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Free Random Levy Variables and Financial Probabilities

Z. Burda·J. Jurkiewicz·M. A. Nowak·G. Papp·I. Zahed
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Abstract

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 financial systems. In particular, we consider a financial covariance matrix composed of asymmetric and free random Levy matrices. We derive an algebraic equation for the resolvent and solve it to extract the spectral density. The free eigenvalue spectrum is in remarkable agreement with the one obtained from the covariance matrix of the SP500 financial market.

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Z. Burda, J. Jurkiewicz, M. A. Nowak, G. Papp, I. Zahed. 2001-03-06. Free Random Levy Variables and Financial Probabilities. https://doi.org/10.1016/s0378-4371(01)00294-1

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