Mathematics Graduate Student Colloquium

Random matrix models for datasets with fixed time horizons

Greg Zitelli
Monday, April 30, 2018
10:00 am - 10:30 am
RH 440R

Talk Abstract:

Students in Math 133B learn about building stock portfolios using Markowitz mean-variance portfolio theory, which relies on knowledge about the covariance of stock price fluctuations. In reality, this information (if it exists) is unknown, so it must be estimated by repeatedly observing stock prices. When the number of stocks and number of observations are both large, results in random matrix theory have been used to give an idea of the bias of some of these estimators. Although these results are universal (i.e. they do not depend on the distributions of the stock returns), they may not be accurate for highly non-Gaussian returns over modest time periods. I will introduce new types of random matrix models designed with these issues in mind, and talk about their eigenvalues.

No background in advanced probability or finance is required.

About the Speaker:

Greg is a 4th year graduate student specializing in probability. His work is focused on applications of random matrix theory to finance and wireless applications.

Advisor and Collaborators

Greg's advisors are Patrick Guidotti and Knut Solna.

Supplementary Materials:

none

Refreshments:

Pizza will be served after the talk.

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