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Una aplicación de la teoría de matrices aleatorias para analizar la variación del rendimiento de diferentes commodities a lo largo del periodo 2000-2012

Listed author(s):
  • Núñez-Mora, José Antonio

    ()

    (Tecnológico de Monterrey, Campus Ciudad de México)

  • Mata-Mata, Leovardo

    ()

    (Tecnológico de Monterrey, Campus Ciudad de México)

Registered author(s):

    En este trabajo aplicamos la teoría de matrices aleatorias (TMA) para analizar la variación del rendimiento de diferentes commodities para el periodo entre los años 2000-2012. Se utiliza la matriz de correlaciones de los rendimientos diarios de una muestra de ochenta y un activos, donde se incluyen acciones representativas del NASDAQ, NYSE y diversos commodities. Mediante los valores propios de la matriz de correlaciones se filtra la variación libre de ruido de los rendimientos, y se encuentra evidencia estadística para señalar que la participación de algunos commodities en la variación sistemática común del total de activos se incrementó después de la crisis de 2008-2009./ In this paper we apply the theory of random matrices (RMT) to analyze the variation of the return of different commodities for the period 2000-2012. It uses the correlation matrix of daily returns of a sample of eighty-nine assets, which include shares of NASDAQ, NYSE and various commodities. Through the eigenvalues of the matrix of correlations, the free noise variation of returns is filtered and statistical evidence is found that indicates that the involvement of some commodities in common systematic variation of all assets increased after the crisis period 2008-2009.

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    File URL: http://yuss.me/revistas/ese/ese2014v09n41a01p007_020.pdf
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    Article provided by Escuela Superior de Economía, Instituto Politécnico Nacional in its journal eseconomía.

    Volume (Year): IX (2014)
    Issue (Month): 41 (segundo semestre)
    Pages: 7-20

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    Handle: RePEc:ipn:esecon:v:ix:y:2014:i:41:p:7-20
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    Web page: http://yuss.me/RePEc/ipn/esecon/
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    1. Sergei Maslov, 2001. "Measures of globalization based on cross-correlations of world financial indices," Papers cond-mat/0103397, arXiv.org, revised Apr 2001.
    2. Zdzislaw Burda & Jerzy Jurkiewicz, 2003. "Signal and Noise in Financial Correlation Matrices," Papers cond-mat/0312496, arXiv.org, revised Feb 2004.
    3. Burda, Zdzisław & Jurkiewicz, Jerzy, 2004. "Signal and noise in financial correlation matrices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 344(1), pages 67-72.
    4. Maslov, Sergei, 2001. "Measures of globalization based on cross-correlations of world financial indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 301(1), pages 397-406.
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