Exponential smoothing weighted correlations

European Physical Journal B

Volumn 85, Issue 6, 2012, Pages

  Pozzi, F ^a   Di Matteo, T ^a,b   Aste, T ^a,c  

^a AUSTRALIAN NATIONAL UNIVERSITY   (Australia)

^b KING'S COLLEGE LONDON   (United Kingdom)

^c UNIVERSITY OF KENT   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

CORRELATION MATRIX; CURSE OF DIMENSIONALITY; DATA SETS; DYNAMIC CORRELATION; EXPONENTIAL SMOOTHING; MOVING WINDOW; OPTIMAL WEIGHT; REMOTE OBSERVATION; STATISTICAL ROBUSTNESS; WEIGHTED CORRELATION;

CONDENSED MATTER PHYSICS; PHYSICS;

OPTIMIZATION;

EID: 84864551253     PISSN: 14346028     EISSN: 14346036     Source Type: Journal    
DOI: 10.1140/epjb/e2012-20697-x     Document Type: Article

References (81)

1. A. Meucci, Risk and Asset Allocation (Springer-Verlag Berlin Heidelberg, 2005)
2. . R. Litterman, K. Winkelmann, Estimating covariance matrices, in Goldman Sachs, Risk Management Series (1998)
3. G.S. Shieh, Stat. Probab. Lett. 39, 17 (1998)
4. I.A. Salama, D. Quade, A nonparametric comparison of the structure of two multiple-regression prediction situations, in Inst. of Statist. Mimeo Series (Univ. North Carolina, Chapel Hill, 1981), Vol. 1325
5. I.A. Salama, D. Quade, Commun. Stat. Theory Methods 11, 1185 (1982)
6. D. Quade, I.A. Salama, A Survey of Weighted Rank Correlation, in Order Statistics and Nonparametrics: Theory and Applications, edited by P.K. Sen, I.A. Salama (Elsevier, Amsterdam, 1992), pp. 213-224
7. G.S. Shieh, Correlation, Weighted, in Encyclopedia of Statistical Sciences (John Wiley & Sons, Inc., 2006)
8. J.P. MorganReuters, RiskMetricsTM -Technical Document, 4th edn. (New York, 1996)
9. S. Pafka, M. Potters, I. Kondor, Exponential Weighting and Random-Matrix-Theory-Based Filtering of Financial Covariance Matrices for Portfolio Optimization, arXiv:cond-mat/0402573v1[cond-mat.stat-mech]
10. T. Hayashi, Y. Nakahiro, Bernoulli 11, 359 (2005)
11. P. Malliavin, M.E. Mancino, Finance and Stochastics 6, 49 (2002)
12. S. Dro?zd? z, J. Kwapién, F. Grümmer, F. Ruf, J. Speth, Physica A 299, 144 (2001)
13. S. Dro?zd? z, F. Grümmer, F. Ruf, J. Speth, Physica A 294, 226 (2001)
14. J.-P. Onnela, A. Chakraborti, K. Kaski, J. Kertész, A. Kanto, Phys. Rev. E 68, 056110 (2003)
15. L. Bauwens, S. Laurent, J.V.K. Rombouts, J. Appl. Econ. 21, 79 (2006)
16. R. Engle, J. Bus. Econ. Stat. 20, 339 (2002)
17. J. Svensson, Physica A 385, 621 (2007)
18. R.E. Bellman, Dynamic Programming (Princeton University Press, New Jersey, 1957)
19. R.E. Bellman, Adaptive Control Processes: A Guided Tour (Princeton University Press, 1961)
20. K. Beyer, J. Goldstein, R. Ramakrishnan, U. Shaft, When is 'Nearest Neighbor' Meaningful?, Proceedings of 7th International Conference on Database Theory (1999), Vol. 1540, pp. 217-235
21. R.B. Marimont, M.B. Shapiro, Journal of the Institute of Mathematics and its Applications 24, 59 (1979)
22. E. Chavez et al., ACM Comput. Surv. 33, 273 (2001)
23. S.M. Stigler, Stat. Sci. 4, 73 (1989)
24. J. Lee Rodgers, W. Alan Nicewander, Am. Stat. 42, 59 (1988)
25. F. Galton, J. Anthropol. Inst. 15, 246 (1885)
26. K. Pearson, Roy. Soc. Proc. 58, 241 (1895)
27. K. Pearson, Biometrika 13, 25 (1920)
28. T.C. Cook, D.T. Campbell, Quasi-Experimentation (Houghton Mifflin, Boston, 1979)
29. H.M. Walker, Studies in the History of Statistical Method (Williams & Wilkins, Baltimore, 1929)
30. H.L. Seal, Biometrika 54, 1 (1967)
31. C. Darwin, The Variation of Animals and Plants under Domestication (John Murray, London, 1868)
32. A. Kraskov, H. Stögbauer, P. Grassberger, Phys. Rev. E 69, 066138 (2004)
33. A. Kraskov, H. Stögbauer, R.G. Andrzejak, P. Grassberger, Europhys. Lett. 70, 278 (2005)
34. M.G. Kendall, Biometrika 30, 81 (1938)
35. M.G. Kendall, Rank Correlation Methods (Charles Griffin & Co. Ltd., London, 1948)
36. W.H. Kruskal, J. Am. Stat. Assoc. 53, 814 (1958)
37. W.R. Knight, J. Am. Stat. Assoc. 61, 436 (1966)
38. D. Christensen, Computational Statistics 20, 51 (2005)
39. V.D. Skintzi, A.-P.N. Refenes, J. Futures Mark. 25, 171 (2005)
40. Y.H. Cho, R. Engle, Time-Varying Betas and Asymmetric Effects of News: Empirical Analysis of Blue Chip Stocks, Working paper No. 7730, National Bureau of Economic Research, Cambridge, 1999
41. T. Andersen, T. Bollerslev, F. Diebold, H. Ebens, J. Financ. Econ. 61, 43 (2001)
42. T. Andersen, T. Bollerslev, F. Diebold, P. Labys, J. Am. Stat. Assoc. 96, 42 (2001)
43. E. Sheedy, J. Int. Financ. Mark. Inst. Money 8, 59 (1998)
44. B. Solnik, C. Bourcell, Y. Le Fur, Financ. Anal. J. 5, 17 (1996)
45. L. Ramchand, R. Susmel, J. Empir. Finance 5, 397 (1998)
46. A. Ang, J. Chen, J. Financ. Econ. 63, 443 (2002)
47. C.B. Erb, C.R. Harvey, E. Viskanta, Financ. Anal. J. 6, 32 (1994)
48. F. Longin, B. Solnik, J. Int. Money Financ. 14, 3 (1995)
49. . K.J. Forbes, R. Rigobon, J. Financ. 57, 2223 (2002)
50. G.M. von Fustenberg, B.N. Jeon, N.G. Mankiw, R.J. Shiller, Papers on Economic Activity 1, 125 (1989)
51. P.D. Koch, T.W. Koch, J. Int. Money Financ. 10, 231 (1991)
52. C. Borghesi, M. Marsili, S. Miccichè, Phys. Rev. E 76, 026104 (2007)
53. M. Lundin, M.M. Dacorogna, U.A. Muller, Correlation of high frequency financial time series, in The financial markets tick-by-tick, edited by P. Lequeux (Wiley, London, 1999)
54. M.G. Kendall, Biometrika 36, 177 (1949)
55. R. Newson, The Stata Journal 1, 1 (2001)
56. C. Stein, Inadmissibility of the usual estimator for the mean of a multivariate distribution, in Proceedings of the Third Berkeley Symposium on Mathematical Statistics and Probability, edited by J. Neyman (Univ. California Press, Berkeley, 1956), pp. 197-206
57. O. Ledoit, M. Wolf, J. Portfolio Manag. 30, 110 (2004)
58. J. Schäfer, K. Strimmer, Statistical Applications in Genetics and Molecular Biology 4 (2005)
59. D.J. Disatnik, S. Benninga, J. Portfolio Manag. 33, 55 (2007)
60. J.-P. Bouchaud, M. Potters, Financial Applications of Random Matrix Theory: a short review (2009), arXiv:0910.1205v1
61. C.C.Y. Kwan, Spreadsheets in Education (eJSiE) 4 (2011)
62. E. Anderson, Z. Bai, C. Bischof, S. Blackford, J. Demmel, J. Dongarra, J. Du Croz, A. Greenbaum, S. Hammarling, A. McKenney, D. Sorensen, LAPACK User's Guide, 3rd edn. (SIAM, Philadelphia, 1999)
63. F. Pozzi, T. Aste, G. Rotundo, T. Di Matteo, Proc. SPIE 6802, E68021 (2008)
64. F. Pozzi, T. Di Matteo, T. Aste, Advances in Complex Systems 11, 927 (2008)
65. T. Di Matteo, F. Pozzi, T. Aste, Eur. Phys. J. B 73, 3 (2009)
66. F. Pozzi, T. Aste, W. Shaw, T. Di Matteo, The use of topological quantities to detect hierarchical properties in financial markets: the Financial sector in NYSE, Proceedings of 10th WSEAS international conference on Mathematics and computers in business and economics, Recent Advances in Computer Engineering (2009), pp. 301-304
67. T. Aste,W. Shaw, T. Di Matteo, New J. Phys. 12, 085009 (2010)
68. J. Hadamard, Leçons sur la Propagation des Ondes et les Equations de l'Hydrodynamique (Hermann, Paris, 1903)
69. J. Schur, J. Reine Angew. Math. 140, 1 (1911)
70. P.R. Halmos, Finite-Dimensional Vector Spaces (Princeton University Press, 1948)
71. G.P.H. Styan, Linear Algebra Appl. 6, 217 (1973)
72. M. Marcus, Basic Theorems in Matrix Theory, in National Bureau of Standards, Applied Mathematics Series (US Government Printing Office, Washington, D.C., 1960), Vol. 57
73. L. Mirsky, An Introduction to Linear Algebra (Oxford University Press, 1955)
74. R.A. Horn, C.R. Johnson, Topics in Matrix Analysis (Cambridge University Press, 1994), Chap. 5, pp. 299-381
75. S. Barnett, Matrices, Methods and Applications (Oxford University Press, New York, 1990)
76. R.A. Beezer, A First Course in Linear Algebra, 1.08 edn. (2007)
77. E. Million, The Hadamard Product (Creative Commons, 2007)
78. R.N. Mantegna, Eur. Phys. J. B 11, 193 (1999)
79. S.I. Ramanujan, Collected Papers (Cambridge University Press, Cambridge, 1927)
80. D.E. Knuth, The art of computer programming (Addison Wesley Longman, 1997), 3rd edn., Vol. 1
81. R.L. Graham, D.E. Knuth, O. Patashnik, Concrete Mathematics, 2nd edn. (Addison-Wesley, 1994)