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Journal of Probability and Statistics
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Journal of Probability and Statistics
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2009
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Article
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Tab 1
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Research Article
RMT Assessments of the Market Latent Information Embedded in the Stocks' Raw, Normalized, and Partial Correlations
Table 1
Value of
, and
for the random matrices created for the S&P, DJIA, and TA datasets.
S&P
4.9438
0.3028
2.1018
DJIA
77.0333
0.7851
1.2409
TA
86.9231
0.7970
1.2260