Related papers: The Wishart--Rosenzweig--Porter random matrix ense…
We present a brief overview of random matrix theory (RMT) with the objectives of highlighting the computational results and applications in financial markets as complex systems. An oft-encountered problem in computational finance is the…
Recently much effort has been made towards the introduction of non-Hermitian random matrix models respecting $PT$-symmetry. Here we show that there is a one-to-one correspondence between complex $PT$-symmetric matrices and split-complex and…
This paper concentrates on asymptotic properties of determinants of some random symmetric matrices. If B_{n,r} is a n x r rectangular matrix and B_{n,r}' its transpose, we study det (B_{n,r}'B_{n,r}) when n,r tends to infinity with r/n \to…
We consider unitary invariant random matrix ensembles which obey spectral statistics different from the Wigner-Dyson, including unitary ensembles with slowly (~(log x)^2) growing potentials and the finite-temperature fermi gas model. If the…
We study the spectral properties of and spectral-crossovers between different random matrix ensembles (Poissonian, GOE, GUE) in correlated spin-chain systems, in the presence of random magnetic fields, and the scalar spin-chirality term,…
While internal space-time symmetries of relativistic particles are dictated by the little groups of the Poincar\'e group, it is possible to construct representations of the little group for massive particles starting from harmonic…
Random walk is an explainable approach for modeling natural processes at the molecular level. The Random Permutation Set Theory (RPST) serves as a framework for uncertainty reasoning, extending the applicability of Dempster-Shafer Theory.…
In this work, we study some statistical properties of the extreme eigenstates of the randomly-weighted adjacency matrices of random graphs. We focus on two random graph models: Erd\H{o}s-R\'{e}nyi (ER) graphs and random geometric graphs…
We study some properties of a class of random connected planar fractal sets induced by a Poissonian scale-invariant and translation-invariant point process. Using the second-moment method, we show that their Hausdorff dimensions are…
Gaussian covariance graph models encode marginal independence among the components of a multivariate random vector by means of a graph $G$. These models are distinctly different from the traditional concentration graph models (often also…
We apply Tsallis's q-indexed nonextensive entropy to formulate a random matrix theory (RMT), which may be suitable for systems with mixed regular-chaotic dynamics. We consider the super-extensive regime of q < 1. We obtain analytical…
We introduce a power-law banded random matrix model for the third of the three classical Wigner-Dyson ensembles, i.e., the symplectic ensemble. A detailed analysis of the statistical properties of its eigenvectors and eigenvalues, at…
We construct a very general family of characteristic functions describing Random Matrix Ensembles (RME) having a global unitary invariance, and containing an arbitrary, one-variable probability measure which we characterize by a `spread…
Vinberg cones and the ambient vector spaces are important in modern statistics of sparse models and of graphical models. The aim of this paper is to study eigenvalue distributions of Gaussian, Wigner and covariance matrices related to…
We introduce a stochastic process with Wishart marginals: the generalised Wishart process (GWP). It is a collection of positive semi-definite random matrices indexed by any arbitrary dependent variable. We use it to model dynamic (e.g. time…
By randomly removing a fraction of levels from a given spectrum a model is constructed that describes a crossover from this spectrum to a Poisson spectrum. The formalism is applied to the transitions towards Poisson from random matrix…
The study of spectral behavior of networks has gained enthusiasm over the last few years. In particular, Random Matrix Theory (RMT) concepts have proven to be useful. In discussing transition from regular behavior to fully chaotic behavior…
The total energy of an eigenstate in a composite quantum system tends to be distributed equally among its constituents. We identify the quantum fluctuation around this equipartition principle in the simplest disordered quantum system…
Three recently suggested random matrix ensembles (RME) are linked together by an exact mapping and plausible conjections. Since it is known that in one of these ensembles the eigenvector statistics is multifractal, we argue that all three…
In an absorptive system the Wigner reaction $K-$matrix (directly related to the impedance matrix in acoustic or electromagnetic wave scattering) is non-selfadjoint, hence its eigenvalues are complex. The most interesting regime arises when…