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摘要翻译：
本文利用随机矩阵理论(RMT)研究了韩国股票市场交易的个股之间的相关矩阵的统计性质，并观察了这些相关矩阵如何影响Markowitz投资组合理论中的投资组合权重。我们发现相关矩阵的分布呈正偏态，并随时间变化。发现原始相关矩阵的特征值分布与RMT预测的特征值有偏差，最大特征值比RMT预测的最大特征值大52倍。反映最大特征值性质的$\beta_{473}$系数为0.8，而RMT中的一个特征值近似为零。值得注意的是，我们发现原始相关矩阵和滤波相关矩阵的熵函数$E(\sigma)$与投资组合风险$\sigma$一致于幂律函数$E(\sigma)\sim\sigma^{-\gamma}$,其指数$\gamma\sim为2.92$,亚洲货币危机的熵函数显著降低。
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英文标题：
《Statistical Properties of Cross-Correlation in the Korean Stock Market》
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作者：
Gabjin Oh, Cheoljun Eom, Fengzhong Wang, Woo-Sung Jung, H. Eugene
Stanley, Seunghwan Kim
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最新提交年份：
2010
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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英文摘要：
We investigate the statistical properties of the correlation matrix between individual stocks traded in the Korean stock market using the random matrix theory (RMT) and observe how these affect the portfolio weights in the Markowitz portfolio theory. We find that the distribution of the correlation matrix is positively skewed and changes over time. We find that the eigenvalue distribution of original correlation matrix deviates from the eigenvalues predicted by the RMT, and the largest eigenvalue is 52 times larger than the maximum value among the eigenvalues predicted by the RMT. The $\beta_{473}$ coefficient, which reflect the largest eigenvalue property, is 0.8, while one of the eigenvalues in the RMT is approximately zero. Notably, we show that the entropy function $E(\sigma)$ with the portfolio risk $\sigma$ for the original and filtered correlation matrices are consistent with a power-law function, $E(\sigma) \sim \sigma^{-\gamma}$, with the exponent $\gamma \sim 2.92$ and those for Asian currency crisis decreases significantly.
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PDF链接：
https://arxiv.org/pdf/1010.2048
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