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Statut |
Confirmé |
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Série |
TRI-SEMINAIRE |
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Domaines |
cond-mat |
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Date |
Lundi 12 Mars 2012 |
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Heure |
14:30 |
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Institut |
IPHT |
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Salle |
Salle Claude Itzykson, Bât. 774, Orme des Merisiers |
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Nom de l'orateur |
Jean-Philippe Bouchaud |
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Prenom de l'orateur |
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Addresse email de l'orateur |
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Institution de l'orateur |
CFM, Paris |
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Titre |
Financial applications of random matrix theory : a short review |
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Résumé |
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. |
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Numéro de preprint arXiv |
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Commentaires |
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Fichiers attachés |
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