Effect of changing data size on eigenvalues in the Korean and Japanese stock markets
Statistical Finance
2015-05-13 v2 Data Analysis, Statistics and Probability
Abstract
In this study, we attempted to determine how eigenvalues change, according to random matrix theory (RMT), in stock market data as the number of stocks comprising the correlation matrix changes. Specifically, we tested for changes in the eigenvalue properties as a function of the number and type of stocks in the correlation matrix. We determined that the value of the eigenvalue increases in proportion with the number of stocks. Furthermore, we noted that the largest eigenvalue maintains its identical properties, regardless of the number and type, whereas other eigenvalues evidence different features.
Keywords
Cite
@article{arxiv.0811.4021,
title = {Effect of changing data size on eigenvalues in the Korean and Japanese stock markets},
author = {Cheoljun Eom and Woo-Sung Jung and Taisei Kaizoji and Seunghwan Kim},
journal= {arXiv preprint arXiv:0811.4021},
year = {2015}
}