Economy – Quantitative Finance – Statistical Finance
Scientific paper
2007-10-03
Economy
Quantitative Finance
Statistical Finance
Scientific paper
We study a new ensemble of random correlation matrices related to multivariate Student (or more generally elliptic) random variables. We establish the exact density of states of empirical correlation matrices that generalizes the Marcenko-Pastur result. The comparison between the theoretical density of states in the Student case and empirical financial data is surprisingly good, even if we are still able to detect systematic deviations. Finally, we compute explicitely the Kullback-Leibler entropies of empirical Student matrices, which are found to be independent of the true correlation matrix, as in the Gaussian case. We provide numerically exact values for these Kullback-Leibler entropies.
Biroli Giulio
Bouchaud Jean-Philippe
Potters Marc
No associations
LandOfFree
The Student ensemble of correlation matrices: eigenvalue spectrum and Kullback-Leibler entropy 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 The Student ensemble of correlation matrices: eigenvalue spectrum and Kullback-Leibler entropy, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and The Student ensemble of correlation matrices: eigenvalue spectrum and Kullback-Leibler entropy will most certainly appreciate the feedback.
Profile ID: LFWR-SCP-O-285899