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利用随机矩阵理论,本文对中国股票市场的实际金融关联矩阵的本征值和本征矢量分量的概率分布进行了分析,并将所得的结论与随机矩阵理论的结论进行对比。结果显示,有一小部分本征值在随机矩阵理论的结论的范围外,最大本征值所对应的本征矢量的分量的分布也与随机矩阵理论的本征矢量的分量的分布有明显的不同,这表明中国证券市场的价格波动并不是理想的随机的,具有非随机的成分。这些非随机的成分有可能导致金融市场的失效。消除非随机性是金融市场完善的方向。
Using stochastic matrix theory, this paper analyzes the eigenvalue and the distribution of eigenvectors of the real financial relation matrixes in Chinese stock market, and compares the results with those of stochastic matrix theory. The results show that a small number of eigenvalues are outside the scope of the conclusion of stochastic matrix theory. The distribution of eigenvectors corresponding to the maximum eigenvalues is also significantly different from the distribution of eigenvectors of stochastic matrix theory This shows that price volatility in China’s securities market is not ideal random and has non-random components. These non-random components may lead to the failure of financial markets. Eliminating non-randomness is the perfect direction for financial markets.