Search Results - subject:"Random matrix"

Stochastic properties of many-body systems

Weidenmüller, H.A. - In: Physica A: Statistical Mechanics and its Applications 302 (2001) 1, pp. 302-309

orthogonal ensembles coincide with those of the canonical Gaussian unitary and orthogonal random-matrix ensemble, respectively …

Persistent link: https://www.econbiz.de/10011064680

Quantifying fluctuations in economic systems by adapting methods of statistical physics

Stanley, H.E.; Gopikrishnan, P.; Plerou, V.; Amaral, L.A.N. - In: Physica A: Statistical Mechanics and its Applications 287 (2000) 3, pp. 339-361

, random matrix theory (RMT), first used in physics to interpret statistical properties of nuclear energy spectra. RMT makes … correlation-coefficients between the returns of stock i and j – and that of a random matrix having the same symmetry properties …

Persistent link: https://www.econbiz.de/10011057441

Quantum limit of the laser line width in chaotic cavities and statistics of residues of scattering matrix poles

Schomerus, H.; Frahm, K.M.; Patra, M.; Beenakker, C.W.J. - In: Physica A: Statistical Mechanics and its Applications 278 (2000) 3, pp. 469-496

The quantum-limited line width of a laser cavity is enhanced above the Schawlow–Townes value by the Petermann factor K, due to the non-orthogonality of the cavity modes. We derive the relation between the Petermann factor and the residues of poles of the scattering matrix and investigate the...

Persistent link: https://www.econbiz.de/10011060800

Econophysics: financial time series from a statistical physics point of view

Plerou, Vasiliki; Gopikrishnan, Parameswaran; Rosenow, Bernd - In: Physica A: Statistical Mechanics and its Applications 279 (2000) 1, pp. 443-456

) Correlations among different companies: The third result bears on the application of random matrix theory to understand the … the corresponding eigenvectors show systematic deviations from the predictions for a random matrix, whereas the rest of … the eigenvalues conform to random matrix behavior — suggesting that these 1% of the eigenvalues contain system …

Persistent link: https://www.econbiz.de/10011062037

A random matrix theory approach to financial cross-correlations

Plerou, V; Gopikrishnan, P; Rosenow, B; Amaral, L.A.N; … - In: Physica A: Statistical Mechanics and its Applications 287 (2000) 3, pp. 374-382

? This article reviews recent results regarding cross-correlations between stocks. Specifically, we use methods of random … matrix theory (RMT), which originated from the need to understand the interactions between the constituent elements of …

Persistent link: https://www.econbiz.de/10011063288

Multiple Minimas In Glassy Random Matrix Models

Deo, Nivedita - Santa Fe Institute - 2000

Certain models of structural glasses ref. [1, 2] map onto random matrix models. These random matrix models have gaps in …

Persistent link: https://www.econbiz.de/10005790793

Application of random matrix theory to quasiperiodic systems

Schreiber, Michael; Grimm, Uwe; Römer, Rudolf A; … - In: Physica A: Statistical Mechanics and its Applications 266 (1999) 1, pp. 477-480

-spacing distribution is given by the Gaussian orthogonal random matrix ensemble, and thus differs from the critical level …

Persistent link: https://www.econbiz.de/10011060263

Universality of quantum Brownian motion

Lutz, Eric; Weidenmüller, Hans A. - In: Physica A: Statistical Mechanics and its Applications 267 (1999) 3, pp. 354-374

Are Markovian master equations for quantum Brownian motion independent of model assumptions used in the derivation and, thus, universal? With the aim of answering this question, we use a random band-matrix model for the system-bath interaction to derive Markovian master equations for the time...

Persistent link: https://www.econbiz.de/10011062972

Statistics of radiation propagating in a disordered medium

Kaveh, Moshe; Kogan, Eugene - In: Physica A: Statistical Mechanics and its Applications 266 (1999) 1, pp. 456-460

in the framework of the random matrix theory. Special attention is paid to the influence of absorption on the statistics …

Persistent link: https://www.econbiz.de/10010664904

Random matrix theory by the supersymmetry method beyond the sigma-model

Lučić, Vladan - In: Physica A: Statistical Mechanics and its Applications 242 (1997) 1, pp. 258-280

energy difference, within the context of the Gaussian Random Matrix Theory. In order to achieve this result, the …

Persistent link: https://www.econbiz.de/10011063228