Economy – Quantitative Finance – Statistical Finance
Scientific paper
2007-11-05
Acta Physica Polonica B 58, 4027-4039 (2007)
Economy
Quantitative Finance
Statistical Finance
Presented at the conference "Random Matrix Theory: From Fundamental Physics To Applications", May 2-6, 2007, Krakow, Poland
Scientific paper
In order to pursue the issue of the relation between the financial cross-correlations and the conventional Random Matrix Theory we analyse several characteristics of the stock market correlation matrices like the distribution of eigenvalues, the cross-correlations among signs of the returns, the volatility cross-correlations, and the multifractal characteristics of the principal values. The results indicate that the stock market dynamics is not simply decomposable into 'market', 'sectors', and the Wishart random bulk. This clearly is seen when the time series used to construct the correlation matrices are sufficiently long and thus the measurement noise suppressed. Instead, a hierarchically convoluted and highly nonlinear organization of the market emerges and indicates that the relevant information about the whole market is encoded already in its constituents.
Drozdz Stanislaw
Kwapien Jaroslaw
Oswiecimka Pawel
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