Technologist talks artificial intelligence, angel investing and accidentally contributing to the Basel framework
In this paper, the eigendecomposition of a Toeplitz matrix populated by an exponential function in order to model empirical correlations of US equity returns is investigated.
Loosely connected assets are better protected against market crashes
Risk Awards 2017: Physicist takes on classic models with data and empirical research
Bun, Bouchaud and Potters present a technique that allow cleaning in-sample noise from correlation matrixes