2 citations · 2 across the 2 of their papers we have counts for
2 papers
q-fin.RM2009★ 2 cited
Hidden Noise Structure and Random Matrix Models of Stock Correlations
Ivailo I. Dimov, Petter N. Kolm, Lee Maclin +1
We find a novel correlation structure in the residual noise of stock market returns that is remarkably linked to the composition and stability of the top few significant factors dr…
math.OA2006
Information Geometry of Random Matrix Models
Dan Shiber
In this paper we develop the theory of information geometry for single random matrix models, with two goals: proving a Cramer-Rao theorem for estimators on random matrices, and cal…