Sökning: "random matrix theory"

Visar resultat 1 - 5 av 60 avhandlingar innehållade orden random matrix theory.

  1. 1. Modeling the covariance matrix of financial asset returns

    Författare :Gustav Alfelt; Joanna Tyrcha; Taras Bodnar; Vasyl Golosnoy; Stockholms universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Realized covariance; Autoregressive time-series; Goodness-of-fit test; Matrix singularity; Portfolio theory; Wishart distribution; Matrix-variate gamma distribution; Parameter estimation; High-dimensional data; Moore-Penrose inverse; matematisk statistik; Mathematical Statistics;

    Sammanfattning : The covariance matrix of asset returns, which describes the fluctuation of asset prices, plays a crucial role in understanding and predicting financial markets and economic systems. In recent years, the concept of realized covariance measures has become a popular way to accurately estimate return covariance matrices using high-frequency data. LÄS MER

  3. 2. Topics on Game Theory

    Författare :Emilio Bergroth; Göteborgs universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; zero-sum game; optimal strategy; random matrix; iterated prisoner s dilemma; spatial game; cooperation; deterministic graph; binomial random graph; optimal strategy;

    Sammanfattning : .... LÄS MER

  4. 3. Roughening in dimer models : Random matrix statistics and surface fluctuations

    Författare :Scott Mason; Kurt Johansson; Alexey Bufetov; KTH; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Matematik; Mathematics;

    Sammanfattning : The field of mathematical statistical mechanics sits at the intersection of probability theory and mathematical physics. It consists of the rigorous analysis of models in statistical mechanics, such as dimer and lattice models - of which the Ising model is a classical example. LÄS MER

  5. 4. Free convolutions and the Pearcey process in random matrix theory

    Författare :Philippe Moreillon; Kevin Schnelli; Benoit Collins; KTH; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Matematik; Mathematics;

    Sammanfattning : The dissertation is in Random Matrix Theory, a field at the interface of probability theory, mathematical physics and operator algebras. First, we examine elementary questions that arise in Voiculescu’s Free Probability Theory of non-commutative random variables. LÄS MER

  7. 5. Optimal portfolios in the high-dimensional setting : Estimation and assessment of uncertainty

    Författare :Erik Thorsén; Taras Bodnar; Joanna Tyrcha; Mark Podolski; Stockholms universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Shrinkage estimator; high-dimensional covariance matrix; random matrix theory; optimal portfolios; parameter uncertainty; ridge regularization; dynamic decision making; matematisk statistik; Mathematical Statistics;

    Sammanfattning : Financial portfolios and diversification go hand in hand. Diversification is one of, if not, the best risk mitigation strategy there is. If an investment performs poorly, then it will not impact the performance of the portfolio much due to diversification. Modern Portfolio Theory (MPT) is a framework for constructing diversified portfolios. LÄS MER