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2014•Proceedings of the 12th Asia Pacific Physics Conference (APPC12)Requires access

A Study on the Randomness of Stock Prices by Using the RMT-Test

Xin Yang, Mieko Tanka-Yamawaki

Open publisher page 1 citations

Abstract

The authors proposed earlier a new method to measure the randomness of long sequences based on the Random Matrix Theory (RMT), which is called as the RMT-test, and proved its effectiveness by distinguishing subtle differences among the randomness of various random numbers generated by physical or algorithmic generators. However, the real application of this method would be on the real data of relatively low randomness. In this article, the RMT-test is applied to measure the randomness of intraday stock price time series. It is found that the stocks having high randomness tend to perform better in the next year, in comparison to the stocks of low randomness.

About this research paper

What this paper is about

The authors proposed earlier a new method to measure the randomness of long sequences based on the Random Matrix Theory (RMT), which is called as the RMT-test, and proved its effectiveness by distinguishing subtle differences among the randomness of various random numbers generated by physical or algorithmic generators. However, the real application of this method would be on the real data of relatively low randomness. In this article, the RMT-test is applied to measure the randomness of intraday stock price time series. It is found that the stocks having high randomness tend to perform better in the next year, in comparison to the stocks of low randomness.

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OpenAlex reports 1 citations for this work. Citation counts describe recorded attention and do not establish research quality.

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Available abstract

The authors proposed earlier a new method to measure the randomness of long sequences based on the Random Matrix Theory (RMT), which is called as the RMT-test, and proved its effectiveness by distinguishing subtle differences among the randomness of various random numbers generated by physical or algorithmic generators. However, the real application of this method would be on the real data of relatively low randomness. In this article, the RMT-test is applied to measure the randomness of intraday stock price time series. It is found that the stocks having high randomness tend to perform better in the next year, in comparison to the stocks of low randomness.

Key concepts: Randomness, Stock (firearms), Computer science, Test (biology), Econometrics, Mathematics, Engineering, Statistics

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