Application of noise level estimation for portfolio optimization

Simple item page
dc.creatorUrbanowicz, Krzysztof
dc.creatorHolyst, Janusz A.
dc.date2005-03-31
dc.date.accessioned2026-07-07T12:07:31Z
dc.date.available2026-07-07T12:07:31Z
dc.descriptionTime changes of noise level at Warsaw Stock Market are analyzed using a recently developed method basing on properties of the coarse grained entropy. The condition of the minimal noise level is used to build an efficient portfolio. Our noise level approach seems to be a much better tool for risk estimations than standard volatility parameters. Implementation of a corresponding threshold investment strategy gives positive returns for historical data.
dc.description5 pages, 4 figures, Proceedings of the Third Nikkei Conference. See http://www.chaosandnoise.org
dc.identifierhttps://arxiv.org/abs/physics/0503242
dc.identifierhttp://arxiv.org/abs/physics/0503242
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208996
dc.subjectPhysics and Society
dc.subjectStatistical Finance
dc.titleApplication of noise level estimation for portfolio optimization
dc.typetext

Files

Collections

arXiv