IDEAS home Printed from https://ideas.repec.org/a/ega/rafega/200809.html
   My bibliography  Save this article

Teoría de matrices aleatorias y correlación de series financieras: el caso de la Bolsa Mexicana de Valores

Author

Listed:
  • Linda Margarita Medina Herrera

    (Tecnológico de Monterrey)

  • Ricardo Mansilla Corona

    (UNAM)

Abstract

In this paper we apply random matrix theory (RMT) to the analysis of cross-correlation matrix C constructed from daily returns of 65 stocks traded at the Bolsa Mexicana de Valores during a trading period of eighth years. We find that the statistics of most of the eigenvalues in the spectrum of C agrees with the prediction of RMT, but there are deviations for a few of the larger eigenvalues. We show that C has the universal properties of the Gaussian orthogonal ensemble of random matrices. Furthermore, we analyze the eigenvectors of C through their inverse participation ratio, such analysis allow us to indicate matrix C has a random band structure

Suggested Citation

  • Linda Margarita Medina Herrera & Ricardo Mansilla Corona, 2008. "Teoría de matrices aleatorias y correlación de series financieras: el caso de la Bolsa Mexicana de Valores," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 2(2), pages 125-135.
    • Handle: RePEc:ega:rafega:200809
    as

    Download full text from publisher

    File URL: http://alejandria.ccm.itesm.mx/egap/documentos/2008V2A9Medina-Mansilla.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Matrices aleatorias; matrices de correlación financieras;

    JEL classification:

    • C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
    • C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ega:rafega:200809. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: José Antonio Núñez (email available below). General contact details of provider: https://edirc.repec.org/data/emitemx.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.