191 citations · 1.9k across the 74 of their papers we have counts for
Showing 2001Show all
2 papers · 1 filter
cond-mat2001
Free Levy Matrices and Financial Correlations
Z. Burda, J. Jurkiewicz, M. A. Nowak +2
We consider a covariance matrix composed of asymmetric and free random Levy matrices. We use the results of free random variables to derive an algebraic equation for the resolvent…
cond-mat2001★ 9 cited
Levy Matrices and Financial Covariances
Z. Burda, J. Jurkiewicz, M. A. Nowak +2
In a given market, financial covariances capture the intra-stock correlations and can be used to address statistically the bulk nature of the market as a complex system. We provide…