Characteristics of Principal Components in Stock Price Correlation

The following methods are used to analyze correlations among stock returns. 1) The meaningful part of the correlation is obtained by applying random matrix theory to the equal-time cross-correlation matrix of assets returns. 2) Null-model randomness is implemented via rotational random shuffling. 3)...

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Veröffentlicht in:	Frontiers in physics 2021-04, Vol.9
1. Verfasser:	Souma, Wataru
Format:	Artikel
Sprache:	eng
Schlagworte:	complex correlation matrix cross-correlation matrix principal component random matrix theory S&P 500 stock return
Online-Zugang:	Volltext
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