3 citations · 6 across the 5 of their papers we have counts for
3 papers · 1 filter
Physics-Informed Singular-Value Learning for Cross-Covariances Forecasting in Financial Markets
Efstratios Manolakis, Christian Bongiorno, Rosario Nunzio Mantegna
Recent advances in nonlinear shrinkage yield asymptotically optimal cleaners for large covariance matrices and have been extended to empirical cross-covariances via singular-value…
Multivariate Distributions in Non-Stationary Complex Systems II: Empirical Results for Correlated Stock Markets
Anton J. Heckens, Efstratios Manolakis, Cedric Schuhmann +1
Multivariate Distributions are needed to capture the correlation structure of complex systems. In previous works, we developed a Random Matrix Model for such correlated multivariat…
Multivariate Distributions in Non-Stationary Complex Systems I: Random Matrix Model and Formulae for Data Analysis
Efstratios Manolakis, Anton J. Heckens, Benjamin Köhler +1
Risk assessment for rare events is essential for understanding systemic stability in complex systems. As rare events are typically highly correlated, it is important to study heavy…