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Author: personID (integer) : 1049030

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

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

The Oracle estimator is suboptimal for global minimum variance portfolio optimisation

Christian Bongiorno , Damien Challet
2021
Preprints, Working Papers, ... hal-03491913v1

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

Cleaning the covariance matrix of strongly nonstationary systems with time-independent eigenvalues

Christian Bongiorno , Damien Challet , Grégoire Loeper
2021
Preprints, Working Papers, ... hal-03481441v1

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