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  1. 1 Acta Physica Polonica A

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  1. 1 2015

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  1. 1 Grech D.

  2. 1 Sawa M.

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Alternative Random Matrix Approach in Analysis of Correlations in Financial Data

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Sawa M., Grech D.
Acta Physica Polonica A
|
2015
|
vol. 127
|
issue 3A
A-118-A-122
EN
We present an alternative method based on random matrix approach that enables to distinguish the respective role of temporal autocorrelations inside given time series and cross correlations between various time series. The proposed algorithm is based on the properties of Wigner eigenspectrum of random matrices instead of commonly used Wishart eigenspectrum methodology. It is then qualitatively and quantitatively applied to financial data of stocks building WIG 30 - the main Warsaw Stock Exchange Index.
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