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
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