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- W4285133024 abstract "In this study, we show results from application of random matrix theory (RMT) on various kinds of financial data. The random matrix theory is expected to play an important role in big data analysis. Small sized stock price data and mainly portfolio data (basket of stocks) are utilized in previous researches. Here, we use middle scale price data and apply RMT on stock portfolios and each single product, respectively. We apply on twenty-five single products. They are cryptocurrencies, foreign exchange rates, and commodities. In application of RMT on stock portfolios, we see interesting results that are completely different from the previous papers due to our more appropriate treatment for missing values of stock prices. In application of RMT on single products, cryptocurrencies have closer distribution to the theoretical shape than other products although it is being said as wider price fluctuation than other financial products. In this chapter, we briefly explain theoretical background of RMT and review previous key papers. And we introduce results of numerical experiments and targets in our future works." @default.
- W4285133024 created "2022-07-14" @default.
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- W4285133024 date "2022-01-01" @default.
- W4285133024 modified "2023-09-29" @default.
- W4285133024 title "Random Matrix Theory (RMT) Application on Financial Data" @default.
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- W4285133024 doi "https://doi.org/10.1007/978-981-19-0937-5_15" @default.
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