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  • Search: subject:"matrix theory"
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Year of publication
Subject
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Random matrix theory 82 random matrix theory 46 Lineare Algebra 29 Linear algebra 28 Korrelation 27 Theorie 26 Correlation 25 Theory 25 Portfolio selection 24 Portfolio-Management 24 Random Matrix Theory 23 Estimation theory 17 Schätztheorie 17 Large-dimensional asymptotics 16 Correlation matrix 13 rotation equivariance 13 Econophysics 12 Volatility 9 Konjunkturzusammenhang 8 Portfolio optimization 8 Principal component analysis 8 Capital income 7 Forecasting model 7 Kapitaleinkommen 7 Prognoseverfahren 7 factor models 7 nonlinear shrinkage estimation 7 Business cycle synchronization 6 Börsenkurs 6 EU countries 6 EU-Staaten 6 Financial crisis 6 Financial market 6 Finanzkrise 6 Monte-Carlo-Simulation 6 Random-matrix theory 6 Share price 6 Statistical distribution 6 Statistische Verteilung 6 Stock market 6
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Online availability
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Undetermined 107 Free 54 CC license 2
Type of publication
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Article 123 Book / Working Paper 51
Type of publication (narrower categories)
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Working Paper 38 Article in journal 37 Aufsatz in Zeitschrift 37 Graue Literatur 23 Non-commercial literature 23 Arbeitspapier 22 Aufsatz im Buch 5 Book section 5 Article 4 Conference paper 1 Hochschulschrift 1 Konferenzbeitrag 1
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Language
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English 90 Undetermined 83 German 1
Author
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Ledoit, Olivier 17 Wolf, Michael 16 Luu, Duc Thi 9 Guerini, Mattia 8 Napoletano, Mauro 8 Bodnar, Taras 6 Parolya, Nestor 6 Eom, Cheoljun 5 Kim, Soo Yong 5 Moon, Hyungsik Roger 5 Weidner, Martin 5 Barbieri, Claudio 4 Kelly, Bryan T. 4 Kim, Min Jae 4 Lux, Thomas 4 Malamud, Semyon 4 Ormerod, Paul 4 Yanovski, Boyan 4 Burda, Zdzisław 3 Crane, M. 3 Jurkiewicz, Jerzy 3 Kim, Kyungsik 3 Livan, Giacomo 3 Scalas, Enrico 3 Zhou, Kangying 3 Abul-Magd, A.Y. 2 Ahn, Sanghyun 2 Alfarano, Simone 2 Allez, Romain 2 Amaral, L.A.N. 2 Azoury, Nehme 2 Bai, Jushan 2 Bouchaud, Jean-Philippe 2 Bouri, Elie 2 Delannay, R. 2 El Alaoui, Marwane 2 Eterovic, Dalibor S. 2 Eterovic, Nicolas A. 2 Fagiolo, Giorgio 2 Garlaschelli, Diego 2
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Institution
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Institut für Volkswirtschaftslehre, Wirtschaftswissenschaftliche Fakutät 2 Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne) 1 China Economics and Management Academy, Central University of Finance and Economics (CUFE) 1 Departament d'Economia, Universitat Jaume I 1 Department of Economics, Leicester University 1 HAL 1 Institut für Weltwirtschaft (IfW) 1 Université Paris-Dauphine (Paris IX) 1
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Published in...
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Physica A: Statistical Mechanics and its Applications 55 Working Paper 9 Working paper series / University of Zurich, Department of Economics 8 Journal of Multivariate Analysis 7 LEM Working Paper Series 3 LEM working paper series 3 Research paper series / Swiss Finance Institute 3 The European Physical Journal B - Condensed Matter and Complex Systems 3 Advances in Complex Systems (ACS) 2 Applied economics letters 2 CEMMAP working papers / Centre for Microdata Methods and Practice 2 Economic research 2 European journal of operational research : EJOR 2 Evolutionary and institutional economics review 2 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 2 Research in international business and finance 2 Sciences Po OFCE working paper 2 Stochastic Processes and their Applications 2 Swiss Finance Institute Research Paper 2 The journal of operational risk 2 cemmap working paper 2 Annals of Economics and Finance 1 Applied economics 1 CEMA Working Papers 1 Computational Economics 1 Computational economics 1 Digital Designs for Money, Markets, and Social Dilemmas 1 Discussion Papers in Economics 1 Discussion papers / CEPR 1 Documents de travail du Centre d'Economie de la Sorbonne 1 ECON - Working Papers 1 Econometric reviews 1 Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics 1 Economics - The Open-Access, Open-Assessment E-Journal 1 Economics Discussion Papers 1 Economics Discussion Papers / Institut für Weltwirtschaft (IfW) 1 Economics Papers from University Paris Dauphine 1 Economics Working Paper 1 Economics working paper 1 Economics: The Open-Access, Open-Assessment E-Journal 1
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Source
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RePEc 87 ECONIS (ZBW) 65 EconStor 20 USB Cologne (EcoSocSci) 2
Showing 161 - 170 of 174
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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
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
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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
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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 …
Persistent link: https://www.econbiz.de/10011061910
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Stochastic properties of many-body systems
Weidenmüller, H.A. - In: Physica A: Statistical Mechanics and its Applications 302 (2001) 1, pp. 302-309
The k-body embedded ensembles of random matrices originally defined by Mon and French are investigated as paradigmatic models of stochasticity in Fermionic many-body systems. In these ensembles, m Fermions in l degenerate single-particle states, interact via a random k-body interaction which...
Persistent link: https://www.econbiz.de/10011064680
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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 …
Persistent link: https://www.econbiz.de/10011057441
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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
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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 …
Persistent link: https://www.econbiz.de/10011062037
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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
matrix theory (RMT), which originated from the need to understand the interactions between the constituent elements of …
Persistent link: https://www.econbiz.de/10011063288
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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
We study statistical properties of energy spectra of a tight-binding model on the two-dimensional quasiperiodic Ammann–Beenker tiling. Taking into account the symmetries of finite approximants, we find that the underlying universal level-spacing distribution is given by the Gaussian orthogonal...
Persistent link: https://www.econbiz.de/10011060263
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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
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