Signal and Noise in Financial Correlation Matrices
arXiv:cond-mat/0312496 · doi:10.1016/j.physa.2004.06.089
Abstract
Using Random Matrix Theory one can derive exact relations between the eigenvalue spectrum of the covariance matrix and the eigenvalue spectrum of its estimator (experimentally measured correlation matrix). These relations will be used to analyze a particular case of the correlations in financial series and to show that contrary to earlier claims, correlations can be measured also in the ``random'' part of the spectrum. Implications for the portfolio optimization are briefly discussed.
arXiv comment6 pages + 2 figures, corrected references, Talk at Conference: Applications of Physics in Financial Analysis 4, Warsaw, 13-15 November 2003
References in corpus (4)
Cited by in corpus (24)
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