ROM Simulation with Random Rotation Matrices
University of Reading - ICMA Centre
University of Sussex - School of Business, Management and Economics
April 8, 2011
ICMA Centre Discussion Papers in Finance No. DP2011-06
This paper explores the properties of random orthogonal matrix (ROM) simulation when the random matrix is drawn from the class of rotational matrices. We describe the characteristics of ROM simulated samples that are generated using random Hessenberg, Cayley and exponential matrices and compare the computational efficiency of parametric ROM simulations with standard Monte Carlo techniques.
Number of Pages in PDF File: 21
Keywords: Computational efficiency, L matrices, Ledermann matrix, Random Orthogonal Matrix (ROM), Rotation matrix, Simulation
JEL Classification: C14, C15, C63
Date posted: April 12, 2011 ; Last revised: April 30, 2011
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