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 Nov3 awarded Yearling Oct26 awarded Popular Question Sep24 awarded Autobiographer Mar28 answered What types of neural networks are most appropriate for trading? Mar28 answered What is the best way to “fix” a covariance matrix that is not positive semi-definite? Mar28 revised Cleansing covariance matrices via Random matrix theory models Mar28 answered Random matrix theory (RMT) in finance Mar28 revised Cleansing covariance matrices via Random matrix theory grammar, clarity Mar28 answered Cleansing covariance matrices via Random matrix theory Feb22 answered How to cluster ETFs to reduce cardinality for portfolio selection Jan29 comment Inferring signals in absence of sign of principal components (PCA)? The sign of the same loadings can be different across software packages. One thing I have observed across packages is that if the sign of the largest abs(loadings) on the first PC in the range ~0.8-0.9 are negative, then these would be positive when determined using another program. Jan9 revised Optimizing Principal Component factor weightings over time added 77 characters in body Jan9 answered Optimizing Principal Component factor weightings over time Jan2 awarded Revival Dec31 answered How to normalize technical indicators for machine learning? Dec31 comment Machine Learning on matlab 2010 Here's the recent 2012 neuro-wavelet paper on stock time series data I was referring to. Dec28 comment How to quickly estimate a lower bound on correlation for a large number of stocks? If you expand the above, would it be possible to derive an analytic solution for simulating correlated data based on a correlation matrix (any size) with arbitrary correlation values? That is, for example, start with a $30 \times 30$ $\mathbf{R}$ matrix with balanced coefficients. Then apply Cholesky factorization and /or Iman and Conover's approach for simulation. I think what always happens with arbitrary corr values is that $\mathbf{R}$ is not positive definite. Given this, what rules are there for properties of $\mathbf{R}$ when simulating correlated data? Dec28 answered What are the general limitations of Gaussian copulas with regards to the range of joint pdf's it can approximate? Dec28 comment how to choose top n assets? Wouldn't it be better to invest in the GMV portfolio which is not based on expected returns - since returns change through time and are unpredictable? Dec28 answered Machine Learning on matlab 2010