Predicting the security levels of stock investment by using the RMT-test

Procedia Computer Science

Volumn 22, Issue , 2013, Pages 1172-1181

  Yang, Xin ^a   Mikamori, Yuuta ^a   Tanaka Yamawaki, Mieko ^a  

^a TOTTORI UNIVERSITY   (Japan)

Author keywords

Randomness; RMT PCA; RMT test; Tick wise stock price

Indexed keywords

EID: 84896939412     PISSN: 18770509     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1016/j.procs.2013.09.204     Document Type: Conference Paper

References (7)

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3. Plerou, V., Gopikrishnan, P., Rosenow, B., Amaral, L. A. N. and Stanley, H. E.: Universal and Non-Universal Properties of Cross-Correlations in Financial Time Series, Physical Review Letter 1999; 83: pp. 1471-1474.
4. Tanaka-Yamawaki, M., Yang, X. and Itoi, R.: Moment Approach for quantitative evaluation of randomness based on RMT formula, Intelligent Decision Thechnologies, SIST(Springer) 2012; 16: pp. 423-432.
5. Park, S. and Miller, Random, K.: Number Generators: Good Ones are Hard to Find, Communication of ACM 1988; 31: pp. 1192-1201.
6. Tanaka-Yamawaki, M.: Cross correlation of intra-day stock prices in comparison to Random Matrix Theory, Intelligent Information Management 2011; 3: pp. 65-70.
7. Tanaka-Yamawaki, M.: Extracting Quarterly Trends of Tokyo Stock Market by Means of RMT-PCA, Advances in Knowledge-Based and Intelligent Information & Engineering Systems, 2012; DOI: 10.3233/978-1-61499-1-05-2-2028: pp. 2028-2036.