Search Results - subject:"Random matrix"

Credit risk : taking fluctuating asset correlations into account

Schmitt, Thilo A.; Schäfer, Rudi; Guhr, Thomas - In: The journal of credit risk : published quarterly by … 11 (2015) 3, pp. 73-94

Persistent link: https://www.econbiz.de/10011380105

Random Matrix Theory and the Evolution of Business Cycle Synchronisation, 1886-2006

Ormerod, Paul - 2008

matrix may be dominated by noise rather than by true information. Random matrix theory was developed in physics to overcome … in the analysis of financial data. Using a very similar data set to Bordo and Helbing, I use random matrix theory, and … growth are indistinguishable from those which could be generated by a purely random matrix. Contrary to the findings of Bordo …

Persistent link: https://www.econbiz.de/10010295268

Random Matrix Theory and Macro-Economic Time-Series: An Illustration Using the Evolution of Business Cycle Synchronisation, 1886-2006

Ormerod, Paul - In: Economics: The Open-Access, Open-Assessment E-Journal 2 (2008) 2008-26, pp. 1-10

The aim of this paper is to show that random matrix theory (RMT) can be a useful addition to the economist?s tool … may be dominated by noise rather than by true information. Random matrix theory was developed in physics to overcome this …

Persistent link: https://www.econbiz.de/10010295323

Extension of Random Matrix Theory to the L-moments for Robust Portfolio Allocation

Yanou, Ghislain - HAL - 2008

). Random matrix theory (see Edelman, 1989) allows us to extract factors which contain real information. An empirical study in …

Persistent link: https://www.econbiz.de/10010738526

Extension of random matrix theory to the L-moments for robust portfolio allocation.

Yanou, Ghislain - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2008

). Random matrix theory (see Edelman, 1989) allows us to extract factors which contain real information. An empirical study in …

Persistent link: https://www.econbiz.de/10004988958

Random Matrix Theory and the Evolution of Business Cycle Synchronisation, 1886-2006

Ormerod, Paul - Institut für Weltwirtschaft (IfW) - 2008

Persistent link: https://www.econbiz.de/10005059048

Statistical properties of the stock and credit market: RMT and network topology

Lim, Kyuseong; Kim, Min Jae; Kim, Sehyun; Kim, Soo Yong - In: Physica A: Statistical Mechanics and its Applications 407 (2014) C, pp. 66-75

We analyzed the dependence structure of the credit and stock market using random matrix theory and network topology … markets in view of the market-wide effect from random matrix theory and eigenvalue analysis. We found that the largest …

Persistent link: https://www.econbiz.de/10010777058

Distribution of the largest eigenvalue for real Wishart and Gaussian random matrices and a simple approximation for the Tracy–Widom distribution

Chiani, Marco - In: Journal of Multivariate Analysis 129 (2014) C, pp. 69-81

We derive efficient recursive formulas giving the exact distribution of the largest eigenvalue for finite dimensional real Wishart matrices and for the Gaussian Orthogonal Ensemble (GOE). In comparing the exact distribution with the limiting distribution of large random matrices, we also found...

Persistent link: https://www.econbiz.de/10010786416

Multicanonical MCMC for sampling rare events: an illustrative review

Iba, Yukito; Saito, Nen; Kitajima, Akimasa - In: Annals of the Institute of Statistical Mathematics 66 (2014) 3, pp. 611-645

Multicanonical MCMC (Multicanonical Markov Chain Monte Carlo; Multicanonical Monte Carlo) is discussed as a method of rare event sampling. Starting from a review of the generic framework of importance sampling, multicanonical MCMC is introduced, followed by applications in random matrices,...

Persistent link: https://www.econbiz.de/10010848678

Determinantal martingales and noncolliding diffusion processes

Katori, Makoto - In: Stochastic Processes and their Applications 124 (2014) 11, pp. 3724-3768

Two aspects of noncolliding diffusion processes have been extensively studied. One of them is the fact that they are realized as harmonic Doob transforms of absorbing particle systems in the Weyl chambers. Another aspect is integrability in the sense that any spatio-temporal correlation function...

Persistent link: https://www.econbiz.de/10010907050