Testing Methods to Reduce Noise in Financial Correlation Matrices

Per-Johan Andersson, Andreas Öberg and Thomas Guhr (thomas.guhr@matfys.lth.se)
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Per-Johan Andersson: Lunds Universitet
Andreas Öberg: Lunds Universitet
Thomas Guhr: Lunds Universitet

A chapter in Practical Fruits of Econophysics, 2006, pp 231-235 from Springer

Abstract: 4 Conclusions As the two noise reduction methods are conceptually different, they also produce different results. Our preliminary studies cannot serve as a basis to make schematic suggestions as to which method ought to be preferred in which situation. This will always be difficult. But further and systematic studies extending the ones presented here might yield some guidelines.

Keywords: Power Mapping; Noise Reduction; Random Matrix; Correlation Matrice; Portfolio Return (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-4-431-28915-9_42

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DOI: 10.1007/4-431-28915-1_42

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