RMT Assessments of the Market Latent Information Embedded in the Stocks' Raw, Normalized, and Partial Correlations
Figure 5
Comparison of the spectra for the raw ((a), blue), affinity ((b), green), and partial ((c), red) correlations, to the corresponding random matrix case (black). Data used is of the S&P data, using a semilog plot. Only the first 100 values of are presented.
