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Random matrix theory and financial correlations


  • 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)


No abstract is available for this item.

Suggested Citation

  • Laurent Laloux & Pierre Cizeau & Jean-Philippe Bouchaud & Marc Potters, 1999. "Random matrix theory and financial correlations," Science & Finance (CFM) working paper archive 500053, Science & Finance, Capital Fund Management.
  • Handle: RePEc:sfi:sfiwpa:500053

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    References listed on IDEAS

    1. J. Doyne Farmer, 2002. "Market force, ecology and evolution," Industrial and Corporate Change, Oxford University Press, vol. 11(5), pages 895-953, November.
    2. J. Doyne Farmer, 1999. "Physicists Attempt to Scale the Ivory Towers of Finance," Working Papers 99-10-073, Santa Fe Institute.
    3. Iori, Giulia, 2002. "A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions," Journal of Economic Behavior & Organization, Elsevier, vol. 49(2), pages 269-285, October.
    4. Hideaki Aoyama & Yuichi Nagahara & Mitsuhiro P. Okazaki & Wataru Souma & Hideki Takayasu & Misako Takayasu, 2000. "Pareto's Law for Income of Individuals and Debt of Bankrupt Companies," Papers cond-mat/0006038,
    5. Rama Cont & Marc Potters & Jean-Philippe Bouchaud, 1997. "Scaling in stock market data: stable laws and beyond," Science & Finance (CFM) working paper archive 9705087, Science & Finance, Capital Fund Management.
    6. Irene Giardina & Jean-Philippe Bouchaud & Marc Mezard, 2000. "Population dynamics in a random environment," Science & Finance (CFM) working paper archive 500025, Science & Finance, Capital Fund Management.
    Full references (including those not matched with items on IDEAS)


    Blog mentions

    As found by, the blog aggregator for Economics research:
    1. Covariance, Correlation, and RMT
      by quantivity in Quantivity on 2011-06-05 12:04:26


    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

    Cited by:

    1. Joongyeub Yeo & George Papanicolaou, 2016. "Random matrix approach to estimation of high-dimensional factor models," Papers 1611.05571,, revised Nov 2017.
    2. Galazka, Marek, 2011. "Characteristics of the Polish Stock Market correlations," International Review of Financial Analysis, Elsevier, vol. 20(1), pages 1-5, January.
    3. Conlon, T. & Ruskin, H.J. & Crane, M., 2007. "Random matrix theory and fund of funds portfolio optimisation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(2), pages 565-576.
    4. Rosenow, Bernd, 2008. "Determining the optimal dimensionality of multivariate volatility models with tools from random matrix theory," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 279-302, January.
    5. Kondor, Imre & Pafka, Szilard & Nagy, Gabor, 2007. "Noise sensitivity of portfolio selection under various risk measures," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1545-1573, May.
    6. Leonidas Sandoval Junior & Italo De Paula Franca, 2011. "Correlation of financial markets in times of crisis," Papers 1102.1339,, revised Mar 2011.
    7. Thomas Conlon & Heather J. Ruskin & Martin Crane, 2010. "Cross-Correlation Dynamics in Financial Time Series," Papers 1002.0321,
    8. Lan Liu & Hao Lin, 2010. "Covariance estimation: do new methods outperform old ones?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 34(2), pages 187-195, April.
    9. 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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