Dimov, Ivailo I.; Kolm, Petter N.; Maclin, Lee; Shiber, … - In: Quantitative Finance 12 (2012) 4, pp. 567-572
We find a novel correlation structure in the residual noise of stock market returns that is remarkably linked to the composition and stability of the top few significant factors driving the returns, and, moreover, indicates that the noise band is composed of multiple sub-bands that do not fully...