Free Lévy matrices and financial correlations

Physica A: Statistical Mechanics and its Applications

Volumn 343, Issue 1-4, 2004, Pages 694-700

  Burda, Zdzisław ^a   Jurkiewicz, Jerzy ^a   Nowak, Maciej A ^a   Papp, Gabor ^b   Zahed, Tsmail ^c  

^a JAGIELLONIAN UNIVERSITY   (Poland)

^b EÖTVÖS LORÁND UNIVERSITY   (Hungary)

^c STATE UNIVERSITY OF NEW YORK   (United States)

Author keywords

Correlation matrix; Eigenvalue spectrum; Random matrix theory

Indexed keywords

EIGENVALUES AND EIGENFUNCTIONS; FINANCE; MATHEMATICAL MODELS; PROBLEM SOLVING; STOCHASTIC CONTROL SYSTEMS;

CAUCHY REFLECTION; HERMITEAN MATRICES; SPECTRAL CORRELATIONS; SYMMETRIC DISTRIBUTIONS;

MATRIX ALGEBRA;

EID: 4544318752     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2004.05.049     Document Type: Article

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