A new method to estimate the noise in financial correlation matrices
نویسندگان
چکیده
منابع مشابه
Noise Dressing of Financial Correlation Matrices
We show that results from the theory of random matrices are potentially of great interest to understand the statistical structure of the empirical correlation matrices appearing in the study of multivariate time series. The central result of the present study, which focuses on the case of financial price fluctuations, is the remarkable agreement between the theoretical prediction (based on the ...
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15 صفحه اولec 2 00 3 Signal and Noise in Financial Correlation Matrices
Using Random Matrix Theory one can derive exact relations between the eigenvalue spectrum of the covariance matrix and the eigenvalue spectrum of it’s estimator (experimentally measured correlation matrix). These relations will be used to analyze a particular case of the correlations in financial series and to show that contrary to earlier claims, correlations can be measured also in the “rando...
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ژورنال
عنوان ژورنال: Journal of Physics A: Mathematical and General
سال: 2003
ISSN: 0305-4470
DOI: 10.1088/0305-4470/36/12/310