Search Results - subject:"Random matrix theory"

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

The asymptotic spectrum of the EWMA covariance estimator

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

The exponentially weighted moving average (EWMA) covariance estimator is a standard estimator for financial time series, and its spectrum can be used for so-called random matrix filtering. Random matrix filtering using the spectrum of the sample covariance matrix is an established tool in...

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

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 … theory (RMT) is applied to a cross-correlation matrix C, constructed using hedge fund returns data. The analysis reveals a …

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