We discuss some methods to quantitatively investigate the properties of correlation matrices. Correlation matrices play an important role in portfolio optimization and in several other quantitative descriptions of asset price dynamics in financial markets. Here, we discuss how to define and...

In this paper, we introduce a model of interbank trading with memory. The memory mechanism is used to introduce a proxy of trust in the model. The key idea is that a lender, having lent many times to a borrower in the past, is more likely to lend to that borrower again in the future than to...

The use of improved covariance matrix estimators as an alternative to the sample estimator is considered an important approach for enhancing portfolio optimization. Here we empirically compare the performance of nine improved covariance estimation procedures using daily returns of 90 highly...

We propose a hypothesis testing procedure to investigate whether the same growth rate distribution is shared by all the firms in a balanced panel or, more generally, whether they share the same functional form for this distribution, without necessarily sharing the same parameters. We apply the...

We study the price dynamics of stocks traded in the NASDAQ market by considering the statistical properties of an ensemble of stocks traded simultaneously. For each trading day of our database, we study the ensemble return distribution by extracting its first two central moments. According to...

We study empirically the trading activity in the electronic on-book segment and in the dealership off-book segment of the London Stock Exchange, investigating separately the trading of active market members and of other market participants who are non-members. We find that (i) the volume...