A0525
Title: Distinctly large eigenvalue with approximately diagonal eigenvector of covariance matrix
Authors: Yifan Zhang - Renmin University of China (China) [presenting]
Zhenya Liu - Renmin University of China and Aix-Marseille University (France)
Bo Li - Beijing International Studies University (China)
Abstract: Covariance matrices of financial returns are often observed with distinctly large eigenvalues and approximately diagonal eigenvectors. With a geometric illustration, we show that how such characteristic occurs for specific covariance matrices.
