1 citations · 1 across the 2 of their papers we have counts for
2 papers
cond-mat.stat-mech2025
Eigenvector overlaps of sample covariance matrices with intersecting time periods
Volodymyr Riabov, Konstantin Tikhonov, Jean-Philippe Bouchaud
We compute exactly the overlap between the eigenvectors of two large empirical covariance matrices computed over intersecting time intervals, generalizing the results obtained prev…
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,…