1 citations · 1 across the 3 of their papers we have counts for
5 papers
Scalable Inversion of Contests with Correlated Performances, Including Softmax and Multinomial Probit
Peter Cotton
Multinomial probit choice probabilities over n alternatives are Gaussian orthant integrals, computed by simulation for thirty years, one expensive integral per alternative. Inversi…
Marginally Useful: An Information-Gap Identity in Conformal Prediction
Peter Cotton
Conformal prediction has been touted as a more formal, rigorous approach to adding uncertainty to a forecast. The sole objective of this note is to point out that rigor cuts both w…
On a Simple Relationship Between Order Imbalance, Skew and Width in Over-The-Counter Trading
Peter Cotton
We consider a market maker who can only obtain and dispose of inventory by responding to a sequence of sealed-bid enquiries, and whose customers arrive with imbalanced intent: sell…
Two Sides of Schur Damping: High-Dimensional Pseudo-Likelihoods and Portfolio Allocation
Peter Cotton
Two communities that rarely cite each other -- spatial statisticians fitting high-dimensional weather fields, and quantitative investors building portfolios -- have independently a…
Schur Complementary Allocation: A Unification of Hierarchical Risk Parity and Minimum Variance Portfolios
Peter Cotton
Despite many attempts to make optimization-based portfolio construction in the spirit of Markowitz robust and approachable, it is far from universally adopted. Meanwhile, the colle…