APPLICATION OF STATISTICAL PHYSICS TO OPTIMISE LQ45 PORTFOLIO IN INDONESIA STOCK MARKET USING RANDOM MATRIX THEORY METHOD
Random Matrix Theory (RMT), introduced by Dyson and Mehta, is a method that can explain the energy levels of complex nuclei. It It has recently been applied to the noise filtering in financial time series, especially on systems with a large dimension, such as the stock market, by several authors inc...
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| Format: | Final Project |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/20950 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |