Random matrix theory provides a clue to correlation dynamics A growing field of mathematical research could help us understand correlation fluctuations, says quant expert ...

Modelling using a limited amount of data means one ends up with a huge amount of noise in the estimated correlation matrix, which can lead to massive estimation errors. Portfolio managers have been ...

Using this algorithm, we draw all elements of R simultaneously by first drawing a covariance matrix from an inverse Wishart distribution, and then translating it back to a correlation matrix through a ...

We propose a speckle-correlation scattering matrix Z, where indicates an space average, and is a normalization constant.

The inverse of the correlation matrix, however, also has important interpretations. An exposition of some of the properties connected with the inverse of the correlation matrix is provided and its use ...