Search Results - subject:"Random matrix"

Random matrix analysis of network Laplacians

Jalan, Sarika; Bandyopadhyay, Jayendra N. - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 2, pp. 667-674

We analyse the eigenvalue fluctuations of the Laplacian of various networks under the random matrix theory framework … of the Laplacian of these networks follow Gaussian orthogonal ensemble statistics of the random matrix theory …

Persistent link: https://www.econbiz.de/10010873013

The δn statistic for the β-Hermite ensemble

Le Caër, G.; Male, C.; Delannay, R. - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 14, pp. 3384-3398

The fluctuation δn of the nth unfolded eigenvalue was recently characterized for the classical Gaussian ensembles of N×N random matrices (GOE, GUE, GSE). It is investigated here for the β-Hermite ensemble as a function of the reciprocal of the temperature β by Monte Carlo simulations. The...

Persistent link: https://www.econbiz.de/10011062710

On invariant 2×2 β -ensembles of random matrices

Vivo, Pierpaolo; Majumdar, Satya N. - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 19, pp. 4839-4855

We introduce and solve exactly a family of invariant 2×2 random matrices, depending on one parameter η, and we show that rotational invariance and real Dyson index β are not incompatible properties. The probability density for the entries contains a weight function and a multiple...

Persistent link: https://www.econbiz.de/10011064350

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), 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/10005082985

A RANDOM-MATRIX-THEORY-BASED ANALYSIS OF STOCKS OF MARKETS FROM DIFFERENT COUNTRIES

COELHO, RICARDO; RICHMOND, PETER; HUTZLER, STEFAN; … - In: Advances in Complex Systems (ACS) 11 (2008) 05, pp. 655-668

Correlations of stocks in time have been widely studied. Both the random matrix theory approach and the graphical … correlation between stocks traded in markets of different countries, we show that the random matrix theory approach is able to …

Persistent link: https://www.econbiz.de/10005050873

Random matrix theory filters in portfolio optimisation: A stability and risk assessment

Daly, J.; Crane, M.; Ruskin, H.J. - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 16, pp. 4248-4260

Random matrix theory (RMT) filters, applied to covariance matrices of financial returns, have recently been shown to …

Persistent link: https://www.econbiz.de/10010589903

Random, but not so much a parameterization for the returns and correlation matrix of financial time series

Martins, André C.R. - In: Physica A: Statistical Mechanics and its Applications 383 (2007) 2, pp. 527-532

spectrum of eigenvalues of the correlation matrix that can be understood as an extension of Random Matrix Theory results. The … shown that those predictions fit the data better than Random Matrix Theory. …

Persistent link: https://www.econbiz.de/10010871671

Nearest-neighbour spacing distributions of the β-Hermite ensemble of random matrices

Le Caër, G.; Male, C.; Delannay, R. - In: Physica A: Statistical Mechanics and its Applications 383 (2007) 2, pp. 190-208

The evolution with β of the distributions of the spacing ‘s’ between nearest-neighbour levels of unfolded spectra of random matrices from the β-Hermite ensemble (β-HE) is investigated by Monte Carlo simulations. The random matrices from the β-HE are real symmetric and tridiagonal where...

Persistent link: https://www.econbiz.de/10011059585

Cross correlations in an emerging market financial data

Çukur, Sadik; Eryiğit, Mehmet; Eryiğit, Resul - In: Physica A: Statistical Mechanics and its Applications 376 (2007) C, pp. 555-564

stock prices in an emerging market (Istanbul Stock Exchange Market) by using random matrix theory. Although properties such …

Persistent link: https://www.econbiz.de/10011061273

The asymptotic spectrum of the EWMA covariance estimator

Svensson, Jens - In: Physica A: Statistical Mechanics and its Applications 385 (2007) 2, pp. 621-630

, and its spectrum can be used for so-called random matrix filtering. Random matrix filtering using the spectrum of the …

Persistent link: https://www.econbiz.de/10011063074