Burda, Zdzisław; Jurkiewicz, Jerzy; Nowak, Maciej A.; … - In: Physica A: Statistical Mechanics and its Applications 299 (2001) 1, pp. 181-187
We suggest that Free Random Variables, represented here by large random matrices with spectral Lévy 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 Lévy...