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06/21/2022
Statistical inference of lead-lag at various timescales between asynchronous time series from p-values of transfer entropy
Symbolic transfer entropy is a powerful non-parametric tool to detect le...
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12/14/2021
The Oracle estimator is suboptimal for global minimum variance portfolio optimisation
A common misconception is that the Oracle eigenvalue estimator of the co...
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11/25/2021
Cleaning the covariance matrix of strongly nonstationary systems with time-independent eigenvalues
We propose a data-driven way to clean covariance matrices in strongly no...
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03/10/2021
Financial factors selection with knockoffs: fund replication, explanatory and prediction networks
We apply the knockoff procedure to factor selection in finance. By build...
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05/18/2020
Reactive Global Minimum Variance Portfolios with k-BAHC covariance cleaning
We introduce a k-fold boosted version of our Boostrapped Average Hierarc...
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03/12/2020
Covariance matrix filtering with bootstrapped hierarchies
Statistical inference of the dependence between objects often relies on ...
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01/30/2020
Nonparametric sign prediction of high-dimensional correlation matrix coefficients
We introduce a method to predict which correlation matrix coefficients a...
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09/11/2019
Deep Prediction of Investor Interest: a Supervised Clustering Approach
We propose a novel deep learning architecture suitable for the predictio...
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01/03/2019