Malgorzata Snarska

Cracow University of Economics

ul. Rakowicka 27

Krakow, 31-510

Poland

SCHOLARLY PAPERS

4

DOWNLOADS

504

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (4)

1.

Financial Applications of Random Matrix Theory – Dynamics of the Covariance Matrix

Ogólnopolskie Seminarium Naukowe, 4–6 wrzeœnia 2007 w Toruniu Katedra Ekonometrii i Statystyki, Uniwersytet Miko³aja Kopernika w Toruniu
Number of pages: 8 Posted: 23 Sep 2012
Malgorzata Snarska
Cracow University of Economics
Downloads 232 (171,118)

Abstract:

Loading...

Covariance Matrix, Dynamics, Random Matrix Theory, Portfolio selection

2.

Financial Applications of Random Matrix Theory – Covariance Matrix Filtering Techniques (Chapter 4)

Quantitative Finance Papers, Forthcoming
Number of pages: 11 Posted: 24 Sep 2012
Malgorzata Snarska
Cracow University of Economics
Downloads 124 (291,878)

Abstract:

Loading...

EWMA, Portfolio Selection, Temporal Correlations

3.

Automatic Trading Agent; RMT Based Portfolio Selection – Theoretical Aspects

Quantitative Finance Papers, January 2006
Number of pages: 15 Posted: 23 Sep 2012
Malgorzata Snarska
Cracow University of Economics
Downloads 81 (386,059)

Abstract:

Loading...

Random Matrix theory, Correlation Matrix, Portfolio Selection, Risk Management

4.

Does a Bank Levy Increase Frictions on the Interbank Market?

Number of pages: 32 Posted: 24 May 2018
Goethe University of Frankfurt, Warsaw School of Economics (SGH), Kozminski University and Cracow University of Economics
Downloads 67 (428,786)

Abstract:

Loading...

bank levy, interbank market, liquidity, money market, interbank rate, frictions