RMT Assessments of the Market Latent Information Embedded in the Stocks' Raw, Normalized, and Partial Correlations

Table 2

Number and percentage (out of total) of empirical eigenvalues that deviate from the theoretical maximal eigenvalue, 𝜆>𝜆_max, for the raw correlation, affinity, and partial correlation matrices for the three datasets.

	Raw correlation	Affinity	Partial correlation
S&P	18 (4.04%)	13 (2.92%)	28 (6.29%)
DJIA	3 (10.00%)	2 (6.67%)	6 (20.00%)
TA	2 (7.69%)	1 (3.85%)	5 (19.23%)