{
  "id": "cond-mat/9902283",
  "version": "v1",
  "published": "1999-02-20T17:13:31.000Z",
  "updated": "1999-02-20T17:13:31.000Z",
  "title": "Universal and non-universal properties of cross-correlations in financial time series",
  "authors": [
    "Vasiliki Plerou",
    "Parameswaran Gopikrishnan",
    "Bernd Rosenow",
    "Luis A. Nunes Amaral",
    "H. Eugene Stanley"
  ],
  "comment": "14 pages, 3 figures, Revtex",
  "journal": "Phys. Rev. Lett., 83 (1999) 1471",
  "doi": "10.1103/PhysRevLett.83.1471",
  "categories": [
    "cond-mat.stat-mech",
    "cond-mat.dis-nn",
    "q-fin.ST"
  ],
  "abstract": "We use methods of random matrix theory to analyze the cross-correlation matrix C of price changes of the largest 1000 US stocks for the 2-year period 1994-95. We find that the statistics of most of the eigenvalues in the spectrum of C agree with the predictions of random matrix theory, but there are deviations for a few of the largest eigenvalues. We find 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 and find eigenvectors with large inverse participation ratios at both edges of the eigenvalue spectrum--a situation reminiscent of results in localization theory.",
  "revisions": [
    {
      "version": "v1",
      "updated": "1999-02-20T17:13:31.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "financial time series",
      "non-universal properties",
      "random matrix theory",
      "cross-correlation",
      "large inverse participation ratios"
    ],
    "tags": [
      "journal article"
    ],
    "publication": {
      "publisher": "APS",
      "journal": "Phys. Rev. Lett."
    },
    "note": {
      "typesetting": "RevTeX",
      "pages": 14,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}