Financial Applications of Random Matrix Theory: a short review
Statistical Finance
2009-10-08 v1 Disordered Systems and Neural Networks
Risk Management
Abstract
We discuss the applications of Random Matrix Theory in the context of financial markets and econometric models, a topic about which a considerable number of papers have been devoted to in the last decade. This mini-review is intended to guide the reader through various theoretical results (the Marcenko-Pastur spectrum and its various generalisations, random SVD, free matrices, largest eigenvalue statistics, etc.) as well as some concrete applications to portfolio optimisation and out-of-sample risk estimation.
Keywords
Cite
@article{arxiv.0910.1205,
title = {Financial Applications of Random Matrix Theory: a short review},
author = {J. P. Bouchaud and M. Potters},
journal= {arXiv preprint arXiv:0910.1205},
year = {2009}
}
Comments
To appear in the "Handbook on Random Matrix Theory", Oxford University Press