141 citations · 2k across the 103 of their papers we have counts for
Showing 2001 · cond-matShow all
3 papers · 2 filters
cond-mat2001★ 8 cited
Free Random Levy Variables and Financial Probabilities
Z. Burda, J. Jurkiewicz, M. A. Nowak +2
We suggest that Free Random Variables, represented here by large random matrices with spectral Levy disorder, may be relevant for several problems related to the modeling of financ…
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…