5 papers
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=Ï_t ξ_t \in \mathb…
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_…
Random Matrices and U-Statistics
Florent Benaych-Georges, Tomas Espana
We introduce a family of coefficients based on U-statistics that generalize the notion of correlation and explore their properties in the large dimensional multivariate case, showi…
Reinforcement Learning in Queue-Reactive Models: Application to Optimal Execution
Tomas Espana, Yadh Hafsi, Fabrizio Lillo +1
We investigate the use of Reinforcement Learning for the optimal execution of meta-orders, where the objective is to execute incrementally large orders while minimizing implementat…
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…