We show that results from the theory of random matrices are potentially of great interest to
understand the statistical structure of the empirical correlation matrices appearing in the study …

We investigate several statistical properties of the order book of three liquid stocks of the
Paris Bourse. The results are to a large degree independent of the stock studied. The most …

Using trades and quotes data from the Paris stock market, we show that the random walk
nature of traded prices results from a very delicate interplay between two opposite tendencies: …

We investigate quantitatively the so-called “leverage effect,” which corresponds to a negative
correlation between past returns and future volatility. For individual stocks this correlation is …

This review covers recent results concerning the estimation of large covariance matrices
using tools from Random Matrix Theory (RMT). We introduce several RMT methods and …

It is commonly believed that the correlations between stock returns increase in high volatility
periods. We investigate how much of these correlations can be explained within a simple …

We discuss the applications of Random Matrix Theory in the context of financial markets
and econometric models, a topic about which a considerable number of papers have been …

… Jean-Philippe Bouchaud and Marc Potters have been … As most economists, Bouchaud
and Potters believe that models in … However, in Chapter 20, Bouchaud and Potters study how …

Finance is a rapidly expanding field of science, with a rather unique link to applications.
Correspondingly, recent years have witnessed the growing role of financial engineering in …

This article reviews some applications of random matrix theory (RMT) in the context of
financial markets and econometric models, with emphasis on various theoretical results (for …