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Empirical Correlation Matrices
Description:
The estimation of correlations in a basket composed of 50 or more stocks is a major issue in finance, because of the high number of correlation coefficients (more than 1000) that need to be evaluated and the relatively small size of available time series. The idea of the project is to study various models that deal with this issue, and to compare their performance in practice.
Prerequisites:
The student should be at ease with probability. Prior knowledge
of stochastic calculus is a plus.
References:
Supervisor:
Olivier Lévêque (LTHI) * Email: olivier.leveque#epfl.ch * Office: INR-132 * tel: 38112