TITLE:
Random Matrix Approach to Correlation Matrix of Financial Data (Mexican Stock Market Case)
AUTHORS:
Juan Martín Casillas González, Antonio Alatorre Torres
KEYWORDS:
Economical Physics, Mathematical Economy, Financial Risk, Time Series, Crossed Correlation Matrices, Random Matrix Theory, Applied Nuclear Chaos, Stock Market Problems
JOURNAL NAME:
Modern Economy,
Vol.6 No.9,
September
28,
2015
ABSTRACT: The main purpose of this work is to reproduce the method used for U.S.
market which consists in the approach of random matrices to crossed correlation
matrices built with financial data taken from a Mexican stock market database.
First we built a cross correlation empirical matrix with these financial data.
Eigenvalue spectrum was obtained from this matrix. We made the same spectrum
analysis for a random matrix, and finally we compared both eigenvalue sets, and
we tried to set up a hypothesis of how risk was related to this random
matrix-correlation matrix approach. We used financial data over a period of six
months and time series where made upon three hours measures for crossed
correlation matrix.