Power mapping and noise reduction for financial correlations

Acta Physica Polonica B

Volumn 36, Issue 9, 2005, Pages 2611-2619

  Andersson, Per Johan ^a   Öberg, Andreas ^a   Guhr, Thomas ^a  

^a LUND INSTITUTE OF TECHNOLOGY   (Sweden)

Author keywords

[No Author keywords available]

Indexed keywords

MAPPING; MATRIX ALGEBRA; OPTIMIZATION; RISK MANAGEMENT; TIME SERIES ANALYSIS;

FINANCIAL CORRELATION MATRICES; FINANCIAL TIME SERIES; SHRINKAGE METHOD; STOCK PORTFOLIOS;

CORRELATION METHODS;

EID: 33644966129     PISSN: 05874254     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

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