ROM Simulation with Random Rotation Matrices
ICMA Centre Discussion Papers in Finance No. DP2011-06
21 Pages Posted: 12 Apr 2011 Last revised: 30 Apr 2011
Date Written: April 8, 2011
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.
Keywords: Computational efficiency, L matrices, Ledermann matrix, Random Orthogonal Matrix (ROM), Rotation matrix, Simulation
JEL Classification: C14, C15, C63
Suggested Citation: Suggested Citation