RMT Assessments of the Market Latent Information Embedded in the Stocks' Raw, Normalized, and Partial Correlations
Figure 3
Zipf plot of the S&P dataset. Here we plot the of the value of the eigenvalue as function of the of its rank. A power law-like behavior is observed for the raw (blue), affinity (green), and partial (red) correlation, in comparison to the random matrix (black).
