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

Linda Margarita Medina Herrera () and Ricardo Mansilla Corona ()
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Linda Margarita Medina Herrera: Tecnológico de Monterrey
Ricardo Mansilla Corona: UNAM

Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), 2008, vol. 2, issue 2, 125-135

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

Keywords: Matrices aleatorias; matrices de correlación financieras (search for similar items in EconPapers)
JEL-codes: C16 C65 G11 (search for similar items in EconPapers)
Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:ega:rafega:200809

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