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RMT Assessments of the Market Latent Information Embedded in the Stocks' Raw, Normalized, and Partial Correlations
Joint Authors
Ben-Jacob, Eshel
Kenett, Dror Y.
Shapira, Yoash
Source
Journal of Probability and Statistics
Issue
Vol. 2009, Issue 2009 (31 Dec. 2009), pp.1-13, 13 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2010-03-10
Country of Publication
Egypt
No. of Pages
13
Main Subjects
Abstract EN
We present here assessment of the latent market information embedded in the raw, affinity (normalized), and partial correlations.
We compared the Zipf plot, spectrum, and distribution of the eigenvalues for each matrix with the results of the corresponding random matrix.
The analysis was performed on stocks belonging to the New York and Tel Aviv Stock Exchange, for the time period of January 2000 to March 2009.
Our results show that in comparison to the raw correlations, the affinity matrices highlight the dominant factors of the system, and the partial correlation matrices contain more information.
We propose that significant stock market information, which cannot be captured by the raw correlations, is embedded in the affinity and partial correlations.
Our results further demonstrate the differences between NY and TA markets.
American Psychological Association (APA)
Kenett, Dror Y.& Shapira, Yoash& Ben-Jacob, Eshel. 2010. RMT Assessments of the Market Latent Information Embedded in the Stocks' Raw, Normalized, and Partial Correlations. Journal of Probability and Statistics،Vol. 2009, no. 2009, pp.1-13.
https://search.emarefa.net/detail/BIM-457290
Modern Language Association (MLA)
Kenett, Dror Y.…[et al.]. RMT Assessments of the Market Latent Information Embedded in the Stocks' Raw, Normalized, and Partial Correlations. Journal of Probability and Statistics No. 2009 (2009), pp.1-13.
https://search.emarefa.net/detail/BIM-457290
American Medical Association (AMA)
Kenett, Dror Y.& Shapira, Yoash& Ben-Jacob, Eshel. RMT Assessments of the Market Latent Information Embedded in the Stocks' Raw, Normalized, and Partial Correlations. Journal of Probability and Statistics. 2010. Vol. 2009, no. 2009, pp.1-13.
https://search.emarefa.net/detail/BIM-457290
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-457290