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Impact-adjusted valuation and the criticality of leverage
Impact-adjusted valuation criticality of leverage Risk Management
2012/4/28
The practice of valuation by marking-to-market with current trading prices is seriously flawed. Under leverage the problem is particularly dramatic: due to the concave form of market impact, selling a...
On the criticality of inferred models
inference techniques high dimensional data sets the model's susceptibility
2011/3/23
Advanced inference techniques allow one to reconstruct the pattern of interaction from high dimensional data sets. We focus here on the statistical properties of inferred models and argue that inferen...
