Teoría de matrices aleatorias y correlación de series financieras: El caso de la Bolsa Mexicana de Valores
AbstractIn this paper we apply random matrix theory (RMT) to the analysis of cross-correlation matrix C constructed from daily returns of 65 stocks traded at the Bolsa Mexicana de Valores during a 8-year trading period. We find that the statistics of most of the eigenvalues in the spectrum of C agrees with the prediction of RMT, but there are deviations for a few of the larger eigenvalues. We show that C has the universal properties of the Gaussian orthogonal ensemble of random matrices. Furthermore, we analyze the eigenvectors of C through their inverse participation ratio, such analysis allow us to indicate matrix C has a random band structure.
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Bibliographic InfoArticle provided by Tecnológico de Monterrey, Campus Ciudad de México in its journal Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics).
Volume (Year): 2 (2008)
Issue (Month): 2 ()
Matrices aleatorias; matrices de correlación financieras;
Find related papers by JEL classification:
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
- C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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