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RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS
International Journal of Theoretical and Applied Finance, 2000We show that results from the theory of random matrices are potentially of great interest when trying to understand the statistical structure of the empirical correlation matrices appearing in the study of multivariate financial time series. We find a remarkable agreement between the theoretical prediction (based on the assumption that the correlation
Laloux, Laurent +3 more
openaire +2 more sources
2004
In this chapter, we will work not with \(\mathrm{GL}(n, \mathbb{C})\) but with its compact subgroup U(n). As in the previous chapters, we will consider elements of \(\mathcal{R}_{k}\) as generalized characters on S k . If \(\mathbf{f} \in \mathcal{R}_{k}\), then \(f ={ \mathrm{ch}}^{(n)}(\mathbf{f}) \in \varLambda _{k}^{(n)}\) is a symmetric polynomial
openaire +1 more source
In this chapter, we will work not with \(\mathrm{GL}(n, \mathbb{C})\) but with its compact subgroup U(n). As in the previous chapters, we will consider elements of \(\mathcal{R}_{k}\) as generalized characters on S k . If \(\mathbf{f} \in \mathcal{R}_{k}\), then \(f ={ \mathrm{ch}}^{(n)}(\mathbf{f}) \in \varLambda _{k}^{(n)}\) is a symmetric polynomial
openaire +1 more source
Test of the Eigenstate Thermalization Hypothesis Based on Local Random Matrix Theory
Physical Review Letters, 2021Shoki Sugimoto +2 more
exaly
Cleaning large correlation matrices: Tools from Random Matrix Theory
Physics Reports, 2017Joël Bun +2 more
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Random-matrix theory of Majorana fermions and topological superconductors
Reviews of Modern Physics, 2015Carlo Beenakker
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