Signal and noise in financial correlation matrices

Physica A: Statistical Mechanics and its Applications

Volumn 344, Issue 1-2, 2004, Pages 67-72

  Burda, Zdzisław ^a   Jurkiewicz, Jerzy ^a  

^a JAGIELLONIAN UNIVERSITY   (Poland)

Author keywords

Correlation matrix; Eigenvalue spectrum; Random matrix theory

Indexed keywords

CORRELATION METHODS; EIGENVALUES AND EIGENFUNCTIONS; MATRIX ALGEBRA; OPTIMIZATION; RANDOM PROCESSES; SPECTRUM ANALYSIS;

CORRELATION MATRIX; EIGENVALUE SPECTRUM; FINANCIAL SERIES; RANDOM MATRIX THEORY;

SIGNAL THEORY;

EID: 5444237185     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2004.06.089     Document Type: Conference Paper

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