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Cleaning large correlation matrices: tools from random matrix theory

Citations

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Cited by:

  1. Hideto Nakashima & Piotr Graczyk, 2022. "Wigner and Wishart ensembles for sparse Vinberg models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 74(3), pages 399-433, June.
  2. Chun-Xiao Nie, 2021. "Studying the correlation structure based on market geometry," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 16(2), pages 411-441, April.
  3. K. B. Gubbels & J. Y. Ypma & C. W. Oosterlee, 2023. "Principal Component Copulas for Capital Modelling and Systemic Risk," Papers 2312.13195, arXiv.org, revised Jul 2025.
  4. Paolo Giudici & Gloria Polinesi & Alessandro Spelta, 2022. "Network models to improve robot advisory portfolios," Annals of Operations Research, Springer, vol. 313(2), pages 965-989, June.
  5. Tacchella, Andrea & Zaccaria, Andrea & Miccheli, Marco & Pietronero, Luciano, 2023. "Relatedness in the era of machine learning," Chaos, Solitons & Fractals, Elsevier, vol. 176(C).
  6. G. L. Zitelli, 2022. "Amalgamated Free Lévy Processes as Limits of Sample Covariance Matrices," Journal of Theoretical Probability, Springer, vol. 35(4), pages 2176-2193, December.
  7. Mattia Guerini & Duc Thi Luu & Mauro Napoletano, 2023. "Synchronization patterns in the European Union," Applied Economics, Taylor & Francis Journals, vol. 55(18), pages 2038-2059, April.
  8. repec:spo:wpmain:info:hdl:2441/5q8fnecj1u87ka099dc571bhi2 is not listed on IDEAS
  9. Molero González, Laura & Cerqueti, Roy & Mattera, Raffaele & Sánchez Granero, Miguel Ángel & Trinidad Segovia, Juan Evangelista, 2025. "Analyzing clustered factors in the cryptocurrency market with Random Matrix Theory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 665(C).
  10. Tae-Hwy Lee & Millie Yi Mao & Aman Ullah, 2021. "Estimation of high-dimensional dynamic conditional precision matrices with an application to forecast combination," Econometric Reviews, Taylor & Francis Journals, vol. 40(10), pages 905-918, November.
  11. Andr'es Garc'ia-Medina & Benito Rodrigu'ez-Camejo, 2023. "Random matrix theory and nested clustered portfolios on Mexican markets," Papers 2306.05667, arXiv.org.
  12. Gautier Marti, 2019. "CorrGAN: Sampling Realistic Financial Correlation Matrices Using Generative Adversarial Networks," Papers 1910.09504, arXiv.org, revised Dec 2019.
  13. Armine Karami & Raphael Benichou & Michael Benzaquen & Jean-Philippe Bouchaud, 2020. "Conditional Correlations And Principal Regression Analysis For Futures," Working Papers hal-02567501, HAL.
  14. Christian Bongiorno & Damien Challet, 2022. "Reactive global minimum variance portfolios with k-BAHC covariance cleaning," The European Journal of Finance, Taylor & Francis Journals, vol. 28(13-15), pages 1344-1360, October.
  15. Armine Karami & Raphael Benichou & Michael Benzaquen & Jean-Philippe Bouchaud, 2019. "Conditional Correlations and Principal Regression Analysis for Futures," Papers 1912.12354, arXiv.org, revised Jan 2020.
  16. Firoozye, Nikan & Tan, Vincent & Zohren, Stefan, 2023. "Canonical portfolios: Optimal asset and signal combination," Journal of Banking & Finance, Elsevier, vol. 154(C).
  17. Sumanjay Dutta & Shashi Jain, 2023. "Precision versus Shrinkage: A Comparative Analysis of Covariance Estimation Methods for Portfolio Allocation," Papers 2305.11298, arXiv.org.
  18. Jerome Garnier-Brun & Michael Benzaquen & Stefano Ciliberti & Jean-Philippe Bouchaud, 2021. "A new spin on optimal portfolios and ecological equilibria," Papers 2104.00668, arXiv.org, revised Oct 2021.
  19. repec:hal:spmain:info:hdl:2441/5q8fnecj1u87ka099dc571bhi2 is not listed on IDEAS
  20. Andrew Butler & Roy H. Kwon, 2021. "Data-driven integration of norm-penalized mean-variance portfolios," Papers 2112.07016, arXiv.org, revised Nov 2022.
  21. Nie, Chun-Xiao, 2021. "Analyzing financial correlation matrix based on the eigenvector–eigenvalue identity," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 567(C).
  22. Lei Wang & Yan Yan & Xiaoteng Li & Xiaosong Chen, 2018. "General Component Analysis (GCA): A new approach to identify Chinese corporate bond market structures," PLOS ONE, Public Library of Science, vol. 13(7), pages 1-18, July.
  23. Sebastien Valeyre, 2022. "Optimal trend following portfolios," Papers 2201.06635, arXiv.org.
  24. Ahmad W. Bitar & Nathan de Carvalho & Valentin Gatignol, 2023. "Covariance matrix estimation for robust portfolio allocation," Working Papers hal-04046454, HAL.
  25. Andres Garcia-Medina, 2025. "Denoising Complex Covariance Matrices with Hybrid ResNet and Random Matrix Theory: Cryptocurrency Portfolio Applications," Papers 2510.19130, arXiv.org.
  26. Alex Shkolnik & Alec Kercheval & Hubeyb Gurdogan & Lisa R. Goldberg & Haim Bar, 2025. "Portfolio selection revisited," Annals of Operations Research, Springer, vol. 346(1), pages 137-155, March.
  27. Vincent Tan & Stefan Zohren, 2020. "Estimation of Large Financial Covariances: A Cross-Validation Approach," Papers 2012.05757, arXiv.org, revised Jan 2023.
  28. Jean-Philippe Bouchaud & Iacopo Mastromatteo & Marc Potters & Konstantin Tikhonov, 2022. "Excess Out-of-Sample Risk and Fleeting Modes," Papers 2205.01012, arXiv.org.
  29. Christian Bongiorno & Efstratios Manolakis & Rosario Nunzio Mantegna, 2025. "End-to-End Large Portfolio Optimization for Variance Minimization with Neural Networks through Covariance Cleaning," Papers 2507.01918, arXiv.org, revised Jul 2025.
  30. Bongiorno, Christian & Challet, Damien, 2023. "Non-linear shrinkage of the price return covariance matrix is far from optimal for portfolio optimization," Finance Research Letters, Elsevier, vol. 52(C).
  31. Christian Bongiorno & Damien Challet, 2020. "Nonparametric sign prediction of high-dimensional correlation matrix coefficients," Papers 2001.11214, arXiv.org.
  32. Ding, Xiucai & Ji, Hong Chang, 2023. "Spiked multiplicative random matrices and principal components," Stochastic Processes and their Applications, Elsevier, vol. 163(C), pages 25-60.
  33. Laura Molero González & Roy Cerqueti & Raffaele Mattera & J.E. Trinidad Segovia, 2025. "The Random Matrix-based informative content of correlation matrices in stock markets," Post-Print hal-05109019, HAL.
  34. Emmanuelle Jay & Thibault Soler & Eugénie Terreaux & Jean-Philippe Ovarlez & Frédéric Pascal & Philippe de Peretti & Christophe Chorro, 2019. "Improving portfolios global performance using a cleaned and robust covariance matrix estimate," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-02354596, HAL.
  35. Mörstedt, Torsten & Lutz, Bernhard & Neumann, Dirk, 2024. "Cross validation based transfer learning for cross-sectional non-linear shrinkage: A data-driven approach in portfolio optimization," European Journal of Operational Research, Elsevier, vol. 318(2), pages 670-685.
  36. Anshul Verma & Orazio Angelini & Tiziana Di Matteo, 2019. "A new set of cluster driven composite development indicators," Papers 1911.11226, arXiv.org, revised Mar 2020.
  37. Christian Bongiorno & Damien Challet, 2023. "The Oracle estimator is suboptimal for global minimum variance portfolio optimisation," Post-Print hal-03491913, HAL.
  38. Antti J Tanskanen & Jani Lukkarinen & Kari Vatanen, 2018. "Random selection of factors preserves the correlation structure in a linear factor model to a high degree," PLOS ONE, Public Library of Science, vol. 13(12), pages 1-22, December.
  39. Jovanovic, Franck & Mantegna, Rosario N. & Schinckus, Christophe, 2019. "When financial economics influences physics: The role of Econophysics," International Review of Financial Analysis, Elsevier, vol. 65(C).
  40. Adil Rengim Cetingoz & Jean-David Fermanian & Olivier Gu'eant, 2022. "Risk Budgeting Portfolios: Existence and Computation," Papers 2211.07212, arXiv.org, revised Sep 2023.
  41. Dimitar Kitanovski & Igor Mishkovski & Viktor Stojkoski & Miroslav Mirchev, 2024. "Network-based diversification of stock and cryptocurrency portfolios," Papers 2408.11739, arXiv.org, revised Mar 2025.
  42. Christian Bongiorno & Damien Challet, 2024. "Covariance matrix filtering and portfolio optimisation: the average oracle vs non-linear shrinkage and all the variants of DCC-NLS," Quantitative Finance, Taylor & Francis Journals, vol. 24(9), pages 1227-1234, September.
  43. Adil Rengim Cetingoz & Jean‐David Fermanian & Olivier Guéant, 2024. "Risk Budgeting portfolios: Existence and computation," Mathematical Finance, Wiley Blackwell, vol. 34(3), pages 896-924, July.
  44. Emmanuelle Jay & Thibault Soler & Eugénie Terreaux & Jean-Philippe Ovarlez & Frédéric Pascal & Philippe de Peretti & Christophe Chorro, 2020. "Improving portfolios global performance using a cleaned and robust covariance matrix estimate," Post-Print hal-02508748, HAL.
  45. George Barnes & Sanjaye Ramgoolam & Michael Stephanou, 2023. "Permutation invariant Gaussian matrix models for financial correlation matrices," Papers 2306.04569, arXiv.org.
  46. Barnes, George & Ramgoolam, Sanjaye & Stephanou, Michael, 2024. "Permutation invariant Gaussian matrix models for financial correlation matrices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 651(C).
  47. Armine Karami & Raphael Benichou & Michael Benzaquen & Jean-Philippe Bouchaud, 2021. "Conditional Correlations and Principal Regression Analysis for Futures," Post-Print hal-02567501, HAL.
  48. Andrea Tacchella & Andrea Zaccaria & Marco Miccheli & Luciano Pietronero, 2021. "Relatedness in the Era of Machine Learning," Papers 2103.06017, arXiv.org.
  49. Naoki Masuda & Kazuyuki Aihara & Neil G. MacLaren, 2024. "Anticipating regime shifts by mixing early warning signals from different nodes," Nature Communications, Nature, vol. 15(1), pages 1-15, December.
  50. Nystrup, Peter & Lindström, Erik & Møller, Jan K. & Madsen, Henrik, 2021. "Dimensionality reduction in forecasting with temporal hierarchies," International Journal of Forecasting, Elsevier, vol. 37(3), pages 1127-1146.
  51. Rubio-García, Álvaro & Fernández-Lorenzo, Samuel & García-Ripoll, Juan José & Porras, Diego, 2024. "Accurate solution of the Index Tracking problem with a hybrid simulated annealing algorithm," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 639(C).
  52. Emmanuelle Jay & Thibault Soler & Eugénie Terreaux & Jean-Philippe Ovarlez & Frédéric Pascal & Philippe de Peretti & Christophe Chorro, 2020. "Improving portfolios global performance using a cleaned and robust covariance matrix estimate," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02508748, HAL.
  53. Bongiorno, Christian & Lamrani, Lamia, 2025. "Quantifying the information lost in optimal covariance matrix cleaning," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 657(C).
  54. Jerome Garnier-Brun & Michael Benzaquen & Stefano Ciliberti & Jean-Philippe Bouchaud, 2021. "A new spin on optimal portfolios and ecological equilibria," Post-Print hal-03378915, HAL.
  55. An Pham Ngoc Nguyen & Marija Bezbradica & Martin Crane, 2025. "Community-level Contagion among Diverse Financial Assets," Papers 2509.15232, arXiv.org.
  56. Emmanuelle Jay & Thibault Soler & Eugénie Terreaux & Jean-Philippe Ovarlez & Frédéric Pascal & Philippe De Peretti & Christophe Chorro, 2019. "Improving portfolios global performance using a cleaned and robust covariance matrix estimate," Documents de travail du Centre d'Economie de la Sorbonne 19022, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  57. Lars Heinrich & Antoniya Shivarova & Martin Zurek, 2021. "Factor investing: alpha concentration versus diversification," Journal of Asset Management, Palgrave Macmillan, vol. 22(6), pages 464-487, October.
  58. Feng, Wenjun & Zhang, Zhengjun, 2023. "Risk-weighted cryptocurrency indices," Finance Research Letters, Elsevier, vol. 51(C).
  59. Baskerville, Nicholas P. & Granziol, Diego & Keating, Jonathan P., 2022. "Appearance of Random Matrix Theory in deep learning," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 590(C).
  60. Yan Zhang & Jiyuan Tao & Zhixiang Yin & Guoqiang Wang, 2022. "Improved Large Covariance Matrix Estimation Based on Efficient Convex Combination and Its Application in Portfolio Optimization," Mathematics, MDPI, vol. 10(22), pages 1-15, November.
  61. Lamia Lamrani & Beno^it Collins & Jean-Philippe Bouchaud, 2025. "Holdout cross-validation for large non-Gaussian covariance matrix estimation using Weingarten calculus," Papers 2509.13923, arXiv.org.
  62. László PáL, 2022. "Asset Allocation Strategies Using Covariance Matrix Estimators," Acta Universitatis Sapientiae, Economics and Business, Sciendo, vol. 10(1), pages 133-144, September.
  63. Anshul Verma & Riccardo Junior Buonocore & Tiziana di Matteo, 2017. "A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering," Papers 1712.02138, arXiv.org, revised May 2018.
  64. Emmanuelle Jay & Thibault Soler & Eugénie Terreaux & Jean-Philippe Ovarlez & Frédéric Pascal & Philippe de Peretti & Christophe Chorro, 2019. "Improving portfolios global performance using a cleaned and robust covariance matrix estimate," Post-Print halshs-02354596, HAL.
  65. Fangyan Ouyang & Wenyan Peng & Tingting Chen, 2024. "Unveiling multiscale spatiotemporal dynamics of volatility in high-frequency financial markets," PLOS ONE, Public Library of Science, vol. 19(12), pages 1-18, December.
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