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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{…
Non-Equilibrium Economics: A Physicist's Point of View
Jean-Philippe Bouchaud
Financial and economic history is strewn with bubbles and crashes, booms and busts, crises and upheavals of all sorts. Understanding the origin of these events is arguably one of t…
Is Trend Still Your Friend?: A Microstructural Account of the Demise of Short-Term Trend-Following
Jutta G. Kurth, Zoltan Eisler, Adam Rej +1
Systematic trend following has, on average, been profitable for at least two centuries; yet since approximately 2009, short-term trends have ceased to deliver reliable returns. Usi…
Do Venture Capitalists Beat Random Allocation?
Max Sina Knicker, Jean-Philippe Bouchaud, Michael Benzaquen
Venture capital outcomes are dominated by a small number of extreme successes, making it difficult to distinguish investor skill from favorable realizations in a highly skewed retu…
Random Matrix Theory of Early-Stopped Gradient Flow: A Transient BBP Scenario
Florentin Coeurdoux, Grégoire Ferré, Jean-Philippe Bouchaud
Empirical studies of trained models often report a transient regime in which signal is detectable in a finite gradient descent time window before overfitting dominates. We provide…
Mandelbrot, Financial Markets and the Origins of "Econophysics"
Jean-Philippe Bouchaud
This text revisits the origins of econophysics through the figure of Benoît Mandelbrot, not as the father of fractals, but as the instigator of a distinctive scientific posture. Th…