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

Dan Ledermann

University of Reading - ICMA Centre

Carol Alexander

University of Sussex - School of Business, Management and Economics

Date Written: April 8, 2011

Abstract

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

Ledermann, Dan and Alexander, Carol, ROM Simulation with Random Rotation Matrices (April 8, 2011). ICMA Centre Discussion Papers in Finance No. DP2011-06. Available at SSRN: https://ssrn.com/abstract=1805662 or http://dx.doi.org/10.2139/ssrn.1805662

Dan Ledermann

University of Reading - ICMA Centre ( email )

Whiteknights Park
P.O. Box 242
Reading RG6 6BA
United Kingdom

Carol Alexander (Contact Author)

University of Sussex - School of Business, Management and Economics ( email )

Falmer, Brighton BN1 9SL
United Kingdom

HOME PAGE: http://www.sussex.ac.uk/bam

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