Application of The Random Matrix Theory on the Cross-Correlation of Stock ‎Prices‎‎

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 ýStructures.ý
In ýthis worký, we analyze cross-crrelations between price fluctuations of 20 ýcompany ýstocksýý of Iran by using RMT. We find the eigenvalues and eigenvectors of the matrices of the cross-correlations related to ýtheýse stocks.ýýý
The results show some eigenvalues do not fall within the bounds of RMT eigenvalues, that indicate the correlations of ýý stocks in usual and critical flucatutions.