Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications
Online ISSN : 2188-4749
Print ISSN : 2188-4730
第45回ISCIE「確率システム理論と応用」国際シンポジウム(2013年11月, 沖縄)
The Application of the RMT-test on the High-frequency Price Time Series
M. Tanaka-YamawakiX. Yang
ジャーナル フリー

2014 年 2014 巻 p. 120-125


A new tool to measure the degree of randomness of a given sequence, named as the RMT-test, is introduced and applied on machine-generated random numbers as well as real-world data sequences. The tool consists of two parts: the qualitative evaluation that is aimed to visualize the degree of randomness, and the quantitative evaluation that is aimed to distinguish subtle differences of randomness among highly random sequences based on moment analysis, in which the moments of the actual eigenvalue distributions of the correlation matrix to the corresponding theoretical expression derived by the random matrix theory. The RMT-test is applied to solve practical problems by comparing the randomness of real data, such as the output of cryptographic hash functions MD5 and SHA-1, and high-frequency time series of stock prices. It is found that the stock of higher randomness tends to perform better than the stock of lower randomness in the following time period.

© 2014 ISCIE Symposium on Stochastic Systems Theory and Its Applications
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