Random matrix theory in financial physics

Statistical Physics and Complexity Group meeting

Random matrix theory in financial physics

Event details

Random matrix theory (RMT), first used by Wigner in 1955 to deal with statistical properties of energy levels in atomic nuclei, has been developed in recent years into a powerful tool and applied to variety of problems, incuding many-body systems, localization in presence of disorder, QCD, and quantum gravity. In my talk, I would like to discuss its relevance to financial physics, where RMT is applied to study statistical properties of experimental covariance matrix, describing how prices of various stocks are correlated. This is crucial for the problem of optimal portfolio selection in order to minimize the risk while investing on a stock market