• DocumentCode
    2093372
  • Title

    Noise Undressing and Information Identifying of the Financial Correlation Matrix

  • Author

    Sun, Jianqiang

  • Author_Institution
    Sch. of Econ. & Commerce, South China Univ. of Technol., Guangzhou, China
  • Volume
    1
  • fYear
    2008
  • fDate
    20-22 Dec. 2008
  • Firstpage
    521
  • Lastpage
    524
  • Abstract
    We apply the random-matrix approach to undress the noise of the cross correlation matrix constructed from Shanghai Stock Exchange (SSE) for the period 2001-2008. The empirical evidence shows that, about 7.4% of the eigenvalues fall out the RMT bounds, and the eigenvalues within the bounds agree with the universal properties of random matrix, implying a large degree of noise in the correlation matrix. We also find that SSE has a particularly high value of the largest eigenvalues of 209.26, which is significantly different from other exchanges.
  • Keywords
    eigenvalues and eigenfunctions; matrix algebra; stock markets; Shanghai stock exchange; cross correlation matrix; eigenvalues; financial correlation matrix; information identification; noise undressing; random-matrix approach; Business; Computer science; Data analysis; Data mining; Databases; Eigenvalues and eigenfunctions; Noise measurement; Quantum mechanics; Stock markets; Sun;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Computer Science and Computational Technology, 2008. ISCSCT '08. International Symposium on
  • Conference_Location
    Shanghai
  • Print_ISBN
    978-1-4244-3746-7
  • Type

    conf

  • DOI
    10.1109/ISCSCT.2008.345
  • Filename
    4731482