Skip to content
Log in
Sponsored AI AM CLAUDE, A Beginner's Guide: Learn the basics of working with AI AI AM CLAUDE, A Beginner's Guide: Learn the basics of working with AI

Author

Matteo Smerlak

h-index 1 View on Semantic Scholar

We have 2 of 5 papers

We haven’t gathered this author’s papers yet. Follow them and we’ll fetch their work.

Not the right person? Other researchers publish under this name.

Preprint Oct 2026

Optimal Trading Filters and the Value of Predictive Signals

The value of a forecast depends on its accuracy, but also on its actionability. In trading, an investor must translate return forecasts into positions while accounting for trading costs and the lingering impact of earlier trades. We solve the stationary quadratic trading problem with transient price impact using tools...

Matteo Smerlak · 0 citations
Preprint Jul 2026

Spectra of high-dimensional Spearman correlation matrices under scale-mixture dependence

We study the asymptotic spectral properties of high-dimensional Spearman correlation matrices for scale-mixture data. We consider observations of the form $x_t=\sigma_t \xi_t \in \mathbb{R}^N,$ where the coordinates of $\xi_t$ are i.i.d.\ and the scalar mixture variable $\sigma_t$ is shared by all coordinates. Under na...

J. Bouchaud, Pierre Bousseyroux, Tomas Espana et al. · 0 citations

We use cookies to run the site and, with your consent, for analytics and to show ads. See our Cookie Policy.