Before revision: Using Random Matrix Theory, we build a covariance matrix between stocks of the BM&F-Bovespa (Bolsa de Valores, Mercadorias e Futuros de S\~ao Paulo) which is cleaned of some of the noise due to the complex interactions between the many stocks and the finiteness of available data , and use a regression model in order to remove the market effect due to the common movement of all stocks.
After revision: Using Random Matrix Theory, we build covariance matrices between stocks of the BM&F-Bovespa (Bolsa de Valores, Mercadorias e Futuros de S\~ao Paulo) which is cleaned of some of the noise due to the complex interactions between the many stocks and the finiteness of available data , and use a regression model in order to remove the market effect due to the common movement of all stocks.