no code implementations • 2 May 2022 • Jean-Philippe Bouchaud, Iacopo Mastromatteo, Marc Potters, Konstantin Tikhonov
Using Random Matrix Theory, we propose a universal and versatile tool to reveal the existence of "fleeting modes", i. e. portfolios that carry statistically significant excess risk, signalling ex-post a change in the correlation structure in the underlying asset space.
