cross correlation of intra-day stock prices in comparison to random matrix theory互相关的盘中股价相比随机矩阵理论.pdfVIP

Intelligent Information Management, 2011, 3, 65-70 doi:10.4236/iim.2011.33008 Published Online May 2011 (http://www.SciRP.org/journal/iim) Cross Correlation of Intra-Day Stock Prices in Comparison to Random Matrix Theory Mieko Tanaka-Yamawaki Department of Information and Knowledge Engineering, Tottori University, Tottori, Japan E-mail : mieko@ike.tottori-u.ac.jp Received February 7, 2011; revised March 21, 2011; accepted March 22, 2011 Abstract We propose and apply a new algorithm of principal component analysis which is suitable for a large sized, highly random time series data, such as a set of stock prices in a stock market. This algorithm utilizes the fact that the major part of the time series is random, and compare the eigenvalue spectrum of cross correlation matrix of a large set of random time series, to the spectrum derived by the random matrix theory (RMT) at the limit of large dimension (the number of independent time series) and long enough length of time series. We test this algorithm on the real tick data of American stocks at different years between 1994 and 2002 and show that the extracted principal components indeed reflects the change of leading stock sectors during this period. Keywords: Principal Component, Random Matrix Theory, Cross Correlation, Eigenvalues, Stock Market 1. Introduction that is identical to the theoretically derived formula [7], out of the eigenvalue distribution of cross-correlation Many stock market analysts rely on various technical matrix between pairs of stock time series. indicators calculated for individual stocks. However, the Reference [1] arg