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'Robustness of a Noise Filtering Procedure for Correlation Matrices : B. Filtering of Deliberately Introduced Noise from 'True' Correlation Matrices'; Paper 9 in a Series 'Uncovering Hidden Dependencies'

Izmailov, Alexander - 2014

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...

Persistent link: https://www.econbiz.de/10013062120

Filtering Noise from Correlation Matrices : Paper 3 in a Series 'Uncovering Hidden Dependencies'

Izmailov, Alexander - 2014

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

Persistent link: https://www.econbiz.de/10013062134

'Extraordinary Stability of Noise-Filtered Correlation Matrices' : Paper 4 in a Series 'Uncovering Hidden Dependencies'

Izmailov, Alexander - 2014

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...

Persistent link: https://www.econbiz.de/10013062136

'Robustness of a Noise Filtering Procedure for Correlation Matrices : A. Filtering of Deliberately Introduced Noise from Empirical Correlation Matrices'; Paper 8 in a Series 'Uncovering Hidden Dependencies'

Izmailov, Alexander - 2014

Persistent link: https://www.econbiz.de/10013062139

Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps

Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - 2013

We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...

Persistent link: https://www.econbiz.de/10010256970

Investor sentiment and stock return volatility : evidence from the Johannesburg Stock Exchange

Rupande, Lorraine; Muguto, Hilary Tinotenda; … - In: Cogent economics & finance 7 (2019) 1, pp. 1-16

Volatility is an important component of asset pricing; an increase in volatility on markets can trigger changes in the … hypothesized that there are movements in risk that are driven by volatility linked to sentiment-driven noise trader activity whose … investor sentiment and stock return volatility which shows that behavioural finance can significantly explain the behaviour of …

Persistent link: https://www.econbiz.de/10012023919

Robustness of a Noise Filtering Procedure for Correlation Matrices : A. Filtering of Deliberately Introduced Noise from Empirical Correlation Matrices

Izmailov, Alexander - 2014

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...

Persistent link: https://www.econbiz.de/10013060876

Filtering Noise from Correlation Matrices (Detection of Correlation Diversion, Pairs Trading, Risk Analysis, Et Al.)

Izmailov, Alexander - 2014

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...

Persistent link: https://www.econbiz.de/10013060895

Dramatically Improved Portfolio Optimization Results with Noise-Filtered Covariance : Paper 6 in a Series 'Uncovering Hidden Dependencies'

Izmailov, Alexander - 2014

filtered covariance matrices, for two possible optimization scenarios – maximization of portfolio return at a fixed volatility … and minimization of portfolio volatility at a fixed return. Refer to Appendix A for Complete Series …

Persistent link: https://www.econbiz.de/10013062135

Filtering Noise from Volatility (Portfolio Management, Risk Analysis, et al.)

Izmailov, Alexander - 2014

than 30% of SP500 securities can have percentage change in volatility of more than 10% as a result of noise filtering …, variances (diagonal elements of the covariance matrix - squares of volatility) contain noise as well. Our noise …

Persistent link: https://www.econbiz.de/10013060877