This research investigates Banks' profitability in the United Arab Emirates from 2008 to 2012 using Bankscope Data Base, Financial Statement, and quantitative methodology techniques. This study focuses on 4 banks, 2 Islamic banks (Dubai Islamic Bank PJSC, Abu Dhabi Islamic Bank - Public Joint...

• Various statistics of future price level excursions are driving decision making of both sophisticated and amateur traders, although the latter are not necessarily aware of it. Such statistics are of paramount importance in intelligent placement of limit orders and monitoring their...

Demonstration that noise filtered correlation matrices can be used for early detection of a regime change in temporal behavior of securities. This demonstration was carried out for a portfolio of 40 S&P500 securities with just two, randomly chosen, securities undergoing a deliberately arranged...

Demonstration that in-sample Markowitz type mean-variance optimization, carried out with noise filtered covariance matrices, results in asset allocation that leads to 2-3 times increase of the Sharpe ratio compared to the same optimization carried out without noise filtering.Demonstration of 2-3...

Demonstration that our noise filtering procedure is extremely robust on the basis of the following experiment. The 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...

Demonstration that our noise filtering procedure is extremely robust on the basis of the following experiment. The 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...

Demonstration of the omnipresence of noise in volatilities of returns of financial instruments.Demonstration that more than 30% of SP500 securities can have percentage change in volatility of more than 10% as a result of noise filtering.In our white paper “Filtering Noise From Correlation...

Demonstration of the extraordinary out-of-sample stability of noise-filtered correlation matrices measured in terms of simple Euclidean distance. This measure decreases 4-5 times post noise filtering implying 4-5 times improved stability.Study of the out-of-sample stability of noise-filtered...

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 matrices. Demonstration of substantial entropy decrease as a...

Alexander Izmailov, Ph.D (theoretical physics) and Brian Shay, Ph.D (mathematics) of Market Memory Trading, L.L.C. present, in a series of nine (9) white papers, aspects of a revolutionary advance in uncovering hidden dependencies via filtering noise from correlation matrices developed by the...