相关论文: Estimated Correlation Matrices and Portfolio Optim…

Correlation matrices are a standard tool in the analysis of the time evolution of complex systems in general and financial markets in particular. Yet most analysis assume stationarity of the underlying time series. This tends to be an…

Forward-looking correlations are of interest in different financial applications, including factor-based asset pricing, forecasting stock-price movements or pricing index options. With a focus on non-FX markets, this paper defines necessary…

Several studies have focused on the Realized Range Volatility, an estimator of the quadratic variation of financial prices, taking into account the impact of microstructure noise and jumps. However, none has considered direct modeling and…

Standard approaches to the theory of financial markets are based on equilibrium and efficiency. Here we develop an alternative based on concepts and methods developed by biologists, in which the wealth invested in a financial strategy is…

We review the state of the art of clustering financial time series and the study of their correlations alongside other interaction networks. The aim of this review is to gather in one place the relevant material from different fields, e.g.…

Using random matrix technique we determine an exact relation between the eigenvalue spectrum of the covariance matrix and of its estimator. This relation can be used in practice to compute eigenvalue invariants of the covariance…

Estimating time-varying correlation matrices is challenging because existing methods may adapt slowly to structural changes, impose insufficient regularization, or produce diffuse posterior uncertainty. In moderate dimensions, an additional…

Standard methods and theories in finance can be ill-equipped to capture highly non-linear interactions in financial prediction problems based on large-scale datasets, with deep learning offering a way to gain insights into correlations in…

We introduce a covariance matrix estimator that both takes into account the heteroskedasticity of financial returns (by using an exponentially weighted moving average) and reduces the effective dimensionality of the estimation (and hence…

We set up a structural model to study credit risk for a portfolio containing several or many credit contracts. The model is based on a jump--diffusion process for the risk factors, i.e. for the company assets. We also include correlations…

We study the feasibility and noise sensitivity of portfolio optimization under some downside risk measures (Value-at-Risk, Expected Shortfall, and semivariance) when they are estimated by fitting a parametric distribution on a finite sample…

This paper presents an evaluation framework that attempts to quantify the "degree of realism" of simulated financial time series, whatever the simulation method could be, with the aim of discover unknown characteristics that are not being…

Financial time series often exhibit low signal-to-noise ratio, posing significant challenges for accurate data interpretation and prediction and ultimately decision making. Generative models have gained attention as powerful tools for…

We employ perturbation analysis technique to study multi-asset portfolio optimisation with transaction cost. We allow for correlations in risky assets and obtain optimal trading methods for general utility functions. Our analytical results…

We introduce a particular construction of an autocorrelation matrix of a time series and its analysis based on the random-matrix theory ideas that is capable of unveiling the type of correlations information which is inaccessible to the…

Detailed study of the financial empirical correlation matrix of the 30 companies comprised by DAX within the period of the last 11 years, using the time-window of 30 trading days, is presented. This allows to clearly identify a nontrivial…

We develop a new stock market index that captures the chaos existing in the market by measuring the mutual changes of asset prices. This new index relies on a tensor-based embedding of the stock market information, which in turn frees it…

Matrix seriation, the problem of permuting the rows and columns of a matrix to uncover latent structure, is a fundamental technique in data science, particularly in the visualization and analysis of relational data. Applications span…

Statistical emulators of computer simulators have proven to be useful in a variety of applications. The widely adopted model for emulator building, using a Gaussian process model with strictly positive correlation function, is…

We introduce a new method for estimating the covariance matrix for the galaxy correlation function in surveys of large-scale structure. Our method combines simple theoretical results with a realistic characterization of the survey to…