Applying free random variables to random matrix analysis of financial data. Part I: The Gaussian case
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Publication:3088327
DOI10.1080/14697688.2010.484025zbMath1219.91150arXivphysics/0603024OpenAlexW2027818905WikidataQ63956652 ScholiaQ63956652MaRDI QIDQ3088327
Maciej A. Nowak, Andrzej Jarosz, Ismail Zahed, Gábor Papp, Zdzislaw Burda, Jerzy Jurkiewicz
Publication date: 19 August 2011
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/physics/0603024
random walksstatistical physicsrandom matrix theoryrisk measurespower lawsportfolio theoryoptions pricing
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70)
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