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Pastur, L. and Shcherbina, M. (1997) Universality of the Local Eigenvalue Statistics for a Class of Unitary Invariant Random Matrix Ensembles. Journal of Statistical Physics. http://arxiv.org/abs/0906.0510

has been cited by the following article:

• TITLE: Random Matrix Approach to Correlation Matrix of Financial Data (Mexican Stock Market Case)

  AUTHORS: Juan Martín Casillas González, Antonio Alatorre Torres

  KEYWORDS: Economical Physics, Mathematical Economy, Financial Risk, Time Series, Crossed Correlation Matrices, Random Matrix Theory, Applied Nuclear Chaos, Stock Market Problems

  JOURNAL NAME: Modern Economy, Vol.6 No.9, September 28, 2015

  ABSTRACT: The main purpose of this work is to reproduce the method used for U.S. market which consists in the approach of random matrices to crossed correlation matrices built with financial data taken from a Mexican stock market database. First we built a cross correlation empirical matrix with these financial data. Eigenvalue spectrum was obtained from this matrix. We made the same spectrum analysis for a random matrix, and finally we compared both eigenvalue sets, and we tried to set up a hypothesis of how risk was related to this random matrix-correlation matrix approach. We used financial data over a period of six months and time series where made upon three hours measures for crossed correlation matrix.