• DocumentCode
    3590167
  • 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
  • fYear
    2010
  • Firstpage
    201
  • Lastpage
    205
  • 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;
  • fLanguage
    English
  • Publisher
    ieee
  • 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
  • Type

    conf

  • Filename
    5488622