IDEAS home Printed from https://ideas.repec.org/a/gam/jijfss/v6y2018i1p19-d130658.html
   My bibliography  Save this article

Noise Reduction in a Reputation Index

Author

Listed:
  • Peter Mitic

    (Santander UK, 2 Triton Square, Regent’s Place, London NW1 3AN, UK
    Department of Computer Science, University College London, Gower Street, London WC1E 6BT, UK
    Laboratoire d’Excellence sur la Régulation Financière (LabEx ReFi), 75272 Paris, France)

Abstract

Assuming that a time series incorporates “signal” and “noise” components, we propose a method to estimate the extent of the “noise” component by considering the smoothing properties of the state-space of the time series. A mild degree of smoothing in the state-space, applied using a Kalman filter, allows for noise estimation arising from the measurement process. It is particularly suited in the context of a reputation index, because small amounts of noise can easily mask more significant effects. Adjusting the state-space noise measurement parameter leads to a limiting smoothing situation, from which the extent of noise can be estimated. The results indicate that noise constitutes approximately 10% of the raw signal: approximately 40 decibels. A comparison with low pass filter methods (Butterworth in particular) is made, although low pass filters are more suitable for assessing total signal noise.

Suggested Citation

  • Peter Mitic, 2018. "Noise Reduction in a Reputation Index," IJFS, MDPI, vol. 6(1), pages 1-18, February.
    • Handle: RePEc:gam:jijfss:v:6:y:2018:i:1:p:19-:d:130658
    as

    Download full text from publisher

    File URL: https://www.mdpi.com/2227-7072/6/1/19/pdf
    Download Restriction: no
    File URL: https://www.mdpi.com/2227-7072/6/1/19/
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Peter Mitic, 2017. "Standardised Reputation Measurement," Papers 1705.09955, arXiv.org.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Leunglung Chan, 2018. "Editorial for Special Issue “Finance, Financial Risk Management and their Applications”," IJFS, MDPI, vol. 6(4), pages 1-3, October.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.

      Corrections

      All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gam:jijfss:v:6:y:2018:i:1:p:19-:d:130658. See general information about how to correct material in RePEc.

      If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

      If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

      If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

      For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: MDPI Indexing Manager (email available below). General contact details of provider: https://www.mdpi.com .

      Please note that corrections may take a couple of weeks to filter through the various RePEc services.

      IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.