Universal and nonuniversal properties of cross correlations in financial time series

Vasiliki Plerou, Parameswaran Gopikrishnan, Bernd Rosenow, Luís A Nunes Amaral, H. Eugene Stanley

Research output: Contribution to journalArticlepeer-review

861 Scopus citations


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.

Original languageEnglish (US)
Pages (from-to)1471-1474
Number of pages4
JournalPhysical review letters
Issue number7
StatePublished - Jan 1 1999

ASJC Scopus subject areas

  • Physics and Astronomy(all)


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