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Optimal Covariance Cleaning for Heavy-Tailed Distributions: Insights from Information Theory
Christian Bongiorno
,
Marco Berritta
2023
Preprints, Working Papers, ...
hal-04084351v1
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Nonparametric sign prediction of high-dimensional correlation matrix coefficients
Christian Bongiorno
,
Damien Challet
2019
Preprints, Working Papers, ...
hal-02335586v1
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Vector-based Pedestrian Navigation in Cities
Christian Bongiorno
,
Yulun Zhou
,
Marta Kryven
,
David Theurel
,
Alessandro Rizzo
,
et al.
2021
Preprints, Working Papers, ...
hal-03168957v1
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Nested partitions from hierarchical clustering statistical validation
Christian Bongiorno
,
Salvatore Miccichè
,
Rosario N Mantegna
2019
Preprints, Working Papers, ...
hal-02157744v1
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Financial factors selection with knockoffs: fund replication, explanatory and prediction networks
Damien Challet
,
Christian Bongiorno
,
Guillaume Pelletier
2023
Preprints, Working Papers, ...
hal-03165842v1
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The Oracle estimator is suboptimal for global minimum variance portfolio optimisation
Christian Bongiorno
,
Damien Challet
2021
Preprints, Working Papers, ...
hal-03491913v1
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Reactive Global Minimum Variance Portfolios with $k-$BAHC covariance cleaning
Christian Bongiorno
,
Damien Challet
2020
Preprints, Working Papers, ...
hal-02612262v1
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A multi-layer network model to assess school opening policies during the COVID-19 vaccination campaign
Christian Bongiorno
,
Lorenzo Zino
2021
Preprints, Working Papers, ...
hal-03146770v1
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Bootstraps Regularize Singular Correlation Matrices
Christian Bongiorno
2020
Preprints, Working Papers, ...
hal-02536278v1
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Cleaning the covariance matrix of strongly nonstationary systems with time-independent eigenvalues
Christian Bongiorno
,
Damien Challet
,
Grégoire Loeper
2021
Preprints, Working Papers, ...
hal-03481441v1
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Statistical inference of lead-lag at various timescales between asynchronous time series from p-values of transfer entropy
Christian Bongiorno
,
Damien Challet
2023
Preprints, Working Papers, ...
hal-04021505v1
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Covariance matrix filtering with bootstrapped hierarchies
Christian Bongiorno
,
Damien Challet
2020
Preprints, Working Papers, ...
hal-02506848v1
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