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

Author

Listed:
  • Linda Margarita Medina Herrera

    () (Tecnológico de Monterrey)

  • Ricardo Mansilla Corona

    () (UNAM)

Abstract

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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    File URL: http://alejandria.ccm.itesm.mx/egap/documentos/2008V2A9Medina-Mansilla.pdf
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    References listed on IDEAS

    as
    1. Drew Fudenberg & Jean Tirole, 1991. "Game Theory," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262061414, January.
    2. Martin J. Osborne & Ariel Rubinstein, 1994. "A Course in Game Theory," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262650401, January.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    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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