Suchergebnisse - "Potters, Marc"

Cleaning large correlation matrices: Tools from Random Matrix Theory von Bun, Joël, Bouchaud, Jean-Philippe, Potters, Marc

“… This review covers recent results concerning the estimation of large covariance matrices using tools from Random Matrix Theory (RMT). We introduce several RMT …”
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Rank one HCIZ at high temperature: interpolating between classical and free convolutions von Mergny, Pierre, Potters, Marc

“… We study the rank one Harish-Chandra-Itzykson-Zuber integral in the limit where \frac{N\beta}{2} \to c N β 2 → c , called the high-temperature regime and show …”
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More statistical properties of order books and price impact von Potters, Marc, Bouchaud, Jean-Philippe

“… We investigate present some new statistical properties of order books. We analyse data from the Nasdaq and investigate (a) the statistics of incoming limit …”
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Fluctuations and response in financial markets: the subtle nature of 'random' price changes von Bouchaud, Jean-Philippe, Gefen, Yuval, Potters, Marc, Wyart, Matthieu

“… Using trades and quotes data from the Paris stock market, we show that the random walk nature of traded prices results from a very delilcated interplay between …”
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Statistical properties of stock order books: empirical results and models von Bouchaud, Jean-Philippe, Mézard, Marc, Potters, Marc

“… We investigate several statistical properties of the order book of three liquid stocks of the Paris Bourse. The results are to a large degree independent of …”
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Leverage effect in financial markets: the retarded volatility model von Bouchaud, J P, Matacz, A, Potters, M

“… We investigate quantitatively the so-called "leverage effect," which corresponds to a negative correlation between past returns and future volatility. For …”
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Random walks, liquidity molasses and critical response in financial markets von Bouchaud, Jean-Philippe, Kockelkoren, Julien, Potters, Marc

“… Stock prices are observed to be random walks in time despite a strong, long-term memory in the signs of trades (buys or sells). Lillo and Farmer have recently …”
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Theory of financial risks : from statistical physics to risk management von Bouchaud, Jean-Philippe, Potters, Marc

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Theory of financial risks : from statistical physics to risk management von Bouchaud, Jean-Philippe, Potters, Marc

“… Summarizes recent theoretical developments inspired by statistical physics in the description of the potential moves in financial markets, and its application …”
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More stylized facts of financial markets: leverage effect and downside correlations von Bouchaud, Jean-Philippe, Potters, Marc

“… We discuss two more universal features of stock markets: the so-called leverage effect (a negative correlation between past returns and future volatility), and …”
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Rotational Invariant Estimator for General Noisy Matrices von Bun, Joel, Allez, Romain, Bouchaud, Jean-Philippe, Potters, Marc

“… We investigate the problem of estimating a given real symmetric signal matrix C from a noisy observation matrix M in the limit of large dimension. We consider …”
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An insect homolog of the vertebrate very low density lipoprotein receptor mediates endocytosis of lipophorins von Dantuma, N P, Potters, M, De Winther, M P, Tensen, C P, Kooiman, F P, Bogerd, J, Van der Horst, D J

“… A novel member of the low density lipoprotein (LDL) receptor family was identified, which is expressed in locust oocytes, fat body, brain, and midgut. This …”
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Instanton Approach to Large N Harish-Chandra-Itzykson-Zuber Integrals von Bun, J., Bouchaud, J. P., Majumdar, S. N., Potters, M.

“… We reconsider the large N asymptotics of Harish-Chandra-Itzykson-Zuber integrals. We provide, using Dyson's Brownian motion and the method of instantons, an …”
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Generalization of the Marčenko-Pastur problem von Bouchaud, Jean-Philippe, Potters, Marc

“… We study the spectrum of generalized Wishart matrices, defined as F=(XY^{⊤}+YX^{⊤})/2T, where X and Y are N×T matrices with zero mean, unit variance …”
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Deconstructing the Low-Vol Anomaly von Beveratos, Alexios, Bouchaud, Jean-Philippe, Ciliberti, Stefano, Laloux, Laurent, Lempérière, Yves, Potters, Marc, Simon, Guillaume

“… The authors study several aspects of the so-called low-vol and low-β anomalies, some of which are already well documented (such as the universality of the …”
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Relation between bid-ask spread, impact and volatility in order-driven markets von Wyart, Matthieu, Bouchaud, Jean-Philippe, Kockelkoren, Julien, Potters, Marc, Vettorazzo, Michele

“… We show that the cost of market orders and the profit of infinitesimal market-making or -taking strategies can be expressed in terms of directly observable …”
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Right large deviation principle for the top eigenvalue of the sum or product of invariant random matrices von Mergny, Pierre, Potters, Marc

“… In this note we study the right large deviation of the top eigenvalue (or singular value) of the sum or product of two random matrices \(\mathbf{A}\) and …”
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Rank one HCIZ at high temperature: interpolating between classical and free convolutions von Mergny, Pierre, Potters, Marc

“… We study the rank one Harish-Chandra-Itzykson-Zuber integral in the limit where \(\frac{N \beta}{2} \to c \), called the high temperature regime and show that …”
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Spectral Initialization for High-Dimensional Phase Retrieval with Biased Spatial Directions von Bousseyroux, Pierre, Potters, Marc

“… We explore a spectral initialization method that plays a central role in contemporary research on signal estimation in nonconvex scenarios. In a noiseless …”
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On a Generalisation of the Marcenko-Pastur Problem von Bouchaud, Jean-Philippe, Potters, Marc

“… We study the spectrum of generalized Wishart matrices, defined as \(\mathbf{F}=( X Y^\top + Y X^\top)/2T\), where \(X\) and \(Y\) are \(N \times T\) matrices …”
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