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Random matrix theory

Author

Listed:
  • 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)

Abstract

No abstract is available for this item.

Suggested Citation

  • Laurent Laloux & Pierre Cizeau & Jean-Philippe Bouchaud & Marc Potters, 1999. "Random matrix theory," Science & Finance (CFM) working paper archive 500052, Science & Finance, Capital Fund Management.
  • Handle: RePEc:sfi:sfiwpa:500052
    as

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    Citations

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    Cited by:

    1. Pierre-Alain Reigneron & Romain Allez & Jean-Philippe Bouchaud, 2010. "Principal Regression Analysis and the index leverage effect," Papers 1011.5810, arXiv.org, revised Feb 2011.
    2. Francisco Rubio & Xavier Mestre & Daniel P. Palomar, 2011. "Performance analysis and optimal selection of large mean-variance portfolios under estimation risk," Papers 1110.3460, arXiv.org.
    3. Jushan Bai & Shuzhong Shi, 2011. "Estimating High Dimensional Covariance Matrices and its Applications," Annals of Economics and Finance, Society for AEF, vol. 12(2), pages 199-215, November.
    4. Plötz, Patrick, 2011. "Uncertainty in diffusion of competing technologies and application to electric vehicles," Working Papers "Sustainability and Innovation" S12/2011, Fraunhofer Institute for Systems and Innovation Research (ISI).
    5. Jochen Papenbrock & Peter Schwendner, 2015. "Handling risk-on/risk-off dynamics with correlation regimes and correlation networks," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 29(2), pages 125-147, May.

    More about this item

    JEL classification:

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

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