rmt assessments of the market latent information embedded in the stocks raw, normalized, and partial correlationsrmt评估市场潜在的信息嵌入到股票的原始、归一化和局部相关性.pdf

Hindawi Publishing Corporation Journal of Probability and Statistics Volume 2009, Article ID 249370, 13 pages doi:10.1155/2009/249370 Research Article RMT Assessments of the Market Latent Information Embedded in the Stocks’ Raw, Normalized, and Partial Correlations Dror Y. Kenett, Yoash Shapira, and Eshel Ben-Jacob School of Physics and Astronomy, The Raymond and Beverly Sackler Faculty of Exact Sciences, Tel-Aviv University, Tel-Aviv 69978, Israel Correspondence should be addressed to Eshel Ben-Jacob, eshelbj@ Received 3 September 2009; Accepted 10 December 2009 Recommended by A. Thavaneswaran We present here assessment of the latent market information embedded in the raw, affinity normalized, and partial correlations. We compared the Zipf plot, spectrum, and distribution of the eigenvalues for each matrix with the results of the corresponding random matrix. The analysis was performed on stocks belonging to the New York and Tel Aviv Stock Exchange, for the time period of January 2000 to March 2009. Our results show that in comparison to the raw correlations, the affinity matrices highlight the dominant factors of the system, and the partial correlation matrices contain more information. We propose that significant stock market information, which cannot be captured by the raw correlations, is embedded in the affinity and partial correlations. Our results further demonstrate the differences between NY and TA markets. Copyright q 2009 Dror Y. Kenett et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. 1. Introduction Stock markets behave as complex dynamic systems, and as such, it is critical to investigate the de