Financial Applications of Random Matrix Theory: a short review

J. P. Bouchaud and Marc Potters ()

Papers from arXiv.org

Abstract: 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.) as well as some concrete applications to portfolio optimisation and out-of-sample risk estimation.

Date: 2009-10
New Economics Papers: this item is included in nep-ecm
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