Search for dissertations about: "random matrix theory"

Showing result 1 - 5 of 60 swedish dissertations containing the words random matrix theory.

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

    Author : Gustav Alfelt; Joanna Tyrcha; Taras Bodnar; Vasyl Golosnoy; Stockholms universitet; []
    Keywords : 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;

    Abstract : 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. READ MORE

  4. 2. Topics on Game Theory

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

    Abstract : .... READ MORE

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

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

    Abstract : 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. READ MORE

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

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

    Abstract : 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. READ MORE

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

    Author : Erik Thorsén; Taras Bodnar; Joanna Tyrcha; Mark Podolski; Stockholms universitet; []
    Keywords : 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;

    Abstract : 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. READ MORE