Search results for "Random matrix theory"

showing 3 items of 3 documents

Bootstrap validation of links of a minimum spanning tree

2018

We describe two different bootstrap methods applied to the detection of a minimum spanning tree obtained from a set of multivariate variables. We show that two different bootstrap procedures provide partly distinct information that can be highly informative about the investigated complex system. Our case study, based on the investigation of daily returns of a portfolio of stocks traded in the US equity markets, shows the degree of robustness and completeness of the information extracted with popular information filtering methods such as the minimum spanning tree and the planar maximally filtered graph. The first method performs a "row bootstrap" whereas the second method performs a "pair bo…

FOS: Computer and information sciencesStatistics and ProbabilityMultivariate statisticsCorrelation coefficientCovariance matrixReplicaComplex systemMinimum spanning treeCondensed Matter Physics01 natural sciencesSettore FIS/07 - Fisica Applicata(Beni Culturali Ambientali Biol.e Medicin)Minimum spanning tree Bootstrap Planar maximally filtered graph Information filtering Proximity based networks Random matrix theory010305 fluids & plasmasMethodology (stat.ME)0103 physical sciencesStatistics010306 general physicsRandom matrixStatistics - MethodologyMathematics
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Cluster analysis for portfolio optimization

2005

We consider the problem of the statistical uncertainty of the correlation matrix in the optimization of a financial portfolio. We show that the use of clustering algorithms can improve the reliability of the portfolio in terms of the ratio between predicted and realized risk. Bootstrap analysis indicates that this improvement is obtained in a wide range of the parameters N (number of assets) and T (investment horizon). The predicted and realized risk level and the relative portfolio composition of the selected portfolio for a given value of the portfolio return are also investigated for each considered filtering method.

Physics - Physics and SocietyEconomics and EconometricsControl and OptimizationMathematics::Optimization and ControlFOS: Physical sciencesStatistics::Other StatisticsPhysics and Society (physics.soc-ph)random matrix theoryportfolio optimizationcorrelation matriceRate of return on a portfolioFOS: Economics and businessComputer Science::Computational Engineering Finance and ScienceEconometricsEconomicsCluster analysisModern portfolio theoryStatistical Finance (q-fin.ST)Covariance matrixApplied MathematicsQuantitative Finance - Statistical FinanceCondensed Matter - Other Condensed MatterPortfolioPortfolio optimizationVolatility (finance)clustering methodRandom matrixOther Condensed Matter (cond-mat.other)
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Evolution of correlation structure of industrial indices of U.S. equity markets

2013

We investigate the dynamics of correlations present between pairs of industry indices of US stocks traded in US markets by studying correlation based networks and spectral properties of the correlation matrix. The study is performed by using 49 industry index time series computed by K. French and E. Fama during the time period from July 1969 to December 2011 that is spanning more than 40 years. We show that the correlation between industry indices presents both a fast and a slow dynamics. The slow dynamics has a time scale longer than five years showing that a different degree of diversification of the investment is possible in different periods of time. On top to this slow dynamics, we als…

Physics - Physics and SocietyIndex (economics)Scale (ratio)Operations researchSettore SECS-P/05Diversification (finance)FOS: Physical sciencesPhysics and Society (physics.soc-ph)01 natural sciences010305 fluids & plasmasFOS: Economics and businessCorrelationRandom matrix theoryMINIMUM SPANNING-TREES0103 physical sciencesEconometricsPCA Random matrix theory010306 general physicsCORRELATION-BASED NETWORKSMathematicsPCAStatistical Finance (q-fin.ST)Settore SECS-S/03CROSS-CORRELATIONSCovariance matrixSpectral propertiesSettore SECS-S/06Equity (finance)Quantitative Finance - Statistical FinanceFINANCIAL-MARKETSSubprime crisisInvestment (macroeconomics)Degree (music)Settore FIS/07 - Fisica Applicata(Beni Culturali Ambientali Biol.e Medicin)DYNAMIC ASSET TREESMATRICES
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