Search results for "variance"
showing 10 items of 2030 documents
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.
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…
Kullback-Leibler distance as a measure of the information filtered from multivariate data
2007
We show that the Kullback-Leibler distance is a good measure of the statistical uncertainty of correlation matrices estimated by using a finite set of data. For correlation matrices of multivariate Gaussian variables we analytically determine the expected values of the Kullback-Leibler distance of a sample correlation matrix from a reference model and we show that the expected values are known also when the specific model is unknown. We propose to make use of the Kullback-Leibler distance to estimate the information extracted from a correlation matrix by correlation filtering procedures. We also show how to use this distance to measure the stability of filtering procedures with respect to s…
Emergence of time-horizon invariant correlation structure in financial returns by subtraction of the market mode
2007
We investigate the emergence of a structure in the correlation matrix of assets' returns as the time-horizon over which returns are computed increases from the minutes to the daily scale. We analyze data from different stock markets (New York, Paris, London, Milano) and with different methods. Result crucially depends on whether the data is restricted to the ``internal'' dynamics of the market, where the ``center of mass'' motion (the market mode) is removed or not. If the market mode is not removed, we find that the structure emerges, as the time-horizon increases, from splitting a single large cluster. In NYSE we find that when the market mode is removed, the structure of correlation at t…
Shrinkage and spectral filtering of correlation matrices: A comparison via the Kullback-Leibler distance
2007
The problem of filtering information from large correlation matrices is of great importance in many applications. We have recently proposed the use of the Kullback-Leibler distance to measure the performance of filtering algorithms in recovering the underlying correlation matrix when the variables are described by a multivariate Gaussian distribution. Here we use the Kullback-Leibler distance to investigate the performance of filtering methods based on Random Matrix Theory and on the shrinkage technique. We also present some results on the application of the Kullback-Leibler distance to multivariate data which are non Gaussian distributed.
A partially reflecting random walk on spheres algorithm for electrical impedance tomography
2015
In this work, we develop a probabilistic estimator for the voltage-to-current map arising in electrical impedance tomography. This novel so-called partially reflecting random walk on spheres estimator enables Monte Carlo methods to compute the voltage-to-current map in an embarrassingly parallel manner, which is an important issue with regard to the corresponding inverse problem. Our method uses the well-known random walk on spheres algorithm inside subdomains where the diffusion coefficient is constant and employs replacement techniques motivated by finite difference discretization to deal with both mixed boundary conditions and interface transmission conditions. We analyze the global bias…
Test of Lorentz invariance with spin precession of ultracold neutrons
2009
A clock comparison experiment, analyzing the ratio of spin precession frequencies of stored ultracold neutrons and $^{199}$Hg atoms is reported. %57 No daily variation of this ratio could be found, from which is set an upper limit on the Lorentz invariance violating cosmic anisotropy field $b_{\bot} < 2 \times 10^{-20} {\rm eV}$ (95% C.L.). This is the first limit for the free neutron. This result is also interpreted as a direct limit on the gravitational dipole moment of the neutron $|g_n| < 0.3 $eV/$c^2$ m from a spin-dependent interaction with the Sun. Analyzing the gravitational interaction with the Earth, based on previous data, yields a more stringent limit $|g_n| < 3 \times …
High-precision comparison of the antiproton-to-proton charge-to-mass ratio
2015
Invariance under the charge, parity, time-reversal (CPT) transformation$^{1}$ is one of the fundamental symmetries of the standard model of particle physics. This CPT invariance implies that the fundamental properties of antiparticles and their matter-conjugates are identical, apart from signs. There is a deep link between CPT invariance and Lorentz symmetry—that is, the laws of nature seem to be invariant under the symmetry transformation of spacetime—although it is model dependent$^{2}$. A number of high-precision CPT and Lorentz invariance tests—using a co-magnetometer, a torsion pendulum and a maser, among others—have been performed$^{3}$, but only a few direct high-precision CPT tests …
Universal Dynamic Fragmentation inDDimensions
2004
A generic model is introduced for brittle fragmentation in $D$ dimensions, and this model is shown to lead to a fragment-size distribution with two distinct components. In the small fragment-size limit a scale-invariant size distribution results from a crack branching-merging process. At larger sizes the distribution becomes exponential as a result of a Poisson process, which introduces a large-scale cutoff. Numerical simulations are used to demonstrate the validity of the distribution for $D=2$. Data from laboratory-scale experiments and large-scale quarry blastings of granitic gneiss confirm its validity for $D=3$. In the experiments the nonzero grain size of rock causes deviation from th…
The Evolution of the Rest-frame V-band Luminosity Function from z=4: A Constant Faint-end Slope over the Last 12 Gyr of Cosmic History
2012
We present the rest-frame V-band luminosity function (LF) of galaxies at 0.4<z<4.0, measured from a near-infrared selected sample constructed from the NMBS, the FIRES, the FIREWORKS, and the ultra-deep NICMOS and WFC3 observations in the HDFN, HUDF, and GOODS-CDFS, all having high-quality optical to mid-infrared data. This unique sample combines data from surveys with a large range of depths and areas in a self-consistent way, allowing us to (1) minimize the uncertainties due to cosmic variance; and (2) simultaneously constrain the bright and faint ends with unprecedented accuracy over the targeted redshift range, probing the LF down to 0.1 L* at z~3.9. We find that (1) the faint end is fai…