Séminaire de la fédération PHYSTAT SUD : Jean-Philippe Bouchaud



IPhT, CEA-Saclay, salle Itzykson
CEA - Saclay, Saclay

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Financial applications of random matrix theory : a short review

Jean-Philippe Bouchaud, CFM, Paris

We discuss the applications of random matrix theory in the context of Financial markets and econometric models, a topic about which a considerable number of papers have been devoted to in the last decade. We intended to briefly review various theoretical results, old ones (the Marcenko-Pastur spectrum and its various generalizations) and newer ones (random singular value decomposition, eigenvector dynamics) as well as some concrete applications to portfolio optimization and out-of-sample risk estimation.

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