Zobrazeno 1 - 9
of 9
pro vyhledávání: '"Cyril Deremble"'
Autor:
Yves Lemperiere, Trung-Tu Nguyen, Philip Seager, Jean-Philippe Bouchaud, Cyril Deremble, Marc Potters
Publikováno v:
Quantitative Finance. 17:1-14
We present extensive evidence that ``risk premium'' is strongly correlated with tail-risk skewness but very little with volatility. We introduce a new, intuitive definition of skewness and elicit an approximately linear relation between the Sharpe ra
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::afad4872ed3aa24333e18c5e8ef638e9
https://doi.org/10.1080/14697688.2016.1183035
https://doi.org/10.1080/14697688.2016.1183035
Autor:
Marc Potters, Jean-Philippe Bouchaud, Tung-Lam Dao, Cyril Deremble, Trung-Tu Nguyen, Yves Lemperiere
The performance of trend following strategies can be ascribed to the difference between long-term and short-term realized variance. We revisit this general result and show that it holds for various definitions of trend strategies. This explains the p
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::dfb34fec74cd1b68885ccf11bec63099
Publikováno v:
Computer Physics Communications. 179:112-119
We have developed a computational methodology that aims at predicting the binding sites of proteins on DNA. The crucial point of the methodology is to enable the protein binding energies to be calculated for very large numbers of DNA sequences (>1080
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2789b45b877f800b2f3c6d7f77dd4491
https://doi.org/10.1016/j.cpc.2008.01.033
https://doi.org/10.1016/j.cpc.2008.01.033
Publikováno v:
Nucleic Acids Research. 32:6673-6682
We present a quantitative, theoretical analysis of the recognition mechanisms used by two zinc finger proteins: Zif268, which selectively binds to GC-rich sequences, and a Zif268 mutant, which binds to a TATA box site. This analysis is based on a rec
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a97a2e27521820f88c7111da311d41b4
https://doi.org/10.1093/nar/gkh1003
https://doi.org/10.1093/nar/gkh1003
We establish the existence of anomalous excess returns based on trend following strategies across four asset classes (commodities, currencies, stock indices, bonds) and over very long time scales. We use for our studies both futures time series, that
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::44dd5bacb3f7edf541b7ea053bf4e9d4
We consider the problem of the optimal trading strategy in the presence of linear costs, and with a strict cap on the allowed position in the market. Using Bellman's backward recursion method, we show that the optimal strategy is to switch between th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::fb64696a573c2624dee14a04eca27d2b
http://arxiv.org/abs/1203.5957
http://arxiv.org/abs/1203.5957
Autor:
J. de Lataillade, Jean-Philippe Bouchaud, Bence Toth, Yves Lemperiere, Cyril Deremble, Julien Kockelkoren
Publikováno v:
Physical Review X, Vol 1, Iss 2, p 021006 (2011)
We propose a dynamical theory of market liquidity that predicts that the average supply/demand profile is V-shaped and {\it vanishes} around the current price. This result is generic, and only relies on mild assumptions about the order flow and on th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::181565e46338f8a8b68457123e0a671c
http://arxiv.org/abs/1105.1694
http://arxiv.org/abs/1105.1694
Publikováno v:
Proteins. 67(3)
Several studies on large and small families of proteins proved in a general manner that hydrophobic amino acids are globally conserved even if they are subjected to high rate substitution. Statistical analysis of amino acids evolution within blocks o
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8146cbdea1878f41e95c3775abbf0f84
https://pubmed.ncbi.nlm.nih.gov/17299747
https://pubmed.ncbi.nlm.nih.gov/17299747
Autor:
Cyril Deremble, Richard Lavery
Publikováno v:
Current opinion in structural biology. 15(2)
Computational methods are being developed both to detect the binding surfaces of individual macromolecules and to predict the structure of binary macromolecular complexes. Speeding up and refining this process has required work on search algorithms,
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::adb43f888ceb3bf5884ba946c0f0b018
https://pubmed.ncbi.nlm.nih.gov/15837175
https://pubmed.ncbi.nlm.nih.gov/15837175