An Interdisciplinary Journal

2007, Vol.10, No.2, pp.127-135

Econophysics - Financial Correlations as an Example.
Thomas Guhr

This contribution is dedicated to Professor Siegfried Groβssmann on the occasion of his 75th birthday. Econophysics is a quickly growing branch of statistical physics. An attempt is made to give an introduction to the field by discussing a particular issue which presently receives much attention: Precise knowledge of the correlations between the prices of different stocks is needed to construct an optimal portfolio. It turns out that the measured correlations are often noise-dressed. Methods to estimate this effect and to remove the noise are of considerable practical interest.
Key words: econophysics, financial correlations, noise reduction

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