Abstract
In a large number of previous studies, the researchers found that some of the eigenvalues of the financial correlation matrix were greater than the predicted values of the random matrix theory (RMT). Here, we call these eigenvalues as abnormal eigenvalues. In order to reveal the hidden meaning of these abnormal eigenvalues, we study the toy model with cluster structure and find that these eigenvalues are related to the cluster structure of the correlation coefficient matrix. In this paper, model-based experiments show that in most cases, the number of abnormal eigenvalues of the correlation matrix is equal to the number of clusters. In addition, empirical studies show that the sum of the abnormal eigenvalues is related to the clarity of the cluster structure and is negatively correlated with the correlation dimension.
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