1. Market networks for Russian stock market

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

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

4. There is one largest eigenvalue λmax, which is 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.

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

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

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

10. Index participation ratio
Ik =

11. Eigenvectors

12. Thank you for attention