• 1544 Citations
  • 19 h-Index
1968 …2019
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Research Output 1968 2019

  • 1544 Citations
  • 19 h-Index
  • 51 Article
  • 2 Chapter
  • 1 Conference contribution
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Article
2019

Analytic approach to variance optimization under an ℓ 1 constraint

Kondor, I., Papp, G. & Caccioli, F., Jan 1 2019, In : European Physical Journal B. 92, 1, 8.

Research output: Contribution to journalArticle

Error analysis
optimization
Constrained optimization
physical exercise
replicas
Open Access
Expected Shortfall
Portfolio Optimization
Estimation Error
Regularization
Trade-offs
2017
6 Citations (Scopus)

Analytic solution to variance optimization with no short positions

Kondor, I., Papp, G. & Caccioli, F., Dec 12 2017, In : Journal of Statistical Mechanics: Theory and Experiment. 2017, 12, 123402.

Research output: Contribution to journalArticle

Analytic Solution
optimization
Optimization
estimators
Optimization Problem
2 Citations (Scopus)

Portfolio optimization under Expected Shortfall: contour maps of estimation error

Caccioli, F., Kondor, I. & Papp, G., Nov 18 2017, (Accepted/In press) In : Quantitative Finance. p. 1-19 19 p.

Research output: Contribution to journalArticle

Portfolio optimization
Expected shortfall
Estimation error
Sample size
Confidence
2016
10 Citations (Scopus)

Liquidity risk and instabilities in portfolio optimization

Caccioli, F., Kondor, I., Marsili, M. & Still, S., Aug 1 2016, In : International Journal of Theoretical and Applied Finance. 19, 5, 1650035.

Research output: Contribution to journalArticle

Liquidity risk
Portfolio optimization
Coherent measures of risk
Risk measures
Expected shortfall
2014
3 Citations (Scopus)

Strong random correlations in networks of heterogeneous agents

Kondor, I., Csabai, I., Papp, G., Mones, E., Czimbalmos, G. & Sándor, M. C., Oct 1 2014, In : Journal of Economic Interaction and Coordination. 9, 2, p. 203-232 30 p.

Research output: Contribution to journalArticle

Heterogeneous agents
Node
Numerical simulation
Graph
Systemic risk
3 Citations (Scopus)

The interrupted power law and the size of shadow banking

Fiaschi, D., Kondor, I., Marsili, M. & Volpati, V., Apr 11 2014, In : PLoS One. 9, 4, e94237.

Research output: Contribution to journalArticle

banking
Growth
assets
tail
growth models
2013
14 Citations (Scopus)

Optimal liquidation strategies regularize portfolio selection

Caccioli, F., Still, S., Marsili, M. & Kondor, I., Jul 2013, In : European Journal of Finance. 19, 6, p. 554-571 18 p.

Research output: Contribution to journalArticle

Market impact
Portfolio selection
Optimal liquidation
Expected shortfall
Optimization problem
2011
4 Citations (Scopus)

Large random correlations in individual mean field spin glass samples

Billoire, A., Kondor, I., Lukic, J. & Marinari, E., Feb 2011, In : Journal of Statistical Mechanics: Theory and Experiment. 2011, 2, P02009.

Research output: Contribution to journalArticle

Spin Glass
Mean Field
spin glass
Phase Space
Long-range Correlations
2010
5 Citations (Scopus)

Instability of portfolio optimization under coherent risk measures

Kondor, I. & Varga-Haszonits, I., Jun 2010, In : Advances in Complex Systems. 13, 3, p. 425-437 13 p.

Research output: Contribution to journalArticle

10 Citations (Scopus)

Regularizing portfolio optimization

Still, S. & Kondor, I., Jul 30 2010, In : New Journal of Physics. 12, 075034.

Research output: Contribution to journalArticle

optimization
learning theory
norms
budgets
regression analysis
2008
3 Citations (Scopus)

Divergent estimation error in portfolio optimization and in linear regression

Kondor, I. & Varga-Haszonits, I., Aug 2008, In : European Physical Journal B. 64, 3-4, p. 601-605 5 p.

Research output: Contribution to journalArticle

Linear regression
Error analysis
regression analysis
operations research
medical science
7 Citations (Scopus)

The instability of downside risk measures

Varga-Haszonits, I. & Kondor, I., 2008, In : Journal of Statistical Mechanics: Theory and Experiment. 2008, 12, P12007.

Research output: Contribution to journalArticle

Expected Shortfall
Risk Measures
Replica Method
Portfolio Optimization
optimization
2007
10 Citations (Scopus)

Noise sensitivity of portfolio selection in constant conditional correlation GARCH models

Varga-Haszonits, I. & Kondor, I., Nov 1 2007, In : Physica A: Statistical Mechanics and its Applications. 385, 1, p. 307-318 12 p.

Research output: Contribution to journalArticle

GARCH Model
Portfolio Selection
Stock Prices
matrix theory
noise measurement
55 Citations (Scopus)

Noise sensitivity of portfolio selection under various risk measures

Kondor, I., Pafka, S. & Nagy, G., May 2007, In : Journal of Banking and Finance. 31, 5, p. 1545-1573 29 p.

Research output: Contribution to journalArticle

Portfolio selection
Risk measures
Phase transition
Deviation
Critical value
19 Citations (Scopus)

On the feasibility of portfolio optimization under expected shortfall

Ciliberti, S., Kondor, I. & Mézard, M., Aug 2007, In : Quantitative Finance. 7, 4, p. 389-396 8 p.

Research output: Contribution to journalArticle

Portfolio optimization
Expected shortfall
Linear programming
Coherent risk measures
Assets
2006
462 Citations (Scopus)

Modeling bursts and heavy tails in human dynamics

Vázquez, A., Oliveira, J. G., Dezsö, Z., Goh, K. I., Kondor, I. & Barabási, A. L., 2006, In : Physical Review E - Statistical, Nonlinear, and Soft Matter Physics. 73, 3, 036127.

Research output: Contribution to journalArticle

Heavy Tails
Burst
bursts
Modeling
human behavior
2004
46 Citations (Scopus)

Estimated correlation matrices and portfolio optimization

Pafka, S. & Kondor, I., Nov 15 2004, In : Physica A: Statistical Mechanics and its Applications. 343, 1-4, p. 623-634 12 p.

Research output: Contribution to journalArticle

Portfolio Optimization
Correlation Matrix
optimization
Portfolio Selection
Random Matrix Theory
2003
63 Citations (Scopus)

Noisy covariance matrices and portfolio optimization II

Pafka, S. & Kondor, I., Mar 1 2003, In : Physica A: Statistical Mechanics and its Applications. 319, p. 487-494 8 p.

Research output: Contribution to journalArticle

Portfolio Optimization
Covariance matrix
optimization
Finance
finance
2002
40 Citations (Scopus)

Noisy covariance matrices and portfolio optimization

Pafka, S. & Kondor, I., May 2 2002, In : European Physical Journal B. 27, 2, p. 277-280 4 p.

Research output: Contribution to journalArticle

Covariance matrix
optimization
eigenvalues
risk management
Risk management
2001
22 Citations (Scopus)
Value at Risk
volatility
Financial Markets
Volatility
methodology
2000
5 Citations (Scopus)

Reparametrization invariance: A gauge-like symmetry of ultrametrically organised states

Temesvári, T., Kondor, I. & De Dominicis, C., Dec 1 2000, In : European Physical Journal B. 18, 3, p. 493-500 8 p.

Research output: Contribution to journalArticle

permutations
Invariance
replicas
Gages
invariance
1999
18 Citations (Scopus)

Portfolios with nonlinear constraints and spin glasses

Gábor, A. & Kondor, I., Dec 1 1999, In : Physica A: Statistical Mechanics and its Applications. 274, 1, p. 222-228 7 p.

Research output: Contribution to journalArticle

Nonlinear Constraints
Spin Glass
spin glass
Spin Glasses (theory)
Convex Constraints
15 Citations (Scopus)

Scaling and infrared divergences in the replica field theory of the Ising spin glass

Temesvári, T., De Dominicis, C. & Kondor, I., Oct 2 1999, In : European Physical Journal B. 11, 4, p. 629-634 6 p.

Research output: Contribution to journalArticle

Spin glass
replicas
spin glass
divergence
Infrared radiation
30 Citations (Scopus)

Statistical analysis of 5 s index data of the Budapest Stock Exchange

Jánosi, I., Janecskó, B. & Kondor, I., Jul 1 1999, In : Physica A: Statistical Mechanics and its Applications. 269, 1, p. 111-124 14 p.

Research output: Contribution to journalArticle

volatility
statistical analysis
autocorrelation
Statistical Analysis
sampling
1994
32 Citations (Scopus)

Block diagonalizing ultrametric matrices

Temesvari, T., De Dominicis, C. & Kondor, I., 1994, In : Journal of Physics A: General Physics. 27, 23, p. 7569-7595 27 p., 008.

Research output: Contribution to journalArticle

Phase equilibria
matrices
Replica
replicas
Symmetry
11 Citations (Scopus)

Dyson's equations for the (Ising) spin-glass

De Dominicis, C., Kondor, I. & Temesvari, T., Sep 1994, In : Journal de physique. III. 4, 9, p. 1287-1308 22 p.

Research output: Contribution to journalArticle

Spin glass
spin glass
Magnetic fields
Kinetics
sectors
1993
32 Citations (Scopus)

Sensitivity of spin-glass order to temperature changes

Kondor, I. & Vegso, A., 1993, In : Journal of Physics A: Mathematical and General. 26, 15, 005.

Research output: Contribution to journalArticle

Mean field theory
Spin glass
Spin Glass
spin glass
Overlap
1992
4 Citations (Scopus)

Short range corrections to the order parameter and to the excitation spectrum of the Ising spin glass

Kondor, I., De Dominics, C. & Temesvári, T., Jun 15 1992, In : Physica A: Statistical Mechanics and its Applications. 185, 1-4, p. 295-304 10 p.

Research output: Contribution to journalArticle

Spin Glass
Ising
Order Parameter
spin glass
Excitation
1991
18 Citations (Scopus)

Short-range corrections to the order parameter of the Ising spin glass above the upper critical dimension

De Dominicis, C., Kondor, I. & Temesvari, T., 1991, In : Journal of Physics A: Mathematical and General. 24, 6, 009.

Research output: Contribution to journalArticle

Spin glass
Critical Dimension
Spin Glass
Ising
Order Parameter
1990
5 Citations (Scopus)

Contradictions in spin glass field theory and a possible way out

De Dominicis, C. & Kondor, I., Feb 1 1990, In : Physica A: Statistical Mechanics and its Applications. 163, 1, p. 265-270 6 p.

Research output: Contribution to journalArticle

Spin Glass
spin glass
Field Theory
Divergence
divergence
1989
58 Citations (Scopus)

On chaos in spin glasses

Kondor, I., 1989, In : Journal of Physics A: General Physics. 22, 5, 005.

Research output: Contribution to journalArticle

Spin glass
Spin Glass
Chaos theory
spin glass
chaos
8 Citations (Scopus)

Spin-glass field theory in the condensed phase continued to below d=6

De Dominicis, C. & Kondor, I., 1989, In : Journal of Physics A: Mathematical and General. 22, 15, 005.

Research output: Contribution to journalArticle

Spin glass
Spin Glass
spin glass
Field Theory
Overlap
1988
11 Citations (Scopus)

Long-wavelength fluctuations in the Ising spin glass

Temesvari, T., Kondor, I. & De Dominicis, C., 1988, In : Journal of Physics A: Mathematical and General. 21, 23, 008.

Research output: Contribution to journalArticle

Spin glass
Spin Glass
Ising
spin glass
valleys
1987
4 Citations (Scopus)

Zero modes and reparametrization invariance in the Ising spin glass

Kondor, I. & Németh, R., Oct 1987, In : Acta Physica Hungarica. 62, 2-4, p. 219-224 6 p.

Research output: Contribution to journalArticle

spin glass
invariance
1986
17 Citations (Scopus)

Ultrametricity and zero modes in the short-range ising spin glass

Kondor, I. & De Dominicis, C., Oct 15 1986, In : EPL. 2, 8, p. 617-624 8 p.

Research output: Contribution to journalArticle

spin glass
mass spectra
propagation
1984
36 Citations (Scopus)

ON SPIN GLASS FLUCTUATIONS.

de Dominicis, C. & Kondor, I., Mar 1 1984, In : Journal de physique. Lettres. 45, 5, p. 205-210 6 p.

Research output: Contribution to journalArticle

Spin glass
spin glass
approximation
replicas
propagation
1983
4 Citations (Scopus)

Comment on Goltsev's stability analysis for the Parisi solution of the long-ranged spin glass model

Kondor, I. & De Dominicis, C., 1983, In : Journal of Physics A: Mathematical and General. 16, 16, p. 3931-3933 3 p., 032.

Research output: Contribution to journalArticle

Spin glass
Spin Glass
spin glass
Stability Analysis
Model
103 Citations (Scopus)

Eigenvalues of the stability matrix for Parisi solution of the long-range spin-glass

De Dominicis, C. & Kondor, I., 1983, In : Physical Review B. 27, 1, p. 606-608 3 p.

Research output: Contribution to journalArticle

Spin glass
Stiffness matrix
spin glass
eigenvalues
matrices
49 Citations (Scopus)
Spin glass
Analytic Continuation
Spin Glass
Replica
replicas
14 Citations (Scopus)

The spectrum of fluctuations around Sompolinsky's mean field solution for a spin glass

Kondor, I. & De Dominicis, C., 1983, In : Journal of Physics A: Mathematical and General. 16, 2, 005.

Research output: Contribution to journalArticle

Spin glass
Spin Glass
Mean Field
spin glass
Magnetic Field
1981
Potts model
Solid state physics
solid state physics
Physics
physics
8 Citations (Scopus)

Exact critical condition for a site-diluted Potts model

Kondor, I. & Temesvari, T., 1981, In : Journal of Physics C: Solid State Physics. 14, 5, 001.

Research output: Contribution to journalArticle

Potts model
Vacancies
Phase boundaries
Flow structure
Crystal lattices
1980
6 Citations (Scopus)

Calculation of critical exponents to O(1n2)

Kondor, I. & Temesvri, T., 1980, In : Physical Review B. 21, 1, p. 260-279 20 p.

Research output: Contribution to journalArticle

insertion
exponents
Scaling laws
apexes
expansion
1 Citation (Scopus)
Triangular Lattice
Color
color
thresholds
sublattices
22 Citations (Scopus)
Potts model
Phase boundaries
triangles
Stars
stars
12 Citations (Scopus)

Resummation of the 1n expansion through a self-consistent approach

Kondor, I., Temesvri, T. & Herényi, L., 1980, In : Physical Review B. 22, 3, p. 1451-1458 8 p.

Research output: Contribution to journalArticle

exponents
expansion
screening
Screening
estimates
1974
22 Citations (Scopus)

Dynamic critical exponent of a Bose system to O( 1 n)

Kondor, I. & Szépfalusy, P., Apr 22 1974, In : Physics Letters, Section A: General, Atomic and Solid State Physics. 47, 5, p. 393-394 2 p.

Research output: Contribution to journalArticle

exponents
expansion
120 Citations (Scopus)

On the dynamics of continuous phase transitions

Szépfalusy, P. & Kondor, I., 1974, In : Annals of Physics. 82, 1, p. 1-53 53 p.

Research output: Contribution to journalArticle

transition points
poles
condensation
scaling
perturbation
1970
6 Citations (Scopus)
transition points
gases
temperature