Challenges and Solutions in Measuring Correlations

For the fifth episode of Seeking Risk: The Fab Rick Show, Rick is joined by Jean-Philippe Bouchaud to discuss the disciplined applications for random matrix theory, scenario generation with agent-based models, and lost decades. Jean-Philippe Bouchaud's expertise combines physics and finance, often coined econophysics. Between chairman of Capital Fund Management, member of The French Academy of Science, and Professor of Physics at ENS Paris, Bouchaud is knowledgeable on complex systems. Bouchaud's proficient study of complex systems proves interesting when applied to the financial market.