Department of Statistics, University of Mazandaran, Iran
The analysis of cross-correlations is extensively applied for understanding of interconnections in stock markets. Variety of methods are used in order to search stock cross-correlations including the Random Matrix Theory (RMT), the Principal Component Analysis (PCA) and the Hierachical Structures.
In this work, we analyze cross-crrelations between price fluctuations of 20 company stocks of Iran by using RMT. We find the eigenvalues and eigenvectors of the matrices of the cross-correlations related to these stocks.
The results show some eigenvalues do not fall within the bounds of RMT eigenvalues, that indicate the correlations of stocks in usual and critical flucatutions.