Economy – Quantitative Finance – Statistical Finance
Scientific paper
2010-10-14
Economy
Quantitative Finance
Statistical Finance
45 pages, 71 figures, 288 equations
Scientific paper
I apply the method of planar diagrammatic expansion - introduced in a self-consistent way - to solve the problem of finding the mean spectral density of the Hermitian equal-time and non-Hermitian time-lagged cross-covariance estimators, for systems of Gaussian random variables with various underlying covariance functions, both writing the general equations and applying them to several toy models. The models aim at a more and more accurate description of complex financial systems - to which a lengthy introduction is given - albeit only within the Gaussian approximation.
Jarosz Andrzej
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