1.3k citations · 1.7k across the 10 of their papers we have counts for
10 papers
Deconstructing the Low-Vol Anomaly
S. Ciliberti, Y. Lempérière, A. Beveratos +4
We study several aspects of the so-called low-vol and low-beta anomalies, some already documented (such as the universality of the effect over different geographical zones), others…
Large dimension forecasting models and random singular value spectra
Jean-Philippe Bouchaud, Laurent Laloux, M. Augusta Miceli +1
We present a general method to detect and extract from a finite time sample statistically meaningful correlations between input and output variables of large dimensionality. Our ce…
Financial Applications of Random Matrix Theory: Old Laces and New Pieces
M. Potters, J. P. Bouchaud, L. Laloux
This contribution to the proceedings of the Cracow meeting on `Applications of Random Matrix Theory' summarizes a series of studies, some old and others more recent on financial ap…
Reply to Johansen's comment
Laurent Laloux, Marc Potters, Jean-Pierre Aguilar +1
This is a reply to Johansen's comment on `Are Financial Crashes Predictable?', by L. Laloux, M. Potters, R. Cont, J.P. Aguilar, J.P. Bouchaud, Europhys. Lett. 45, p. 1 (1999).
Noise Dressing of Financial Correlation Matrices
Laurent Laloux, Pierre Cizeau, Jean-Philippe Bouchaud +1
We show that results from the theory of random matrices are potentially of great interest to understand the statistical structure of the empirical correlation matrices appearing in…
Are Financial Crashes Predictable?
Laurent Laloux, Marc Potters, Rama Cont +2
We critically review recent claims that financial crashes can be predicted using the idea of log-periodic oscillations or by other methods inspired by the physics of critical pheno…