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We are in $M_n(\mathbb{R})$ equipped with the Frobenius norm $||A||^2=tr(AA^T)$. Let $Z=\{(A,B)\in M_n(\mathbb{R})^2;A^2-AB-B^2=0\}$ and $T=O(n)^2$. It is easy to see that $Z\cap T=\emptyset$ and ...