Market networks for Russian stock market

Wishart-Laguerre ensemble Х = H*H′ H - rectangular matrix of size N×T, (T>N)

RMT predictions ΡRMT(λ) = , λ+ = , where Q = T/N ≥ 1,

There is one largest eigenvalue λmax, which is 10-30 times higher than λ+ and close to N* , and its corresponding eigenvector is assigned to the market portfolio; There are several other eigenvalues slightly greater than λ+, which reflect the sector behavior; There are a number of eigenvalues smaller than λ-, corresponding to a specifically highly correlated pair of stocks.

Daily returns Ri(t) = Pearson correlation coefficient Cij =

Russian stock market N = 140 stocks; T = 1418 trade days.

Mean Standard deviation Skewness Kurtosis 0,1604 0,1365 1,2455 4,6667

Index participation ratio Ik =

Eigenvectors

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