経済物理学の実用化に向けて : ランダム行列理論からのアプローチ
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概要
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We analyze cross correlations between price fluctuations of different stocks, and obtain the eigenvalues λ of an equal-time crosscorrelation function C. The statistics of the eigenvalues of C are compared with those of the random matrix theory (RMT). We find that a majority of the eigenvalues of C fall within the RMT bounds [λ_-, λ_+]. We regard the range λ_+<λ as the principal part of correlations in the stock market. We construct portfolio of stocks by using the eigenvalues λ_+<λ, and report a performance of them.
- 日本応用数理学会の論文
- 2005-09-27