Free random Lévy variables and financial probabilities

DOI10.1016/S0378-4371(01)00294-1zbMath0974.91016arXivcond-mat/0103140OpenAlexW3104084739WikidataQ63956721 ScholiaQ63956721MaRDI QIDQ5947878

Ismail Zahed, Maciej A. Nowak, Jerzy Jurkiewicz, Zdzislaw Burda, Gábor Papp

Publication date: 23 October 2001

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/0103140

zbMATH Keywords

large random matricesfinancial covariance matrixspectral Levy disorder

Mathematics Subject Classification ID

Interacting random processes; statistical mechanics type models; percolation theory (60K35) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (5)

The correlated Jacobi and the correlated Cauchy-Lorentz ensembles ⋮ Dynamics of cross-correlations in the stock market ⋮ From Synaptic Interactions to Collective Dynamics in Random Neuronal Networks Models: Critical Role of Eigenvectors and Transient Behavior ⋮ Spectral densities of Wishart-Lévy free stable random matrices ⋮ Applying free random variables to random matrix analysis of financial data. Part I: The Gaussian case

Cites Work

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• Limit laws for random matrices and free products
• Non-hermitian random matrix models
• Non-Gaussian non-Hermitian random matrix theory: phase transition and addition formalism
• Non-hermitian random matrix theory: Method of hermitian reduction
• Law of addition in random matrix theory
• Free Random Variables
• Introduction to Econophysics

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