arXiv stat.ML
· Papers
Physics-Informed Singular-Value Learning for Cross-Covariances Forecasting in Financial Markets
arXiv:2601.07687v3 Announce Type: replace-cross Abstract: Recent advances in nonlinear shrinkage yield asymptotically optimal cleaners for large covariance matrices and have been extended to empirical cross-covariances via singular-value shrinkage. However, these approaches rely on stationarity and bounded-spectrum ass