 
Summary: VOLUME 83, NUMBER 7 P H Y S I C A L R E V I E W L E T T E R S 16 AUGUST 1999
Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series
Vasiliki Plerou,1,2
Parameswaran Gopikrishnan,1
Bernd Rosenow,3
Lui´s A. Nunes Amaral,1
and H. Eugene Stanley1
1
Center for Polymer Studies and Department of Physics, Boston University, Boston, Massachusetts 02215
2
Department of Physics, Boston College, Chestnut Hill, Massachusetts 02167
3
Institut für Theoretische Physik, Universität zu Köln, D50937 Köln, Germany
(Received 22 February 1999)
We use methods of random matrix theory to analyze the crosscorrelation matrix C of stock price
changes of the largest 1000 U.S. companies for the 2year period 19941995. We find that the statistics
of most of the eigenvalues in the spectrum of C agree with the predictions of random matrix theory, but
there are deviations for a few of the largest eigenvalues. We find that C has the universal properties
of the Gaussian orthogonal ensemble of random matrices. Furthermore, we analyze the eigenvectors of
C through their inverse participation ratio and find eigenvectors with large ratios at both edges of the
