4 papers
Optimal Trading Filters and the Value of Predictive Signals
Matteo Smerlak
The value of a forecast depends on its accuracy, but also on its actionability. In trading, an investor must translate return forecasts into positions while accounting for trading…
Spectra of high-dimensional Spearman correlation matrices under scale-mixture dependence
Jean-Philippe Bouchaud, Pierre Bousseyroux, Tomas Espana +1
We study the asymptotic spectral properties of high-dimensional Spearman correlation matrices for scale-mixture data. We consider observations of the form $x_t=σ_t ξ_t \in \mathbb{…
Another Marcenko-Pastur law for Kendall's tau
Pierre Bousseyroux, Tomas Espana, Matteo Smerlak
Bandeira et al. (2017) show that the eigenvalues of the Kendall correlation matrix of i.i.d. random vectors in are asymptotically distributed like $1/3 + (2/3)Y_…
Kendall Correlation Coefficients for Portfolio Optimization
Tomas Espana, Victor Le Coz, Matteo Smerlak
Markowitz's optimal portfolio relies on the accurate estimation of correlations between asset returns, a difficult problem when the number of observations is not much larger than t…