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researcher

Sébastien Valeyre

8 papers hereh-index 322 citations11 works total

Matching runs newest-first, so older work may not be attached to this profile yet.

author position
  • sole author3
  • first author5

Across the 8 of 8 papers where every author was matched, so the position is known.

fields
  • q-fin.PM4
  • q-fin.GN1
  • q-fin.RM1
  • q-fin.ST1
  • q-fin.TR1

identity via Semantic Scholar / OpenAlex

activity
20122025
most citedThe Reactive Volatility Model

5 citations · 8 across the 7 of their papers we have counts for

collaborators
Showing 2018Show all

1 paper · 1 filter

q-fin.TR2018★ 3 cited

Emergence of correlations between securities at short time scales

S. Valeyre, D. S. Grebenkov, S. Aboura

The correlation matrix is the key element in optimal portfolio allocation and risk management. In particular, the eigenvectors of the correlation matrix corresponding to large eige…

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Not affiliated with arXiv. Researcher data from Semantic Scholar (ODC-BY) and OpenAlex.