Physics – Condensed Matter – Statistical Mechanics
Scientific paper
2003-12-18
Physica A 344, 67 (2004)
Physics
Condensed Matter
Statistical Mechanics
6 pages + 2 figures, corrected references, Talk at Conference: Applications of Physics in Financial Analysis 4, Warsaw, 13-15
Scientific paper
10.1016/j.physa.2004.06.089
Using Random Matrix Theory one can derive exact relations between the eigenvalue spectrum of the covariance matrix and the eigenvalue spectrum of its estimator (experimentally measured correlation matrix). These relations will be used to analyze a particular case of the correlations in financial series and to show that contrary to earlier claims, correlations can be measured also in the ``random'' part of the spectrum. Implications for the portfolio optimization are briefly discussed.
Burda Zdzislaw
Jurkiewicz Jerzy
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