Risk evaluation with enhanced covariance matrix
Copyright policy )Risk evaluation with enhanced covariance matrix
We propose a route for the evaluation of risk based on a transformation of the covariance matrix. The approach uses a `potential' or `objective' function. This allows us to rescale data from different assets (or sources) such that each data set then has similar statistical properties in terms of their probability distributions. The method is tested using historical data from both the New York and Warsaw Stock Exchanges.
see urbanowicz.org.pl
- Trinity College Dublin Ireland
- Warsaw University of Technology Poland
FOS: Economics and business, Statistical Finance (q-fin.ST), Physics - Data Analysis, Statistics and Probability, Quantitative Finance - Statistical Finance, FOS: Physical sciences, Computational Physics (physics.comp-ph), Physics - Computational Physics, Data Analysis, Statistics and Probability (physics.data-an)
FOS: Economics and business, Statistical Finance (q-fin.ST), Physics - Data Analysis, Statistics and Probability, Quantitative Finance - Statistical Finance, FOS: Physical sciences, Computational Physics (physics.comp-ph), Physics - Computational Physics, Data Analysis, Statistics and Probability (physics.data-an)
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