Search Results - subject:"Random matrix"

Uniform approximation of eigenvalues in Laguerre and Hermite beta-ensembles by roots of orthogonal polynomials

Imhof, Lorens A.; Dette, Holger - 2004

We derive strong uniform approximations for the eigenvalues in general Laguerre and Hermite beta-ensembles by showing that the maximal discrepancy between the suitably scaled eigenvalues and roots of orthogonal polynomials converges almost surely to zero when the dimension converges to infinity....

Persistent link: https://www.econbiz.de/10010296641

Uniform approximation of eigenvalues in Laguerre and Hermite beta-ensembles by roots of orthogonal polynomials

Imhof, Lorens A.; Dette, Holger - Institut für Wirtschafts- und Sozialstatistik, … - 2004

Persistent link: https://www.econbiz.de/10009216850

Principal regression analysis and the index leverage effect

Reigneron, Pierre-Alain; Allez, Romain; Bouchaud, … - Université Paris-Dauphine (Paris IX) - 2011

provide some analytical (using Random Matrix Theory) and numerical benchmarks. We find that downward index trends increase the …

Persistent link: https://www.econbiz.de/10011166376

Principal regression analysis and the index leverage effect

Reigneron, Pierre-Alain; Allez, Romain; Bouchaud, … - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 17, pp. 3026-3035

provide some analytical (using Random Matrix Theory) and numerical benchmarks. We find that downward index trends increase the …

Persistent link: https://www.econbiz.de/10010873200

Network analysis of a financial market based on genuine correlation and threshold method

Namaki, A.; Shirazi, A.H.; Raei, R.; Jafari, G.R. - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 21, pp. 3835-3841

reflects market’s behavior. In this paper, we use Random Matrix Theory (RMT) notion for specifying the largest eigenvector of …

Persistent link: https://www.econbiz.de/10010874740

Analysis of stock prices of mining business

Ahn, Sanghyun; Lim, G.C.; Kim, S.H.; Kim, Soo Yong; … - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 12, pp. 2340-2349

random matrix theory and overlapping matrices. However, during the period of 2006–2009, the effect of the global economic …

Persistent link: https://www.econbiz.de/10011057985

Applying free random variables to random matrix analysis of financial data. Part I: The Gaussian case

Burda, Zdzisław; Jarosz, Andrzej; Nowak, Maciej; … - In: Quantitative Finance 11 (2011) 7, pp. 1103-1124

We apply the concept of free random variables to doubly correlated (Gaussian) Wishart random matrix models, appearing …

Persistent link: https://www.econbiz.de/10009208407

Dependence structure of the commodity and stock markets, and relevant multi-spread strategy

Kim, Min Jae; Kim, Sehyun; Jo, Yong Hwan; Kim, Soo Yong - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 21, pp. 3842-3854

two different markets. This study analyzed the dependence structure of the commodity and stock markets using the random … matrix theory technique and network analysis. Our results show that the stock and commodity markets must be handled as …

Persistent link: https://www.econbiz.de/10010590342

Comparing the structure of an emerging market with a mature one under global perturbation

Namaki, A.; Jafari, G.R.; Raei, R. - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 17, pp. 3020-3025

two statistical approaches, random matrix theory (RMT) and the correlation coefficient distribution. By using RMT, we find …

Persistent link: https://www.econbiz.de/10010590478

Identifying the structure of group correlation in the Korean financial market

Ahn, Sanghyun; Choi, Jaewon; Lim, Gyuchang; Cha, Kil Young - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 11, pp. 1991-2001

We investigate the structure of the cross-correlation in the Korean stock market. We analyze daily cross-correlations between price fluctuations of 586 different Korean stock entities for the 6-year time period from 2003 to 2008. The main purpose is to investigate the structure of group...

Persistent link: https://www.econbiz.de/10010590632