相关论文: Free Random Levy Variables and Financial Probabili…
We consider a covariance matrix composed of asymmetric and free random Levy matrices. We use the results of free random variables to derive an algebraic equation for the resolvent and solve it to extract the spectral density. For an…
Random matrix theory is used to assess the significance of weak correlations and is well established for Gaussian statistics. However, many complex systems, with stock markets as a prominent example, exhibit statistics with power-law tails,…
In a given market, financial covariances capture the intra-stock correlations and can be used to address statistically the bulk nature of the market as a complex system. We provide a statistical analysis of three SP500 covariances with…
We apply the concept of free random variables to doubly correlated (Gaussian) Wishart random matrix models, appearing for example in a multivariate analysis of financial time series, and displaying both inter-asset cross-covariances and…
Using the theory of free random variables (FRV) and the Coulomb gas analogy, we construct stable random matrix ensembles that are random matrix generalizations of the classical one-dimensional stable L\'{e}vy distributions. We show that the…
We apply random matrix theory to derive spectral density of large sample covariance matrices generated by multivariate VMA(q), VAR(q) and VARMA(q1,q2) processes. In particular, we consider a limit where the number of random variables N and…
Using Random Matrix Theory one can derive exact relations between the eigenvalue spectrum of the covariance matrix and the eigenvalue spectrum of its estimator (experimentally measured correlation matrix). These relations will be used to…
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…
The aim of this paper is to show how free probability theory sheds light on spectral properties of deformed matricial models and provides a unified understanding of various asymptotic phenomena such as spectral measure description,…
We compare eigenvalue densities of Wigner random matrices whose elements are independent identically distributed (iid) random numbers with a Levy distribution and maximally random matrices with a rotationally invariant measure exhibiting a…
We derive the exact form of the eigenvalue spectra of correlation matrices derived from a set of time-shifted, finite Brownian random walks (time-series). These matrices can be seen as random, real, asymmetric matrices with a special…
We consider a sequence of matrices that are associated to Markov dynamical systems and use determinant-free linear algebra techniques (as well as some algebra and complex analysis) to rigorously estimate the eigenvalues of every matrix…
Situations in many fields of research, such as digital communications, nuclear physics and mathematical finance, can be modelled with random matrices. When the matrices get large, free probability theory is an invaluable tool for describing…
Using the diagrammatic method, we derive a set of self-consistent equations that describe eigenvalue distributions of large correlated asymmetric random matrices. The matrix elements can have different variances and be correlated with each…
We analyze the spectral properties of correlation matrices between distinct statistical systems. Such matrices are intrinsically non symmetric, and lend themselves to extend the spectral analyses usually performed on standard Pearson…
In dealing with high-dimensional data sets, factor models are often useful for dimension reduction. The estimation of factor models has been actively studied in various fields. In the first part of this paper, we present a new approach to…
The concepts of scale invariance, self-similarity and scaling have been fruitfully applied to the study of price fluctuations in financial markets. After a brief review of the properties of stable Levy distributions and their applications…
According to recent findings [1,2], empirical covariance matrices deduced from financial return series contain such a high amount of noise that, apart from a few large eigenvalues and the corresponding eigenvectors, their structure can…
Starting from the relation between the kinetic energy of a free Levy-Schroedinger particle and the logarithmic characteristic of the underlying stochastic process, we show that it is possible to get a precise relation between renormalizable…
The spectral density of various ensembles of sparse symmetric random matrices is analyzed using the cavity method. We consider two cases: matrices whose associated graphs are locally tree-like, and sparse covariance matrices. We derive a…