Financial applications of random matrix theory : a short review
Jean-Philippe Bouchaud
CFM, Paris
Mon, Mar. 12th 2012, 14:30
Salle Claude Itzykson, Bât. 774, Orme des Merisiers
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. We intended to briefly review various theoretical results, old ones (the Marcenko-Pastur spectrum and its various generalizations) and newer ones (random singular value decomposition, eigenvector dynamics) as well as some concrete applications to portfolio optimization and out-of-sample risk estimation.
Contact : lbervas

 

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