Questions tagged [correlation-matrix]
The correlation-matrix tag has no usage guidance.
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How do I adjust a correlation matrix whose elements are generated from different market regimes?
Say I want to calculate a correlation matrix for 50 stocks using 3-year historical daily data. And there are some stocks that were recently listed for one year.
This is not technically challenging ...
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One dimensional analog of cleansing a correlation matrix via random matrix theory
The general idea of cleansing a correlation matrix via random matrix theory is to compare its eigenvalues to that of a random one to see which parts of it are beyond normal randomness. These are then ...
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How to simulate correlated Geometric brownian motion for n assets?
So I'm trying to simulate currency movements for several currencies with a given correlation matrix. I have the initial price, drift and volatility for each of the separate currencies, and I want to ...
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generating a correlated RV which has the same correlation to existing samples
Suppose I have generated a collection of correlated sequences of samples $(S_i)_{i=1}^{n}$ from random variables $\mathbf{\underline{x}} = x_i$.
Let's fix a sequence of reals $(\sigma_i)_{i=0}^{n}$. ...
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Given a correlation martrix, calculate portfolio's correlation with its assets
Find correlation vector like $[ d e f ]$ where d, e and f represent correlation of P(portfolio) with its assets A, B and C respectively. The assets A, B, C can be another portfolio.
In order for that,...
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PCA on term structure of interest rates
Interest rate time series seems to be non-stationary whenever test is performed
But covariance or correlation matrix is derived from term structure time series which are non stationary and later PCA ...
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