Search Results - subject:"Random matrix"

Estimated correlation matrices and portfolio optimization

Pafka, Szilárd; Kondor, Imre - In: Physica A: Statistical Mechanics and its Applications 343 (2004) C, pp. 623-634

observations is that the recently introduced filtering technique based on random matrix theory performs consistently well in all …

Persistent link: https://www.econbiz.de/10011064343

Random matrix theory for portfolio optimization: a stability approach

Sharifi, S.; Crane, M.; Shamaie, A.; Ruskin, H. - In: Physica A: Statistical Mechanics and its Applications 335 (2004) 3, pp. 629-643

We apply random matrix theory (RMT) to an empirically measured financial correlation matrix, C, and show that this … matrix contains a large amount of noise. In order to determine the sensitivity of the spectral properties of a random matrix …

Persistent link: https://www.econbiz.de/10010591804

Noisy covariance matrices and portfolio optimization II

Pafka, Szilárd; Kondor, Imre - In: Physica A: Statistical Mechanics and its Applications 319 (2003) C, pp. 487-494

Recent studies inspired by results from random matrix theory (Galluccio et al.: Physica A 259 (1998) 449; Laloux et al …

Persistent link: https://www.econbiz.de/10011060009

Free random variables and molecular spectra

Gudowska-Nowak, Ewa; Kamińska, Agnieszka; Papp, Gábor; … - In: Physica A: Statistical Mechanics and its Applications 325 (2003) 1, pp. 48-54

We briefly review the method of free random variables and its relation to random matrices. To demonstrate use of the approach, we apply the formalism to study the effect of static disorder on the density of states in a model Hamiltonian system.

Persistent link: https://www.econbiz.de/10011064531

Problem--Solving Oscillations in Complex Engineering Projects

Mihm, Jürgen; Loch, Christoph; Huchzermeier, Arnd - In: Management Science 49 (2003) 6, pp. 733-750

Coordination among many interdependent actors in complex product development projects is recognized as a key activity in organizational theory. It is well known that this coordination becomes progressively more difficult with project size, but we do not yet sufficiently understand whether this...

Persistent link: https://www.econbiz.de/10009191715

Identifying complexity by means of matrices

Drożdż, S; Kwapień, J; Speth, J; Wójcik, M - In: Physica A: Statistical Mechanics and its Applications 314 (2002) 1, pp. 355-361

human brain and the financial markets, by relating empirical observations to the random matrix theory and quantifying …

Persistent link: https://www.econbiz.de/10011062211

Collective behavior of stock price movements—a random matrix theory approach

Plerou, V.; Gopikrishnan, P.; Rosenow, B.; Amaral, L.A.N.; … - In: Physica A: Statistical Mechanics and its Applications 299 (2001) 1, pp. 175-180

Cij are the correlation coefficients of price fluctuations of stock i and j—against a random matrix having the same …We review recent work on quantifying collective behavior among stocks by applying the conceptual framework of random … matrix theory (RMT), developed in physics to describe the energy levels of complex systems. RMT makes predictions for …

Persistent link: https://www.econbiz.de/10011057033

Nature of order from random two-body interactions

Drożdż, S.; Wójcik, M. - In: Physica A: Statistical Mechanics and its Applications 301 (2001) 1, pp. 291-300

We investigate the origin of order in the low-lying spectra of many-body systems with random two-body interactions. Our study based both on analytical as well as on numerical arguments shows that except for the most J-stretched states, the ground states in the higher J-sectors are more orderly...

Persistent link: https://www.econbiz.de/10011058528

Quantifying economic fluctuations

Stanley, H. Eugene; Nunes Amaral, Luis A.; Gabaix, Xavier; … - In: Physica A: Statistical Mechanics and its Applications 302 (2001) 1, pp. 126-137

collective behavior among stocks by applying the conceptual framework of random matrix theory (RMT). RMT makes predictions for … Cij are the correlation coefficients of price fluctuations of stock i and j—against a random matrix having the same …

Persistent link: https://www.econbiz.de/10011061910

Free random Lévy variables and financial probabilities

Burda, Zdzisław; Jurkiewicz, Jerzy; Nowak, Maciej A.; … - In: Physica A: Statistical Mechanics and its Applications 299 (2001) 1, pp. 181-187

We suggest that Free Random Variables, represented here by large random matrices with spectral Lévy disorder, may be relevant for several problems related to the modeling of financial systems. In particular, we consider a financial covariance matrix composed of asymmetric and free random Lévy...

Persistent link: https://www.econbiz.de/10011062162