Ilya Manaev is a software developer working for Nordigy, Saint-Petersburg. Before Nordigy Manaev worked for Sberbank Technology and St.Petersburg Informational-Analytics Center. The primal research interests, before turning to software development, comprised dynamical systems and computational economics. Manaev holds a master’s degree in mathematics in St.Petersburg State University.
The authors consider the problem of finding a valid covariance matrix in the foreign exchange market given an initial nonpositively semidefinite (non-PSD) estimate of such a matrix.