We revisit the index leverage effect, that can be decomposed into a volatility effect and a
correlation effect. We investigate the latter using a matrix regression analysis, that we call ‘…

The authors advocate the use of agnostic allocation for the construction of long-only portfolios
of stocks. Agnostic allocation portfolios (AAPs) are a special member of a family of risk-…

We advocate the use of Agnostic Allocation for the construction of long-only portfolios of
stocks. We show that Agnostic Allocation Portfolios (AAPs) are a special member of a family of …

… Majumdar, Pierre-Alain Reigneron et Pierpaolo Vivo. Je suis tr`es reconnaissant `a Alice …
C’est un plaisir de remercier également Pierre-Alain Reigneron pour une de mes toutes …

The real world is perceived and broken down as data, models and algorithms in the eyes of
physicists and engineers. Data is noisy by nature and classical statistical tools have so far …

We establish several new stylized facts concerning the intra-day seasonalities of stock
dynamics. Beyond the well-known U-shaped pattern of the volatility, we find that the average …

… Thanks go to Gautier Boucher and Pierre-Alain Reigneron for research assistance. Lautier
and Raynaud gratefully acknowledge support from the Chair Finance and Sustainable …

We apply the concepts of mutual information and information flows and we built directed
graphs to investigate empirically the propagation of price fluctuations across a futures term …

To what extent are futures prices interconnected across the maturity curve? Where in the
term structure do price shocks originate, and which maturities do they reach? We propose a …

We introduce a covariance cleaning method which works well in the very high-dimensional
regime, ie when there are many more assets than data points per asset. This opens the way …