Search Results - subject:"Random matrix"

Random matrix theory and fund of funds portfolio optimisation

Conlon, T.; Ruskin, H.J.; Crane, M. - In: Physica A: Statistical Mechanics and its Applications 382 (2007) 2, pp. 565-576

to be estimated using a relatively small sample of monthly returns data which induces noise. In this paper, random matrix …

Persistent link: https://www.econbiz.de/10010590961

Correlation study of the Athens Stock Exchange

Garas, Antonios; Argyrakis, Panos - In: Physica A: Statistical Mechanics and its Applications 380 (2007) C, pp. 399-410

time period 1987–2004. We use the minimum spanning tree (MST) technique and the random matrix theory (RMT), which make it …

Persistent link: https://www.econbiz.de/10010591192

Understanding interarrival and interdeparture time statistics from interactions in queuing systems

Helbing, Dirk; Treiber, Martin; Kesting, Arne - In: Physica A: Statistical Mechanics and its Applications 363 (2006) 1, pp. 62-72

potential. The results relate to the ones known from Random Matrix Theory. Together with the velocity distribution, one can …

Persistent link: https://www.econbiz.de/10010874328

Superstatistics in random matrix theory

Abul-Magd, A.Y. - In: Physica A: Statistical Mechanics and its Applications 361 (2006) 1, pp. 41-54

Using the superstatistics method, we propose an extension of the random matrix theory to cover systems with mixed … by averaging the corresponding quantities in the standard random-matrix theory over the fluctuations of the inverse …

Persistent link: https://www.econbiz.de/10010590469

Collective origin of the coexistence of apparent random matrix theory noise and of factors in large sample correlation matrices

Malevergne, Y.; Sornette, D. - In: Physica A: Statistical Mechanics and its Applications 331 (2004) 3, pp. 660-668

pairs of elements. The coexistence of an eigenvalue spectrum predicted by random matrix theory (RMT) and a few very large …

Persistent link: https://www.econbiz.de/10010873012

Determination of interaction potentials in freeway traffic from steady-state statistics

Krbalek, Milan; Helbing, Dirk - In: Physica A: Statistical Mechanics and its Applications 333 (2004) C, pp. 370-378

equilibrium statistical physics we learned from random matrix theory. It allows one to determine the interaction potential via …

Persistent link: https://www.econbiz.de/10011057976

Signal and noise in financial correlation matrices

Burda, Zdzisław; Jurkiewicz, Jerzy - In: Physica A: Statistical Mechanics and its Applications 344 (2004) 1, pp. 67-72

Using Random Matrix Theory one can derive exact relations between the eigenvalue spectrum of the covariance matrix and …

Persistent link: https://www.econbiz.de/10011058220

Signal and noise in correlation matrix

Burda, Z.; Görlich, A.; Jarosz, A.; Jurkiewicz, J. - In: Physica A: Statistical Mechanics and its Applications 343 (2004) C, pp. 295-310

Using random matrix technique we determine an exact relation between the eigenvalue spectrum of the covariance matrix …

Persistent link: https://www.econbiz.de/10011060423

Probability distributions of transport observables in quantum dots: crossover between universal ensembles

Souza, A.M.C.; Macêdo, A.M.S. - In: Physica A: Statistical Mechanics and its Applications 344 (2004) 3, pp. 677-684

by employing the Landauer–Büttiker scattering approach and random-matrix theory and are presented as a function of the …

Persistent link: https://www.econbiz.de/10011060738

Free Lévy matrices and financial correlations

Burda, Zdzisław; Jurkiewicz, Jerzy; Nowak, Maciej A.; … - In: Physica A: Statistical Mechanics and its Applications 343 (2004) C, pp. 694-700

We consider a covariance matrix composed of asymmetric and free random Lévy 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 appropriate choice of asymmetry and Lévy index α/2=34 the...

Persistent link: https://www.econbiz.de/10011062560