Mitsui, Ken-ichi; Tabata, Yoshio - Graduate School of Economics, Osaka University - 2006
matrix obtained from market data has the noise. Here we apply the de-noising processing based on the wavelet analysis to the … properties, i.e. symmetry and ones of all diagonal elements, of the correlation matrix preserve via the de-noising processing and … the efficiency of the de-nosing processing by numerical experiments. We propose that the de-noising processing is one of …