IDEAS home Printed from https://ideas.repec.org/a/hin/jnljps/249370.html
   My bibliography  Save this article

RMT Assessments of the Market Latent Information Embedded in the Stocks' Raw, Normalized, and Partial Correlations

Author

Listed:
  • Dror Y. Kenett
  • Yoash Shapira
  • Eshel Ben-Jacob

Abstract

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.

Suggested Citation

  • Dror Y. Kenett & Yoash Shapira & Eshel Ben-Jacob, 2009. "RMT Assessments of the Market Latent Information Embedded in the Stocks' Raw, Normalized, and Partial Correlations," Journal of Probability and Statistics, Hindawi, vol. 2009, pages 1-13, March.
    • Handle: RePEc:hin:jnljps:249370
    DOI: 10.1155/2009/249370
    as

    Download full text from publisher

    File URL: http://downloads.hindawi.com/journals/JPS/2009/249370.pdf
    Download Restriction: no
    File URL: http://downloads.hindawi.com/journals/JPS/2009/249370.xml
    Download Restriction: no
    File URL: https://libkey.io/10.1155/2009/249370?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Li, Bao-Gen & Ling, Dian-Yi & Yu, Zu-Guo, 2021. "Multifractal temporally weighted detrended partial cross-correlation analysis of two non-stationary time series affected by common external factors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 573(C).
    2. Dror Y Kenett & Yoash Shapira & Asaf Madi & Sharron Bransburg-Zabary & Gitit Gur-Gershgoren & Eshel Ben-Jacob, 2011. "Index Cohesive Force Analysis Reveals That the US Market Became Prone to Systemic Collapses Since 2002," PLOS ONE, Public Library of Science, vol. 6(4), pages 1-8, April.
    3. Heckens, Anton J. & Guhr, Thomas, 2022. "New collectivity measures for financial covariances and correlations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 604(C).
    4. Wang, Jian & Huang, Menghao & Wu, Xinpei & Kim, Junseok, 2023. "A local fitting based multifractal detrend fluctuation analysis method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 611(C).

    More about this item

    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:hin:jnljps:249370. 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: Mohamed Abdelhakeem (email available below). General contact details of provider: https://www.hindawi.com .

    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.