TY - JOUR

T1 - Universal and nonuniversal properties of cross correlations in financial time series

AU - Plerou, Vasiliki

AU - Gopikrishnan, Parameswaran

AU - Rosenow, Bernd

AU - Amaral, Luís A Nunes

AU - Stanley, H. Eugene

PY - 1999/1/1

Y1 - 1999/1/1

N2 - We use methods of random matrix theory to analyze the cross-correlation matrix C of stock price changes of the largest 1000 U.S. companies for the 2-year period 1994–1995. We find that the statistics of most of the eigenvalues in the spectrum of C agree with the predictions of random matrix theory, but there are deviations for a few of the largest eigenvalues. We find that C has the universal properties of the Gaussian orthogonal ensemble of random matrices. Furthermore, we analyze the eigenvectors of C through their inverse participation ratio and find eigenvectors with large ratios at both edges of the eigenvalue spectrum—a situation reminiscent of localization theory results.

AB - We use methods of random matrix theory to analyze the cross-correlation matrix C of stock price changes of the largest 1000 U.S. companies for the 2-year period 1994–1995. We find that the statistics of most of the eigenvalues in the spectrum of C agree with the predictions of random matrix theory, but there are deviations for a few of the largest eigenvalues. We find that C has the universal properties of the Gaussian orthogonal ensemble of random matrices. Furthermore, we analyze the eigenvectors of C through their inverse participation ratio and find eigenvectors with large ratios at both edges of the eigenvalue spectrum—a situation reminiscent of localization theory results.

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U2 - 10.1103/PhysRevLett.83.1471

DO - 10.1103/PhysRevLett.83.1471

M3 - Article

AN - SCOPUS:0000656722

SN - 0031-9007

VL - 83

SP - 1471

EP - 1474

JO - Physical review letters

JF - Physical review letters

IS - 7

ER -