arXiv subjects
Publications and source records attributed to Jerzy Jurkiewicz.
We discuss a practical method to determine the eigenvalue spectrum of the empirical correlation matrix. The method is based on the analysis of the behavior of a conformal map at a critical horizon which is defined as a border line of the physical Riemann sheet of this map. The map is a convenient representation of the Marčenko-Pastur equation.
We present an analytic method to determine spectral properties of the covariance matrices constructed of correlated Wishart random matrices. The method gives, in the limit of large matrices, exact analytic relations between the spectral moments and the eigenvalue densities of the covariance matrices and their estimators. The results can be used in practice to extract information about the genuine correlations from the given experimental realization of random matrices.
Using Random Matrix Theory one can derive exact relations between the eigenvalue spectrum of the covariance matrix and the eigenvalue spectrum of its estimator (experimentally measured correlation matrix). These relations will be used to analyze a particular case of the correlations in financial series and to show that contrary to earlier claims, correlations can be measured also in the ``random'' part of the spectrum. Implications for the portfolio optimization are briefly discussed.
We discuss various aspects of the statistical formulation of the theory of random graphs, with emphasis on results obtained in a series of our recent publications.
We use an extension of the diagrammatic rules in random matrix theory to evaluate spectral properties of finite and infinite products of large complex matrices and large hermitian matrices. The infinite product case allows us to define a natural matrix-valued multiplicative diffusion process. In both cases of hermitian and complex matrices, we observe an emergence of "topological phase transition" in the spectrum, after some critical diffusion time $τ_{\rm crit}$ is reached. In the case of the particular product of two hermitian ensembles, we observe also an unusual localization-delocalization phase transition in the spectrum of the considered ensemble. We verify the analytical formulae obtained in this work by numerical simulation.
We use a chiral random matrix model to investigate the effects of massive quarks on the distribution of eigenvalues of QCD inspired Dirac operators. Kalkreuter's lattice analysis of the spectrum of the massive (hermitean) Dirac operator for two colors and Wilson fermions is shown to follow from a cubic equation in the quenched approximation. The quenched spectrum shows a Mott-transition from a (delocalized) Goldstone phase softly broken by the current mass, to a (localized) heavy quark phase, with quarks localized over their Compton wavelength. Both phases are distinguishable by the quark density of states at zero virtuality, with a critical quark mass of the order of 100-200 MeV. At the critical point, the quark density of states is given by $ν_Q (λ) \sim |λ|^{1/3}$. Using Grassmannian techniques, we derive an integral representation for the resolvent of the massive Dirac operator with one-flavor in the unquenched approximation, and show that near zero virtuality, the distribution of eigenvalues is quantitatively changed by a non-zero quark mass. The generalization of our construction to arbitrary flavors is also discussed. Some recommendations for lattice simulations are suggested.
A recently proposed renormalization group technique, based on the hierarchical structures present in theories with fluctuating geometry, is implemented in the model of branched polymers. The renormalization group equations can be solved analytically, and the flow in coupling constant space can be determined.
We discuss scaling relations in four dimensional simplicial quantum gravity. Using numerical results obtained with a new algorithm called ``baby universe surgery'' we study the critical region of the theory. The position of the phase transition is given with high accuracy and some critical exponents are measured. Their values prove that the transition is continuous. We discuss the properties of two distinct phases of the theory. For large values of the bare gravitational coupling constant the internal Hausdorff dimension is {\em two} (the elongated phase), and the continuum theory is that of so called branched polymers. For small values of the bare gravitational coupling constant the internal Hausdorff dimension seems to be {\em infinite} (the crumpled phase). We conjecture that this phase corresponds to a theory of topological gravity. {\em At} the transition point the Hausdorff dimension might be finite and larger than two. This transition point is a potential candidate for a non-perturbative theory of quantum gravity.