the Stocks' Raw, Normalized, and Partial Correlations
We present here assessment of the latent market information embedded in the raw, affinity (normalized), and partial correlations. We compared the Zipf plot, spectrum, and distribution of the eigenvalues fo...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2009-01-01
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| Series: | Journal of Probability and Statistics |
| Online Access: | http://dx.doi.org/10.1155/2009/249370 |
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| Summary: | We present here
assessment of the latent market information
embedded in the raw, affinity (normalized), and
partial correlations. We compared the Zipf plot,
spectrum, and distribution of the eigenvalues
for each matrix with the results of the
corresponding random matrix. The analysis was
performed on stocks belonging to the New York
and Tel Aviv Stock Exchange, for the time period
of January 2000 to March 2009. Our results show
that in comparison to the raw correlations, the
affinity matrices highlight the dominant factors
of the system, and the partial correlation
matrices contain more information. We propose
that significant stock market information, which
cannot be captured by the raw correlations, is
embedded in the affinity and partial
correlations. Our results further demonstrate
the differences between NY and TA
markets. |
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| ISSN: | 1687-952X 1687-9538 |