Correlation matrix
Adjoint differentiation for generic matrix functions
The authors develop and apply a formula to derive closed-form expressions in particular quantitative finance cases.
Invest on the edges to avoid contagion, research suggests
Loosely connected assets are better protected against market crashes
Quant of the year: Jean-Philippe Bouchaud
Risk Awards 2017: Physicist takes on classic models with data and empirical research
Cleaning correlation matrices
Bun, Bouchaud and Potters present a technique that allow cleaning in-sample noise from correlation matrixes