scientific article
From MaRDI portal
Publication:3105281
zbMath1235.91177arXiv0910.1205MaRDI QIDQ3105281
Jean-Philippe Bouchaud, Marc Potters
Publication date: 5 January 2012
Full work available at URL: https://arxiv.org/abs/0910.1205
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Related Items (25)
GOE statistics for Lévy matrices ⋮ Optimal discretization of stochastic integrals driven by general Brownian semimartingale ⋮ Improving portfolios global performance using a cleaned and robust covariance matrix estimate ⋮ AN EMPIRICAL APPROACH TO FINANCIAL CRISIS INDICATORS BASED ON RANDOM MATRICES ⋮ Limiting empirical distribution for eigenvalues of products of random rectangular matrices ⋮ Asymptotics of rectangular spherical integrals ⋮ Numerical Solution of Free Stochastic Differential Equations ⋮ Simulating realistic correlation matrices for financial applications: correlation matrices with the Perron–Frobenius property ⋮ A Bayesian graphical approach for large-scale portfolio management with fewer historical data ⋮ \(\mathrm{SL}(2,\mathbb{Z})\)-equivariant machine learning with modular forms theory and applications ⋮ Spectral radii of products of random rectangular matrices ⋮ A nested factor model for non-linear dependencies in stock returns ⋮ Random matrix theory in statistics: a review ⋮ Optimal trading strategies—a time series approach ⋮ Cleaning large correlation matrices: tools from random matrix theory ⋮ Eigenvector statistics of Lévy matrices ⋮ Coulomb Gases Under Constraint: Some Theoretical and Numerical Results ⋮ Superintegrability of matrix student's distribution ⋮ Sparse precision matrices for minimum variance portfolios ⋮ Random matrix models for datasets with fixed time horizons ⋮ Random matrix application to correlations amongst the volatility of assets ⋮ Non-Hermitean Wishart random matrices (I) ⋮ Unnamed Item ⋮ Hypergeometric functions of matrix arguments and linear statistics of multi-spiked Hermitian matrix models ⋮ On generalized expectation-based estimation of a population spectral distribution from high-dimensional data
This page was built for publication:
