What does each bar in the empirical average eigenvalues spectrum of the correlation matrix of log-returns of stocks represent?
An example diagram, taken from this paper, looks like follows: What is its physical interpretation? The highest eigenvalue, the paper says, represents market mode. So, what does the difference in ...
I have a question regarding random matrix theory. I've been studying various papers and I found some confusing definitions of Marchenko-Pastur law. The most clear was the one on wiki: wiki-Pastur-...
I have a downloaded the log-returns at successive times of 98 stocks from S&P index over 753 days. I calculated the total daily return according to the formula 1 below, where ...
I am currently playing around with exponentially weighted correlation matrices and filtering based on Random Matrix Theory. However, there is one thing I am not really sure about: In the equation ...