Title :
Applying random matrix theory to extract principal components of intra-day stock price correlations
Author :
Tanaka-Yamawaki, Mieko
Author_Institution :
Dept. of Inf. & Knowledge Eng., Tottori Univ., Tottori, Japan
Abstract :
We propose to apply the random matrix theory to extract principal components from a large number of time series with high-level of complexity and randomness, such as intra-day stock prices. We show that the corresponding eigenvector components of signals reflect the actual trends of the real markets.
Keywords :
eigenvalues and eigenfunctions; matrix algebra; stock markets; time series; eigenvector components; intra-day stock price correlations; random matrix theory; time series; Analysis of variance; Data mining; Eigenvalues and eigenfunctions; Knowledge engineering; Matrix converters; Performance analysis; Statistical distributions; Stock markets; Time series analysis;
Conference_Titel :
New Trends in Information Science and Service Science (NISS), 2010 4th International Conference on
Print_ISBN :
978-1-4244-6982-6
Electronic_ISBN :
978-89-88678-17-6