10 июл. 2021 г. · A demonstration of how filtering out randomness from financial correlation matrices can lead to greater portfolio returns.

15 февр. 2011 г. · RMT in itself is a fascinating area of study concerning the eigenvalues of random matrices and finding laws that govern their distribution (a ...

7 окт. 2009 г. · We discuss the applications of Random Matrix Theory in the context of financial markets and econometric models.

This paper explores the application of Random Matrix Theory (RMT) as a methodological enhancement for portfolio selection within financial markets.

This article reviews some applications of random matrix theory (RMT) in the context of financial markets and econometric models.

We show that results from the theory of random matrices are potentially of great interest to understand the statistical structure of the empirical ...

In this paper, we present a new approach from the Random Matrix Theory to determine if the Arbitrage Pricing Theory models are better than the Sharpe Model.

We show that results from the theory of random matrices are potentially of great interest when trying to understand the statistical structure of the ...

9 сент. 2024 г. · Random Matrix Theory (RMT) is a mathematical approach introduced in [16] which is used to analyze correlations in the finance area and ...

30 мар. 2016 г. · In this post, we're going to introduce random matrix theory and some of its most important applications to finance.