| | |
| | |
Stat |
Members: 3645 Articles: 2'500'096 Articles rated: 2609
18 April 2024 |
|
| | | |
|
Article overview
| |
|
Free Random Levy Variables and Financial Probabilities | Z. Burda
; J. Jurkiewicz
; M.A. Nowak
; G. Papp
; I. Zahed
; | Date: |
6 Mar 2001 | Subject: | cond-mat | Abstract: | We suggest that Free Random Variables, represented here by large random matrices with spectral Levy disorder, may be relevant for several problems related to the modeling of financial systems. In particular, we consider a financial covariance matrix composed of asymmetric and free random Levy matrices. We derive an algebraic equation for the resolvent and solve it to extract the spectral density. The free eigenvalue spectrum is in remarkable agreement with the one obtained from the covariance matrix of the SP500 financial market. | Source: | arXiv, cond-mat/0103140 | Services: | Forum | Review | PDF | Favorites |
|
|
No review found.
Did you like this article?
Note: answers to reviews or questions about the article must be posted in the forum section.
Authors are not allowed to review their own article. They can use the forum section.
browser claudebot
|
| |
|
|
|
| News, job offers and information for researchers and scientists:
| |