Journal of Probability and Statistics
Volume 2009 (2009), Article ID 249370, 13 pages
Research Article

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

School of Physics and Astronomy, The Raymond and Beverly Sackler Faculty of Exact Sciences, Tel-Aviv University, Tel-Aviv 69978, Israel

Received 3 September 2009; Accepted 10 December 2009

Academic Editor: A. Thavaneswaran

Copyright © 2009 Dror Y. Kenett et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.


We present here assessment of the latent market information embedded in the raw, affinity (normalized), and partial correlations. We compared the Zipf plot, spectrum, and distribution of the eigenvalues for each matrix with the results of the corresponding random matrix. The analysis was performed on stocks belonging to the New York and Tel Aviv Stock Exchange, for the time period of January 2000 to March 2009. Our results show that in comparison to the raw correlations, the affinity matrices highlight the dominant factors of the system, and the partial correlation matrices contain more information. We propose that significant stock market information, which cannot be captured by the raw correlations, is embedded in the affinity and partial correlations. Our results further demonstrate the differences between NY and TA markets.