313 citations · 2.3k across the 31 of their papers we have counts for
3 papers · 2 filters
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…
Trend followers lose more often than they gain
Marc Potters, Jean-Philippe Bouchaud
We solve exactly a simple model of trend following strategy, and obtain the analytical shape of the profit per trade distribution. This distribution is non trivial and has an optio…
Financial Applications of Random Matrix Theory: Old Laces and New Pieces
M. Potters, J. P. Bouchaud, L. Laloux
This contribution to the proceedings of the Cracow meeting on `Applications of Random Matrix Theory' summarizes a series of studies, some old and others more recent on financial ap…