71 citations · 258 across the 47 of their papers we have counts for
52 papers
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…
A short proof of Ledoit-Péché's RIE formula for covariance matrices
Florent Benaych-Georges
This is a short proof of Ledoit-Péché's RIE formula for covariance matrices. The proof is based on the Stein formula, which gives a very simple way to derive the result. One of the…
Matrix addition and the Dunkl transform at high temperature
Florent Benaych-Georges, Cesar Cuenca, Vadim Gorin
We develop a framework for establishing the Law of Large Numbers for the eigenvalues in the random matrix ensembles as the size of the matrix goes to infinity simultaneously with t…
Equity Factors: To Short Or Not To Short, That Is The Question
Florent Benaych-Georges, Jean-Philippe Bouchaud, Stefano Ciliberti
What is the best market-neutral implementation of classical Equity Factors? Should one use the specific predictability of the short-leg to build a zero beta Long-Short portfolio, i…
Optimal cleaning for singular values of cross-covariance matrices
Florent Benaych-Georges, Jean-Philippe Bouchaud, Marc Potters
We give a new algorithm for the estimation of the cross-covariance matrix of two large dimensional signals , in the context w…
Eigenvectors of non normal random matrices
Florent Benaych-Georges, Ofer Zeitouni
We study the angles between the eigenvectors of a random complex matrix with density and convex.…