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Teoría de matrices aleatorias y correlación de series financieras: el caso de la Bolsa Mexicana de Valores


  • Linda Margarita Medina Herrera

    () (Tecnológico de Monterrey)

  • Ricardo Mansilla Corona

    () (UNAM)


In 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 trading period of eighth years. 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

Suggested Citation

  • Linda Margarita Medina Herrera & Ricardo Mansilla Corona, 2008. "Teoría de matrices aleatorias y correlación de series financieras: el caso de la Bolsa Mexicana de Valores," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 2(2), pages 125-135.
  • Handle: RePEc:ega:rafega:200809

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    Matrices aleatorias; matrices de correlación financieras;

    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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