Financial Applications of Random Matrix Theory: a short review

7 Oct 2009 J. P. Bouchaud M. Potters

We discuss the applications of Random Matrix Theory in the context of financial markets and econometric models, a topic about which a considerable number of papers have been devoted to in the last decade. This mini-review is intended to guide the reader through various theoretical results (the Marcenko-Pastur spectrum and its various generalisations, random SVD, free matrices, largest eigenvalue statistics, etc.).. (read more)

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