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Abstract

This is an informal and sketchy review of six topical, somewhat unrelated subjects in quantitative finance: rough volatility models; random covariance matrix theory; copulas; crowded trades; high-frequency trading & market stability; and "radical complexity" & scenario based (macro)economics. Some open questions and research directions are briefly discussed.

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Cleaning Correlation Matrices
• J Bun
• J P Bouchaud
• M Potters
Bun, J., Bouchaud, J.P., & Potters, M. (2016). Cleaning Correlation Matrices, https://www.risk.net/risk-magazine/technical-paper/2452666
The Handbook of Agent Based Modelling
• C C Mounfield
Mounfield, C. C. (2021). The Handbook of Agent Based Modelling. Cambridge University Press.