Sharifi, S.; Crane, M.; Shamaie, A.; Ruskin, H. - In: Physica A: Statistical Mechanics and its Applications 335 (2004) 3, pp. 629-643
We apply random matrix theory (RMT) to an empirically measured financial correlation matrix, C, and show that this matrix contains a large amount of noise. In order to determine the sensitivity of the spectral properties of a random matrix to noise, we simulate a set of data and add different...