Seminar 217, Risk Management: Dynamics for the Top Eigenvalue and Eigenvector of Empirical Correlation Matrices of Financial Data

Risk Seminar
Mar 14, 2017 11:00am to 1:00pm
Location: 
639 Evans Hall
Status: 
Happening As Scheduled
Abstract: In this talk we will discuss how the top eigenvalue/eigenvector pair evolves through time for estimators of covariance and correlation matrices of equity return type data. By this we mean that the matrices have a top eigenvalue which is well separated from the others. Our main results are that both the eigenvalue and eigenvector of a correlation matrix has an extra stability effect,...
Speaker: Carl-Fredrik Arndt, Two Sigma (Speaker - Featured)