Title : 
Applying random matrix theory to extract principal components of intra-day stock price correlations
         
        
            Author : 
Tanaka-Yamawaki, Mieko
         
        
            Author_Institution : 
Dept. of Inf. & Knowledge Eng., Tottori Univ., Tottori, Japan
         
        
        
        
        
            Abstract : 
We propose to apply the random matrix theory to extract principal components from a large number of time series with high-level of complexity and randomness, such as intra-day stock prices. We show that the corresponding eigenvector components of signals reflect the actual trends of the real markets.
         
        
            Keywords : 
eigenvalues and eigenfunctions; matrix algebra; stock markets; time series; eigenvector components; intra-day stock price correlations; random matrix theory; time series; Analysis of variance; Data mining; Eigenvalues and eigenfunctions; Knowledge engineering; Matrix converters; Performance analysis; Statistical distributions; Stock markets; Time series analysis;
         
        
        
        
            Conference_Titel : 
New Trends in Information Science and Service Science (NISS), 2010 4th International Conference on
         
        
            Print_ISBN : 
978-1-4244-6982-6
         
        
            Electronic_ISBN : 
978-89-88678-17-6