18 citations · 20 across the 3 of their papers we have counts for
2 papers
physics.data-an2005★ 1 cited
Large dimension forecasting models and random singular value spectra
Jean-Philippe Bouchaud, Laurent Laloux, M. Augusta Miceli +1
We present a general method to detect and extract from a finite time sample statistically meaningful correlations between input and output variables of large dimensionality. Our ce…
cond-mat2003★ 18 cited
Ultrametricity in Fund of Funds Diversification
Gabriele Susinno, Maria Augusta Miceli
Minimum market transparency requirements impose Hedge Fund (HF) managers to use the statement declared strategy in practice. However each declared strategy may actually origin a mu…