  Random matrix theory is used to assess the significance of weak correlations
and is well established for Gaussian statistics. However, many complex systems,
with stock markets as a prominent example, exhibit statistics with power-law
tails, that can be modelled with Levy stable distributions. We review
comprehensively the derivation of an analytical expression for the spectra of
covariance matrices approximated by free Levy stable random variables and
validate it by Monte Carlo simulation.

Statistical Mechanics;Computational Finance