Correlation matrix
Podcast: Piterbarg and Nowaczyk on running better backtests
Quants discuss new way to extract independent samples from correlated datasets
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