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Found 4 papers, 1 papers with code
Spectral Initialization for High-Dimensional Phase Retrieval with Biased Spatial Directions
We explore a spectral initialization method that plays a central role in contemporary research on signal estimation in nonconvex scenarios.
Excess Out-of-Sample Risk and Fleeting Modes
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.
Hedged Monte-Carlo: low variance derivative pricing with objective probabilities
We propose a new `hedged' Monte-Carlo (HMC) method to price financial derivatives, which allows to determine simultaneously the optimal hedge.
cond-mat
Noise Dressing of Financial Correlation Matrices
We show that results from the theory of random matrices are potentially of great interest to understand the statistical structure of the empirical correlation matrices appearing in the study of price fluctuations.
cond-mat
