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Persistent link: https://www.econbiz.de/10011327609
Many complex systems display fluctuations between alternative states in correspondence to tipping points. These critical shifts are usually associated with generic empirical phenomena such as strengthening correlations between entities composing the system. In finance, for instance, market...
Persistent link: https://www.econbiz.de/10011775882
This paper addresses the open debate about the usefulness of high-frequency (HF) data in large-scale portfolio allocation. We consider the problem of constructing global minimum variance portfolios based on the constituents of the S&P 500 over a four-year period covering the 2008 financial...
Persistent link: https://www.econbiz.de/10009714536
Ever since Harry Markowitz published his seminal paper on portfolio selection, investors have incorporated estimates of future volatilities and correlations into their asset allocation process. While portfolio construction methods continue to evolve, many investors continue to forecast...
Persistent link: https://www.econbiz.de/10013086014
This note serves as a hands-on supplement to: Viole, F. and Nawrocki, D. (2012), "Deriving Nonlinear Correlation …
Persistent link: https://www.econbiz.de/10012901465
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 …
Persistent link: https://www.econbiz.de/10013060895
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 …
Persistent link: https://www.econbiz.de/10013062134
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 …
Persistent link: https://www.econbiz.de/10013062136
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 …
Persistent link: https://www.econbiz.de/10011610229
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 …
Persistent link: https://www.econbiz.de/10013137624