684 citations · 1.2k across the 32 of their papers we have counts for
5 papers · 1 filter
The effect of social balance on social fragmentation
Tuan Minh Pham, Imre Kondor, Rudolf Hanel +1
With the availability of cell phones, internet, social media etc. the interconnectedness of people within most societies has increased drastically over the past three decades. Acro…
Noise sensitivity of portfolio selection under various risk measures
Imre Kondor, Szilard Pafka, Gabor Nagy
We study the sensitivity to estimation error of portfolios optimized under various risk measures, including variance, absolute deviation, expected shortfall and maximal loss. We in…
On the Feasibility of Portfolio Optimization under Expected Shortfall
Stefano Ciliberti, Imre Kondor, Marc Mezard
We address the problem of portfolio optimization under the simplest coherent risk measure, i.e. the expected shortfall. As it is well known, one can map this problem into a linear…
Modeling bursts and heavy tails in human dynamics
A. Vazquez, J. Gama Oliveira, Z. Dezso +3
Current models of human dynamics, used from risk assessment to communications, assume that human actions are randomly distributed in time and thus well approximated by Poisson proc…
Random Matrix Filtering in Portfolio Optimization
Gabor Papp, Szilard Pafka, Maciej A. Nowak +1
We study empirical covariance matrices in finance. Due to the limited amount of available input information, these objects incorporate a huge amount of noise, so their naive use in…