P. Bouchaud, "Random matrix theory and financial correlations," International Journal of Theoretical and Applied Finance, vol. 3, no. 3, pp. 391-397, 2000.LAURENT LALOUX, PIERRE CIZEAU, MARC POTTERS, and JEAN-PHILIPPE BOUCHAUD. Random matrix theory and financial correlations. International ...
In this talk, we first give a brief introduction about random matrix theory.Then wemainlyfocus onits applications in other fields such as economics, finance, wireless communications and machine learning,etc. 报 告 人 简 介 潘光明,新加...
不太了解 Random Matrix 这个方向。不过近期了解了一下Random Graph（随机图）这个领域，也算是某种随机...
Marc Potters, Jean-Philippe Bouchaud等（finance），Robert Qiu（邱才明，上交大，千人）（smart grid）...
Quantitative Finance 2010 Random Matrix Theory and Fund of Funds Portfolio Optimisation DOI: 10.1016/j.physa.2007.04.039 Thomas Conlon,Heather J. Ruskin,Martin Crane Full-Text Cite this paper Add to My Lib Abstract: The proprietary nature of Hedge Fund investing means that it is common pract...
Theory of Financial Risks: from Statistical Physics to Risk Management (2000) View more references Cited by (13) Multilayer network analysis of investor sentiment and stock returns 2022, Research in International Business and Finance Citation Excerpt : ...
Raj RaoDepartment of Electrical Engineering and Computer Science,Massachusetts Institute of Technology,Cambridge, MA 02139, USAE-mail: raj@mit.eduRandom matrix theory is now a big subject with applications in many discip-lines of science, engineering and finance. This article is a survey ...
Can random matrix theory resolve Markowitz optimization enigma?: the impact of "noise" filtered covariance matrix on portfolio selection 来自 rucore.libraries.rutgers.edu 喜欢 0 阅读量: 29 作者:Ng,K Wah 摘要: Modern finance theory is based on the simple concept of risk and return trade-off. ...
S Pafka,M Potters,I Kondor - 《Quantitative Finance》 被引量: 85发表: 2004年 Accuracy of Pseudo-Inverse Covariance Learning—A Random Matrix Theory Analysis For many learning problems, estimates of the inverse population covariance are required and often obtained by inverting the sample covariance ...
Noureddine El Karoui, Random Matrix Theory, in Encyclopedia of Quantitative Finance, ed. Rama Cont, 2010 Romain Couillet and Merouane Debbah, Random Matrix Theory, in Ch. 8 of Mathematical Foundations for Signal Processing, Communications, and Networking, ed. Erchin Serpedin, et al., 2011 Jona...