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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| 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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| author | Dror Y. Kenett Yoash Shapira Eshel Ben-Jacob |
| author_facet | Dror Y. Kenett Yoash Shapira Eshel Ben-Jacob |
| author_sort | Dror Y. Kenett |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-d95c06f32ebe411dbba1856dd2d60518 |
| institution | Kabale University |
| issn | 1687-952X 1687-9538 |
| language | English |
| publishDate | 2009-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Probability and Statistics |
| spelling | doaj-art-d95c06f32ebe411dbba1856dd2d605182025-02-03T00:59:35ZengWileyJournal of Probability and Statistics1687-952X1687-95382009-01-01200910.1155/2009/249370249370RMT Assessments of the Market Latent Information Embedded in the Stocks' Raw, Normalized, and Partial CorrelationsDror Y. Kenett0Yoash Shapira1Eshel Ben-Jacob2School of Physics and Astronomy, The Raymond and Beverly Sackler Faculty of Exact Sciences, Tel-Aviv University, Tel-Aviv 69978, IsraelSchool of Physics and Astronomy, The Raymond and Beverly Sackler Faculty of Exact Sciences, Tel-Aviv University, Tel-Aviv 69978, IsraelSchool of Physics and Astronomy, The Raymond and Beverly Sackler Faculty of Exact Sciences, Tel-Aviv University, Tel-Aviv 69978, IsraelWe 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.http://dx.doi.org/10.1155/2009/249370 |
| spellingShingle | Dror Y. Kenett Yoash Shapira Eshel Ben-Jacob RMT Assessments of the Market Latent Information Embedded in the Stocks' Raw, Normalized, and Partial Correlations Journal of Probability and Statistics |
| title | RMT Assessments of the Market Latent Information Embedded in the Stocks' Raw, Normalized, and Partial Correlations |
| title_full | RMT Assessments of the Market Latent Information Embedded in the Stocks' Raw, Normalized, and Partial Correlations |
| title_fullStr | RMT Assessments of the Market Latent Information Embedded in the Stocks' Raw, Normalized, and Partial Correlations |
| title_full_unstemmed | RMT Assessments of the Market Latent Information Embedded in the Stocks' Raw, Normalized, and Partial Correlations |
| title_short | RMT Assessments of the Market Latent Information Embedded in the Stocks' Raw, Normalized, and Partial Correlations |
| title_sort | rmt assessments of the market latent information embedded in the stocks raw normalized and partial correlations |
| url | http://dx.doi.org/10.1155/2009/249370 |
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