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Universal and non-universal properties of cross-correlations in financial time series

Listed author(s):
  • Vasiliki Plerou
  • Parameswaran Gopikrishnan
  • Bernd Rosenow
  • Luis A. Nunes Amaral
  • H. Eugene Stanley
Registered author(s):

    We use methods of random matrix theory to analyze the cross-correlation matrix C of price changes of the largest 1000 US stocks for the 2-year period 1994-95. We find that the statistics of most of the eigenvalues in the spectrum of C agree with the predictions of random matrix theory, but there are deviations for a few of the largest eigenvalues. We find 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 and find eigenvectors with large inverse participation ratios at both edges of the eigenvalue spectrum--a situation reminiscent of results in localization theory.

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    File URL: http://arxiv.org/pdf/cond-mat/9902283
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    Paper provided by arXiv.org in its series Papers with number cond-mat/9902283.

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    Date of creation: Feb 1999
    Publication status: Published in Phys. Rev. Lett., 83 (1999) 1471
    Handle: RePEc:arx:papers:cond-mat/9902283
    Contact details of provider: Web page: http://arxiv.org/

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