We study the volume of the intersection of two unit balls from one of the classical matrix ensembles GOE, GUE and GSE, as the dimension tends to infinity. This can be regarded as a matrix analogue of a result of Schechtman and Schmuckenschlager for classical $ell_p$-balls [Schechtman and Schmuckenschlager, GAFA Lecture Notes, 1991]. The proof of our result is based on two ingredients, which are of independent interest. The first one is a weak law of large numbers for a point chosen uniformly at random in the unit ball of such a matrix ensemble. The second one is an explicit computation of the asymptotic volume of such matrix unit balls, which in turn is based on the theory of logarithmic potentials with external fields.
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