Hermitian and non-Hermitian covariance estimators for multivariate Gaussian assets from random matrix theory

Economy – Quantitative Finance – Statistical Finance

Scientific paper

Rate now

  [ 0.00 ] – not rated yet Voters 0   Comments 0

Details

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.

No associations

LandOfFree

Say what you really think

Search LandOfFree.com for scientists and scientific papers. Rate them and share your experience with other people.

Rating

Hermitian and non-Hermitian covariance estimators for multivariate Gaussian assets from random matrix theory does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Hermitian and non-Hermitian covariance estimators for multivariate Gaussian assets from random matrix theory, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Hermitian and non-Hermitian covariance estimators for multivariate Gaussian assets from random matrix theory will most certainly appreciate the feedback.

Rate now

     

Profile ID: LFWR-SCP-O-286247

  Search
All data on this website is collected from public sources. Our data reflects the most accurate information available at the time of publication.