Correlation matrix
Markets perceive the future in very distorted ways
Discounting paradigms should adapt to be more realistic, says Jean-Philippe Bouchaud
Eigenportfolios of US equities for the exponential correlation model
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.
Invest on the edges to avoid contagion, research suggests
Loosely connected assets are better protected against market crashes
Quant of the year: Jean-Philippe Bouchaud
Risk Awards 2017: Physicist takes on classic models with data and empirical research
Cleaning correlation matrices
Bun, Bouchaud and Potters present a technique that allow cleaning in-sample noise from correlation matrixes