Potters, Marc
- Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets
2006/03/10 by Matthieu Wyart, Wyart, Matthieu, Jean‐Philippe Bouchaud +7 · 4 citations
Economics, Econometrics and Finance · Decision Sciences · #Financial Markets and Investment Strategies #Auction Theory and Applications #Complex Systems and Time Series Analysis
- The Student ensemble of correlation matrices: eigenvalue spectrum and Kullback-Leibler entropy
2007/10/03 by Biroli, Giulio, Bouchaud, Jean-Philippe, Potters, Marc · 2 citations
#Data Analysis #FOS: Economics and business #FOS: Physical sciences #Statistical Finance (q-fin.ST) #Statistical Mechanics (cond-mat.stat-mech) #Statistics and Probability (physics.data-an)
- Optimal cleaning for singular values of cross-covariance matrices
2019/01/16 by Benaych-Georges, Florent, Bouchaud, Jean-Philippe, Potters, Marc · 2 citations
#15B52 #60B20 #62G05 #FOS: Mathematics #Probability (math.PR) #Statistics Theory (math.ST)
- Large dimension forecasting models and random singular value spectra
2005/12/10 by Jean‐Philippe Bouchaud, Bouchaud, Jean-Philippe, Laurent Laloux +5 · 1 citation
Economics, Econometrics and Finance · Mathematics · Physics and Astronomy · #Complex Systems and Time Series Analysis #Data Analysis #FOS: Economics and business #FOS: Physical sciences #Random Matrices and Applications #Statistical Finance (q-fin.ST) #Statistical Mechanics (cond-mat.stat-mech) #Statistics and Probability (physics.data-an) #Theoretical and Computational Physics
- Agnostic Risk Parity: Taming Known and Unknown-Unknowns
2016/10/27 by Benichou, Raphael, Lempérière, Yves, Sérié, Emmanuel +4 · 1 citation
#FOS: Economics and business #Portfolio Management (q-fin.PM)
- Asymptotic behavior of the multiplicative counterpart of the Harish-Chandra integral and the S-transform
2020/07/18 by Mergny, Pierre, Potters, Marc · 1 citation
#FOS: Physical sciences #Mathematical Physics (math-ph) #Statistical Mechanics (cond-mat.stat-mech)
- Spectral Initialization for High-Dimensional Phase Retrieval with Biased Spatial Directions
2024/03/22 by Pierre Bousseyroux, Bousseyroux, Pierre, Marc Potters +1 · 1 citation
Engineering · Physics and Astronomy · #Advanced X-ray Imaging Techniques #Disordered Systems and Neural Networks (cond-mat.dis-nn) #FOS: Computer and information sciences #FOS: Mathematics #FOS: Physical sciences #Hydrocarbon exploration and reservoir analysis #Information Retrieval (cs.IR) #Probability (math.PR)
- Optimal Data Splitting for Holdout Cross-Validation in Large Covariance Matrix Estimation
2025/03/19 by Lamia Lamrani, Christian Bongiorno, Lamrani, Lamia +3 · 3 citations
Decision Sciences · Mathematics · #Applications (stat.AP) #FOS: Computer and information sciences #FOS: Economics and business #FOS: Mathematics #Portfolio Management (q-fin.PM) #Probability and Risk Models #Risk Management (q-fin.RM) #Statistical Methods and Bayesian Inference #Statistical Methods and Inference #Statistics Theory (math.ST)
- Excess Out-of-Sample Risk and Fleeting Modes
2022/05/02 by Jean‐Philippe Bouchaud, Iacopo Mastromatteo, Bouchaud, Jean-Philippe +5 · 1 citation
Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #Financial Risk and Volatility Modeling