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Applying free random variables to random matrix analysis of financial data. Part I: The Gaussian case
We apply the concept of free random variables to doubly correlated (Gaussian) Wishart random matrix models, appearing, for example, in a multivariate analysis of financial time series, and displaying…
Heavy-ion collisions at the LHC-Last call for predictions
This writeup is a compilation of the predictions for the forthcoming Heavy Ion Program at the Large Hadron Collider, as presented at the CERN Theory Institute 'Heavy Ion Collisions at the LHC - Last…
First Results with HIJING++ in High-Energy Heavy-Ion Collisions
Free random Lévy and Wigner-Lévy matrices.
- Z. Burda, J. Jurkiewicz, M. Nowak, G. Papp, I. Zahed
- MathematicsPhysical review. E, Statistical, nonlinear, and…
- 30 May 2007
It is illustrated the relation between the two types of stability and show that the addition of many randomly rotated Wigner-Lévy matrices leads by a matrix central limit theorem to FRL spectra, providing an explicit realization of the maximal randomness principle.
Free Lévy matrices and financial correlations
Predictions for cold nuclear matter effects in p+Pb collisions at sNN=8.16 TeV
Non-hermitian random matrix models
Correlations of eigenvectors for non-Hermitian random-matrix models.
- R. Janik, W. Nörenberg, M. Nowak, G. Papp, I. Zahed
- MathematicsPhysical review. E, Statistical physics, plasmas…
- 23 February 1999
It is established that the diagonal correlator of eigenvectors and the spectral Green's function for non-Hermitian random-matrix models in the large-N limit is in good agreement with numerical results.
Random matrix filtering in portfolio optimization
This paper investigates a recently introduced filtering procedure, and demonstrates the applicability of this method in a controlled, simulation environment.
Non-Hermitian random matrix models: Free random variable approach
Using the standard concepts of free random variables, we show that for a large class of non-Hermitian random matrix models, the support of the eigenvalue distribution follows from their Hermitian…