Apr

18

the matrixRead this article on Random Matrix Theory: the deep law that shapes our reality.

Bill Rafter comments: 

This is a good intro article. I appreciated this part:

But when Bouchaud's team applied Marcenko's and Pastur's mathematics, they got a surprise. They found that only a few of these apparent correlations can be considered real, in the sense that they really stood out from what would be expected by chance alone. Their results show that inflation is predictable only one month in advance. Look ahead two months and the mathematics shows no predictability at all. "Adding more data just doesn't lead to more predictability as some economists would hope," says Bouchaud. 


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