, using the Trade and Quote data of 663 actively traded stocks in Korean stock market. It is found that the random matrix …

intermittence phenomenon in the distribution of the cross-correlation coefficients. Also by employing the random matrix theory (RMT …

We analyze the dynamics of the implied volatility surface of KOSPI 200 futures options from random matrix theory. To … extract the informative data, we use random matrix criteria. Implied volatility data have a colossal eigenvalue, and the order … of eigenvalues in a noisy regime is distinguishably smaller than a random matrix theory prediction. We discern the …

matrices can be best modelled by standard random matrix theory or rather by its generalisations displaying power-law tails. In … matrix predictions. The data are in fair agreement with a recently introduced generalised random matrix model, with … matrix as well as the average over all unfolded nearest-neighbour spacing distributions deviate from standard Gaussian random …

estimated network is the correlation matrix created by random matrix theory. We found that the consistency between the two …

‘global’ means the overall effect of the replacement on other untouched returns. Through statistical analyses such as random … matrix theory (RMT), network theory, and the correlation coefficient distributions, we show that the global structure of a …

In this study, we attempted to determine how eigenvalues change, according to random matrix theory (RMT), in stock …