arXiv subjects

A. Jarosz

Publications and source records attributed to A. Jarosz.

5 recordsLinked to original sources

arXiv2011

Eigenvalues and Singular Values of Products of Rectangular Gaussian Random Matrices (The Extended Version)

We consider a product of an arbitrary number of independent rectangular Gaussian random matrices. We derive the mean densities of its eigenvalues and singular values in the thermodynamic limit, eventually verified numerically. These densities are encoded in the form of the so called M-transforms, for which polynomial equations are found. We exploit the methods of planar diagrammatics, enhanced to the non-Hermitian case, and free random variables, respectively; both are described in the appendices. As particular results of these two main equations, we find the singular behavior of the spectral densities near zero. Moreover, we propose a finite-size form of the spectral density of the product close to the border of its eigenvalues' domain. Also, led by the striking similarity between the two main equations, we put forward a conjecture about a simple relationship between the eigenvalues and singular values of any non-Hermitian random matrix whose spectrum exhibits rotational symmetry around zero.

cond-mat.stat-mech↗

arXiv2010

Eigenvalues and Singular Values of Products of Rectangular Gaussian Random Matrices

We derive exact analytic expressions for the distributions of eigenvalues and singular values for the product of an arbitrary number of independent rectangular Gaussian random matrices in the limit of large matrix dimensions. We show that they both have power-law behavior at zero and determine the corresponding powers. We also propose a heuristic form of finite size corrections to these expressions which very well approximates the distributions for matrices of finite dimensions.

cond-mat.stat-mech↗

arXiv2010

Applying Free Random Variables to Random Matrix Analysis of Financial Data. Part I: A Gaussian Case

We apply the concept of free random variables to doubly correlated (Gaussian) Wishart random matrix models, appearing for example in a multivariate analysis of financial time series, and displaying both inter-asset cross-covariances and temporal auto-covariances. We give a comprehensive introduction to the rich financial reality behind such models. We explain in an elementary way the main techniques of the free random variables calculus, with a view to promote them in the quantitative finance community. We apply our findings to tackle several financially relevant problems, such as of an universe of assets displaying exponentially decaying temporal covariances, or the exponentially weighted moving average, both with an arbitrary structure of cross-covariances.

physics.soc-ph↗

arXiv2007

Quasilocality of joining/splitting strings from coherent states

Using the coherent state formalism we calculate matrix elements of the one-loop non-planar dilatation operator of ${\cal N}=4$ SYM between operators dual to folded Frolov-Tseytlin strings and observe a curious scaling behavior. We comment on the {\it qualitative} similarity of our matrix elements to the interaction vertex of a string field theory. In addition, we present a solvable toy model for string splitting and joining. The scaling behaviour of the matrix elements suggests that the contribution to the genus one energy shift coming from semi-classical string splitting and joining is small.

hep-th↗

arXiv2004

Signal and Noise in Correlation Matrix

Using random matrix technique we determine an exact relation between the eigenvalue spectrum of the covariance matrix and of its estimator. This relation can be used in practice to compute eigenvalue invariants of the covariance (correlation) matrix. Results can be applied in various problems where one experimentally estimates correlations in a system with many degrees of freedom, like in statistical physics, lattice measurements of field theory, genetics, quantitative finance and other applications of multivariate statistics.

cond-mat.stat-mech↗