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We are delighted to organize and host the second edition of the biennial Summer School on Random Matrices at the University of Michigan during June 18--29, 2018.We thank the Michigan Center for Applie...
Building portfolios of stocks in the Sao Paulo Stock Exchange using Random Matrix Theory
Building portfolios stocks the Sao Paulo Stock Exchange Random Matrix Theory
2012/3/2
Using Random Matrix Theory, we build a covariance matrix between stocks of the BM&F-Bovespa (Bolsa de Valores, Mercadorias e Futuros de S\~ao Paulo) which is cleaned of some of the noise due to the co...
Fuzzy Geometry via the Spinor Bundle, with Applications to Holographic Space-time and Matrix Theory
Fuzzy Geometry the Spinor Bundle Holographic Space-time Matrix Theory
2011/7/27
Abstract: We present a new framework for defining fuzzy approximations to geometry in terms of a cutoff on the spectrum of the Dirac operator, and a generalization of it that we call the Dirac-Flux op...
Cross Correlation of Intra-day Stock Prices in Comparison to Random Matrix Theory
Principal Component Random Matrix Theory Cross Correlation Eigenvalues Stock Market
2013/1/28
We propose and apply a new algorithm of principal component analysis which is suitable for a large sized, highly random time series data, such as a set of stock prices in a stock market. This algorith...
Random matrix theory of unquenched two-colour QCD with nonzero chemical potential
Spontaneous symmetry breaking matrix models chiral Lagrangians
2011/3/3
We solve a random two-matrix model with two real asymmetric matrices whose primary purpose is to describe certain aspects of quantum chromodynamics with two colours and dynamical fermions at nonzero q...
Constraint on periodic orbits of chaotic systems given by Random Matrix Theory
Constraint periodic orbits chaotic systems Random Matrix Theory
2011/3/4
Considering the fluctuations of spectral functions, we prove that if chaotic systems fulfill the Bohigas-Gianonni-Schmit (BGS) conjecture, which relates their spectral statistics to that of random mat...
Wilson Fermions, Random Matrix Theory and the Aoki Phase
Wilson Fermions Random Matrix Theory the Aoki Phase
2011/1/7
The QCD partition function for the Wilson Dirac operator, $D_W$, at nonzero lattice spacing $a$ can be expressed in terms of a chiral Lagrangian as a systematic expansion in the quark mass, the moment...
Development in the Scattering Matrix Theory: From Spin-Orbit-Coupling Affected Shot Noise to Quantum Pumping
Scattering Matrix Theory Spin-Orbit-Coupling Affected Shot Noise Quantum Pumping
2010/11/23
The review chapter starts by a pedagogical introduction to the general concept of the scattering theory: from the fundamental wave-function picture to the second-quantization language, with the aim to...
Counting SO(9)xSU(2) representations in coordinate independent state space of SU(2) Matrix Theory
Counting SO(9)xSU(2) representations SU(2) Matrix Theory
2010/12/8
We consider decomposition of coordinate independent states into SO(9)×SU(2)representations in SU(2) Matrix theory. To see what and how many representations appear in the decomposition, we compute the ...
Random Matrix Theory and Fund of Funds Portfolio Optimisation
Random Matrix Theory Hedge Funds Fund of Funds Correlation
2010/10/20
The proprietary nature of Hedge Fund investing means that it is common practise for managers to release minimal information about their returns. The construction of a Fund of Hedge Funds portfolio re...
Financial Applications of Random Matrix Theory: a short review
Financial Applications Random Matrix Theory short review
2010/11/2
The Marˇcenko-Pastur 1967 paper [1] on the spectrum of empirical correlation matrices is both remarkable and precocious. It turned out to be useful in many, very different contexts (neural networks, i...