Financial Applications of Random Matrix Theory: a short review - Quantitative Finance > Statistical FinanceReport as inadecuate




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Abstract: We discuss the applications of Random Matrix Theory in the context offinancial markets and econometric models, a topic about which a considerablenumber of papers have been devoted to in the last decade. This mini-review isintended to guide the reader through various theoretical results theMarcenko-Pastur spectrum and its various generalisations, random SVD, freematrices, largest eigenvalue statistics, etc. as well as some concreteapplications to portfolio optimisation and out-of-sample risk estimation.



Author: J.P. Bouchaud, M. Potters

Source: https://arxiv.org/







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