APPLICATION OF THE RANDOM MATRIX THEORY ON THE CROSS-CORRELATION OF STOCK ‎PRICES

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  • F. Sotoude Vanoliya*1,
  • A. Pourdarvish Heydari1,
  1. Department of Statistics, University of Mazandaran, Iran

Revised: 13-07-2016

Accepted: 13-07-2016

Published in Issue 01-07-2016

How to Cite

Sotoude Vanoliya, F., & Pourdarvish Heydari, A. (2016). APPLICATION OF THE RANDOM MATRIX THEORY ON THE CROSS-CORRELATION OF STOCK ‎PRICES. International Journal of Mathematical Modelling & Computations, 6(3), 211-219. https://oiccpress.com/ijm2c/article/view/11280

Abstract

The analysis of cross-correlations is extensively applied for understanding of interconnections in stock markets. Variety of methods are used in order to search stock cross-correlations including the Random Matrix Theory (RMT), the Principal Component Analysis (PCA) and the Hierachical ‎Structures.‎ In ‎this work‎, we analyze cross-crrelations between price fluctuations of 20 ‎company ‎stocks‎‎ of Iran by using RMT. We find the eigenvalues and eigenvectors of the matrices of the cross-correlations related to ‎the‎se stocks.‎‎‎ The results show some eigenvalues do not fall within the bounds of RMT eigenvalues, that indicate the correlations of ‎‎ stocks in usual and critical flucatutions.
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