Jiali Xu

Societe Generale

52 Place de l'Ellipse

La Défense, 92000

France

SCHOLARLY PAPERS

7

DOWNLOADS

713

SSRN CITATIONS

3

CROSSREF CITATIONS

10

Scholarly Papers (7)

Random Matrix Theory Applied to Correlations in Operational Risk

Number of pages: 28 Posted: 30 Mar 2015
Société Générale, Société Générale, Sciences Po - Sciences Po, Students, Societe Generale and Société Générale
Downloads 262 (146,498)

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operational risk modeling, correlation and dependence measures, random matrix theory, small samples, ORX database, factor models

Random Matrix Theory Applied to Correlations in Operational Risk

Journal of Operational Risk, Vol. 10, No. 4, 2015
Number of pages: 28 Posted: 02 Jul 2016
Société Générale, Société Générale, Sciences Po - Sciences Po, Students, Societe Generale and Société Générale
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operational risk modeling, correlation and dependence measures, random matrix theory, small samples, ORX database, factor models

2.

Financial Applications of Gaussian Processes and Bayesian Optimization

Number of pages: 42 Posted: 03 Apr 2019
Ecole Normale Supérieure (ENS) de Lyon, Amundi Asset Management, Amundi Asset Management and Societe Generale
Downloads 118 (293,228)
Citation 5

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Gaussian process, Bayesian optimization, machine learning, kernel function, hyperparameter selection, regularization, time-series prediction, asset allocation, portfolio optimization, trend-following strategy, moving-average estimator, ADMM, Cholesky trick

3.

Improving the Robustness of Trading Strategy Backtesting with Boltzmann Machines and Generative Adversarial Networks

Number of pages: 72 Posted: 05 Aug 2020
Amundi Asset Management, affiliation not provided to SSRN, Amundi Asset Management and Societe Generale
Downloads 115 (298,473)

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Machine learning, generative approach, discriminative approach, restricted Boltzmann machine, generative adversarial network, Wasserstein distance, market generator, quantitative asset management, backtesting, trading strategy

The Benefit of Using Random Matrix Theory to Fit High-Dimensional T-Copulas

Number of pages: 19 Posted: 19 Mar 2016 Last Revised: 22 Mar 2016
Jiali Xu and Loïc Brin
Societe Generale and Société Générale
Downloads 96 (339,756)

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Random Matrix Theory, Denoising technique, Student's t-copulas, Large Dimension, Risk Modeling, Operational Risk

The Benefit of Using Random Matrix Theory to Fit High-Dimensional T-Copulas

Journal of Operational Risk, Forthcoming
Number of pages: 21 Posted: 02 Nov 2016
Jiali Xu and Loïc Brin
Societe Generale and Société Générale
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random matrix theory (RMT), denoising technique, t-copulas, large dimension, risk modeling, operational risk

5.

Unsupervised Learning Applied to the Grouped t-Copula or the Modeling of Real-Life Dependence

Number of pages: 28 Posted: 17 Jan 2018
Société Générale, Société Générale, Société Générale, Sciences Po - Sciences Po, Students and Societe Generale
Downloads 74 (394,272)

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grouped t-copula, statistical clustering, correlation and dependence measures, tail dependence, copula calibration

6.

A Note on Portfolio Optimization with Quadratic Transaction Costs

Number of pages: 18 Posted: 22 Sep 2020
National School for Statistical and Economic Administration (ENSAE), Amundi Asset Management, Amundi Asset Management and Societe Generale
Downloads 48 (486,262)

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Portfolio allocation, mean-variance optimization, transaction cost, quadratic programming, alternating direction method of multipliers

7.

Factor Investing in Currency Markets: Does it Make Sense?

The Journal of Portfolio Management Quantitative Special Issue 2020, 46 (2) 141-155; DOI: https://doi.org/10.3905/jpm.2019.1.116
Posted: 09 Jul 2019
Paris School of Economics (PSE), Université Paris I Panthéon-Sorbonne, Banque de France, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management and Societe Generale

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foreign exchange rates, factor investing, carry, value, momentum, reversal, interest rate parity, purchasing power parity, BEER, FEER, NATREX, cross-section analysis, time-series analysis, risk premium, basket hedging, overlay management, risk aggregation, alpha strategy