Random matrix theory in financial physics
Random matrix theory in financial physics
- Event time: 2:00pm
- Event date: 30th October 2009
- Speaker: Dr Bartlomiej Waclaw (School of Physics & Astronomy, University of Edinburgh)
- Location: Room 2511, James Clerk Maxwell Building (JCMB) James Clerk Maxwell Building Peter Guthrie Tait Road Edinburgh EH9 3FD GB
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
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