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Introduction to Noise-Reduced Correlations Using Singular Spectrum Analysis
Dash, Jan - 2018
We summarize new results for estimating correlations for use in risk management. These estimates have better behavior …-to-noise ratio, and distances from noise using polynomials generalizing the z-score and random matrix theory constructs. New useful …
Persistent link: https://www.econbiz.de/10012932998
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MSSA vs. Multivariate Regularized Expectation Maximization for Data Cleaning
Dash, Jan - 2016
). We compare theoretical methodology, numerical stability, algorithm capability, flexibility and speed. Theory and …
Persistent link: https://www.econbiz.de/10012986549
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Analytic Solution to the Two Dimension Merton Model
Dash, Jan - 2016
We present an exact analytic solution to the two-dimensional correlated default structural Merton model in the form of a local volatility problem using a conformal square-root transformation of the exact solution to a 2D hybrid barrier problem. We also give an approximation and evaluate it...
Persistent link: https://www.econbiz.de/10012987075
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Non-Leading Eigenvalue Distributions, RMT, and Correlations
Dash, Jan - 2016
We showed that Singular Spectrum Analysis (SSA) applied to time series yields better correlations for risk simulations …
Persistent link: https://www.econbiz.de/10012987084
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Noise-Reduced Correlations, the Signal to Noise Ratio, and SSA
Dash, Jan - 2016
This is the second paper presenting noise-reduced, stable correlations for long-term risk measurement. We smooth time …
Persistent link: https://www.econbiz.de/10012987086
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SSA, Random Matrix Theory, and Noise-Reduced Correlations
Dash, Jan - 2016
reduction, employing a number of simple tests using Random Matrix Theory (RMT) constructs. In each case, the correlations …
Persistent link: https://www.econbiz.de/10012987088
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Stable Reduced-Noise 'Macro' SSA - Based Correlations for Long-Term Counterparty Risk Management
Dash, Jan - 2016
-cleaned correlations for long term risk (e.g. counterparty risk). SSA is applied to time series to smooth them in a robust manner. The SSA … macroscopic time scales. Stable correlations are desirable to suppress noise from short time scales that make risk measures … unstable. If correlations move around, risk measures also move around, making business decisions difficult. SSA …
Persistent link: https://www.econbiz.de/10012987091
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Cleaning Data with Real-World Updating Using MSSA
Dash, Jan - 2016
Data cleaning in the real world has to cope with new data arriving (or failing to arrive) as time passes, and which may be bad data. We illustrate MSSA data cleaning with a real-time historical simulation on some problematic data. The example also serves to determine some MSSA algorithm...
Persistent link: https://www.econbiz.de/10012986551
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Data Spike Cleaning with MSSA
Dash, Jan - 2016
This paper introduces a powerful method for detecting and fixing unphysical spikes in time series. The method utilizes Multiple Singular Spectrum Analysis (MSSA) to define local market trends used to identify outlier data spikes that are not caused by market movements, and then effectively...
Persistent link: https://www.econbiz.de/10012986553
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Cleaning Financial Data Using SSA and MSSA
Dash, Jan - 2016
We introduce a powerful method for cleaning time series - Multi-Channel Singular Spectrum Analysis (MSSA). “Cleaning” means filling data gaps and removing unphysical spikes, which are chronic problems. MSSA utilizes all available information in “time” and “space” with...
Persistent link: https://www.econbiz.de/10012987067