Seminar series
Date
Thu, 06 Feb 2020
Time
16:00 -
17:00
Location
L4
Speaker
Jean Philippe Bouchaud
Organisation
Capital Fund Management
Whereas the spectral properties of random matrices has been the subject of numerous studies and is well understood, the statistical properties of the corresponding eigenvectors has only been investigated in the last few years. We will review several recent results and emphasize their importance for cleaning empirical covariance matrices, a subject of great importance for financial applications.