eigen-structure of the sample correlation matrix. This paper compares the filtering methods using a theoretical eigen … are identified. The sample correlation matrix suffers from excess dispersion in its eigenvalues and excess dispersion in … the sample covariance matrix, its diagonal elements and the covariance matrix based on the constant correlation model …

noise filtering procedure was applied first to an empirical correlation matrix and, second, to the matrix built from the … same time series deliberately contaminated with noise. The final, noise filtered correlation matrices, were practically the … measures that gave average distance between off-diagonal elements of correlation matrices obtained as a result of noise …

noise filtering procedure was applied first to an empirical correlation matrix and, second, to the same matrix deliberately … contaminated with noise. The final, noise filtered correlation matrices, were practically the same in both cases (by simple visual … between off-diagonal elements of correlation matrices obtained as a result of noise filtering of empirical correlation matrix …

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

the level of dynamic correlation for real estate and stock market indices; a valuable recommendation for risk managers who …

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.“ROBUSTNESS OF A NOISE FILTERING PROCEDURE FOR CORRELATION … MATRICES - Filtering of Deliberately Introduced Noise from True Correlation Matrices.” White Paper 9, dated June 3, 2013 …

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 …

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.“ROBUSTNESS OF A NOISE FILTERING PROCEDURE FOR CORRELATION … MATRICES - Filtering of Deliberately Introduced Noise from Empirical Correlation Matrices." White Paper 8, dated June 3, 2013 …