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TZID:Europe/Paris
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BEGIN:VEVENT
UID:1-27@lptms.universite-paris-saclay.fr
DTSTART:20120312T143000Z
DTEND:20120312T143000Z
DTSTAMP:20120208T120230Z
URL:http://www.lptms.universite-paris-saclay.fr/seminars/seminaire-de-la-f
 ederation-phystat-sud-jean-philippe-bouchaud/
SUMMARY:Séminaire de la fédération PHYSTAT SUD : Jean-Philippe Bouchaud 
 - IPhT\, CEA-Saclay\, salle Itzykson - 12 Mar 12 14:30
DESCRIPTION:Financial applications of random matrix theory : a short review
 \nJean-Philippe Bouchaud\, CFM\, Paris\nWe discuss the applications of ran
 dom matrix theory in the context of Financial markets and econometric mode
 ls\, 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 generaliz
 ations) and newer ones (random singular value decomposition\, eigenvector 
 dynamics) as well as some concrete applications to portfolio optimization 
 and out-of-sample risk estimation.
CATEGORIES:seminars
LOCATION:IPhT\, CEA-Saclay\, salle Itzykson\, CEA - Saclay\, Saclay\, Franc
 e
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 3668,2.180033999999978
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