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Random matrix theory and financial correlations

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Author Info
Laurent Laloux (Science & Finance, Capital Fund Management)
Pierre Cizeau (Science & Finance, Capital Fund Management)
Jean-Philippe Bouchaud (Science & Finance, Capital Fund Management, CEA Saclay;)
Marc Potters (Science & Finance, Capital Fund Management)

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Paper provided by Science & Finance, Capital Fund Management in its series Science & Finance (CFM) working paper archive with number 500053.

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Date of creation: Jan 1999
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Publication status: Forthcoming in the proceedings of the 1999 Dublin conference, published by World Scientific I.J.T.A.F
Handle: RePEc:sfi:sfiwpa:500053

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G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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  1. Mónica Fuentes & Sergio Godoy, 2005. "Sovereign Spread in Emerging Markets: A Principal Component Analysis," Working Papers Central Bank of Chile 333, Central Bank of Chile. [Downloadable!]
  2. Imre Kondor & Szilard Pafka & Gabor Nagy, 2006. "Noise sensitivity of portfolio selection under various risk measures," Quantitative Finance Papers physics/0611027, arXiv.org. [Downloadable!]
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