1.3k citations · 3.3k across the 48 of their papers we have counts for
Showing 2022Show all
2 papers · 1 filter
q-fin.PM2022★ 1 cited
Excess Out-of-Sample Risk and Fleeting Modes
Jean-Philippe Bouchaud, Iacopo Mastromatteo, Marc Potters +1
Using Random Matrix Theory, we propose a universal and versatile tool to reveal the existence of "fleeting modes", i.e. portfolios that carry statistically significant excess risk,…
math-ph2022★ 4 cited
Right large deviation principle for the top eigenvalue of the sum or product of invariant random matrices
Pierre Mergny, Marc Potters
In this note we study the right large deviation of the top eigenvalue (or singular value) of the sum or product of two random matrices and as their dimens…