This note serves as a hands-on supplement to: Viole, F. and Nawrocki, D. (2012), "Deriving Nonlinear Correlation …

matrix theory, a branch of probability theory.Introduction of the Shannon entropy as a measure of noise in correlation …Demonstration of the omnipresence of noise in financial correlation/covariance matrices revealed by means of random … filtering noise from correlation matrices. This noise is the inevitable consequence of the imperfection of traditional modeling …

from correlation matrices developed by the New York based company, Market Memory Trading, L.L.C. (MMT). Correlations are … allocation to LIBOR Surveillance and cyber security.“FILTERING NOISE FROM CORRELATION MATRICES.” White Paper 3, dated January 15 …, 2013 provides a demonstration of the omnipresence of noise in financial correlation/covariance matrices revealed by means …

filtering noise from correlation matrices developed by the New York based company, Market Memory Trading, L.L.C. (MMT …, from asset allocation to LIBOR Surveillance and cyber security.“EXTRAORDINARY STABILITY OF NOISE-FILTERED CORRELATION … noise-filtered correlation matrices measured in terms of simple Euclidean distance. This measure decreases 4-5 times post …

This paper uses a frequency domain approach to gain insight into the correlation between survey indicators and year … of the correlation between survey indicators and year-on-year GDP growth at the different frequencies to explain their … overall correlation. We show that survey indicators, similar to year-on-year GDP growth, do not perfectly reflect business …

This paper uses a frequency domain approach to gain insight into the correlation between survey indicators and year … of the correlation between survey indicators and year-on-year GDP growth at the different frequencies to explain their … overall correlation. We show that survey indicators, similar to year-on-year GDP growth, do not perfectly reflect business …