固有値分析とポートフォリオ構築

抄録

Recently, a lot of studies on the eigenvalue analysis are performed in order to investigate the statistical characteristics of multi-assets correlation in financial markets. In this study, we analyzed the eigenvalue of the cross-correlation matrix of the stock prices listed in the Tokyo Stock Exchange. A filtered cross-correlation matrix is built by removing the noise mode. Comparing the network graphs visualized from normal cross-correlation matrix with the one from the filtered cross-correlation matrix, the latter reflects the characteristic of the market in a more insightful manner. In addition, we build a portfolio from the filtered cross-correlation matrix, and carry out a backtesting by doing a simulated investment. As a result, the portfolio made from the filtered cross-correlation matrix shows better performance than the normal one. Our result suggests that eigenvalue analysis is useful for both understanding the market structure and improving the portfolio for investment.