dorsal/arxiv
View SchemaRisk evaluation with enhaced covariance matrix
| Authors | Krzysztof Urbanowicz, Peter Richmond, Janusz A. Holyst |
|---|---|
| Categories | |
| ArXiv ID | physics/0612059 |
| URL | https://arxiv.org/abs/physics/0612059 |
| DOI | 10.1016/j.physa.2007.05.034 |
Abstract
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.
{
"annotation_id": "57537621-ff07-4fb7-a784-71dc684320d4",
"date_created": "2026-03-02T18:01:14.403000Z",
"date_modified": "2026-03-02T18:01:14.403000Z",
"file_hash": "cfb0656280644625e05d4da37b6a70fde2c65e6ae3d9b4c10bb0b148617d3b93",
"private": false,
"record": {
"abstract": "We propose a route for the evaluation of risk based on a transformation of\nthe covariance matrix. The approach uses a `potential\u0027 or `objective\u0027 function.\nThis allows us to rescale data from different assets (or sources) such that\neach data set then has similar statistical properties in terms of their\nprobability distributions. The method is tested using historical data from both\nthe New York and Warsaw Stock Exchanges.",
"arxiv_id": "physics/0612059",
"authors": [
"Krzysztof Urbanowicz",
"Peter Richmond",
"Janusz A. Holyst"
],
"categories": [
"physics.data-an",
"physics.comp-ph",
"q-fin.ST"
],
"doi": "10.1016/j.physa.2007.05.034",
"title": "Risk evaluation with enhaced covariance matrix",
"url": "https://arxiv.org/abs/physics/0612059"
},
"schema_id": "dorsal/arxiv",
"source": {
"execution_id": "1538d01a-8fde-4f73-9216-60b30865a6c6",
"id": "arXiv Dataset IDs",
"type": "Model",
"variant": "snapshot-2026-03-01",
"version": "0.1.0"
},
"user_id": 1000002
}