Zobrazeno 1 - 10 of 31 pro vyhledávání: '"Philippe de Peretti"'
1
Special issue on dynamics of socioeconomic systems: systemic risk—complex systems
Autor: Jorgen Vitting-Andersen, Philippe de Peretti, Massimo Squillante, Bice Cavallo, Biagio Simonetti
Publikováno v: Soft Computing
Soft Computing, Springer Verlag, 2020, 24 (18), pp.13515-13515. ⟨10.1007/s00500-020-05214-x⟩
Soft Computing, Springer Verlag, 2020, Special issue on dynamics of socioeconomic systems, 24 (18), pp.13515-13515. ⟨10.1007/s00500-020-05214-x⟩
International audience
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3f806a721d83c35780265eba79e78e3d
https://hal.archives-ouvertes.fr/hal-03029484
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2
Special issue on dynamics of socioeconomic systems: systemic risk—finance
Autor: Philippe de Peretti, Massimo Squillante, Jorgen Vitting-Andersen, Bice Cavallo, Biagio Simonetti
Publikováno v: Soft Computing
Soft Computing, Springer Verlag, 2020, 24, pp.8503. ⟨10.1007/s00500-020-04983-9⟩
Soft Computing, Springer Verlag, 2020, ⟨10.1007/s00500-020-04983-9⟩
International audience; Over the past decades, complexity has emerged as an alternative way to understand and model complex dynamical phenomena in a number of fields. Instead of focusing on local and independent behaviors, complexity suggests that ob
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::95e8fc213ba1379e0a6d3039d3560cc2
https://hal.archives-ouvertes.fr/hal-02568547
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3
Heuristics in experiments with infinitely large strategy spaces
Autor: Jørgen Vitting Andersen, Philippe de Peretti
Publikováno v: Journal of Business Research
Journal of Business Research, Elsevier, 2020, 129, pp.612-620. ⟨10.1016/j.jbusres.2019.12.034⟩
We introduce a new methodology that enables detection of the onset of convergence towards Nash equilibria in simple repeated games with infinitely large strategy spaces, thereby revealing the heuristics used in decision-making. The method works by co
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e3448afbbd96706c2d777cfcb9f62b3c
https://hal.archives-ouvertes.fr/hal-02435934
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4
Improving portfolios global performance using a cleaned and robust covariance matrix estimate
Autor: Jean-Philippe Ovarlez, Emmanuelle Jay, Frédéric Pascal, Thibault Soler, Philippe de Peretti, Christophe Chorro, Eugénie Terreaux
Publikováno v: Soft Computing
Soft Computing, Springer Verlag, 2020, ⟨10.1007/s00500-020-04840-9⟩
This paper presents how the use of a cleaned and robust covariance matrix estimate can improve significantly the overall performance of maximum variety and minimum variance portfolios. We assume that the asset returns are modelled through a multi-fac
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a9c40d2cae86984bf593c361591bb43a
https://hal.archives-ouvertes.fr/hal-02508748
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5
Testing for non-chaoticity under noisy dynamics using the largest Lyapunov exponent
Autor: Hayette Gatfaoui, Philippe de Peretti
Publikováno v: Soft Computing
Soft Computing, Springer Verlag, 2019, 24, pp.8617-8626. ⟨10.1007/s00500-019-04595-y⟩
Soft Computing, 2019, 24, pp.8617-8626. ⟨10.1007/s00500-019-04595-y⟩
International audience; In this paper, we introduce a robust procedure to test for non-chaoticity when data are contaminated by an additive noise. Under the Kalman filter framework, our procedure first amounts to compute the largest Lyapunov exponent
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::56a17fe5f2f9c03247b7bf26a76adf96
https://hal-paris1.archives-ouvertes.fr/hal-02388420
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6
Flickering in Information Spreading Precedes Critical Transitions in Financial Markets
Autor: Hayette Gatfaoui, Philippe de Peretti
Publikováno v: Scientific Reports, Vol 9, Iss 1, Pp 1-11 (2019)
Scientific Reports
Scientific Reports, Nature Publishing Group, 2019, 9 (1), ⟨10.1038/s41598-019-42223-9⟩
Scientific Reports, 2019, 9 (1), ⟨10.1038/s41598-019-42223-9⟩
As many complex dynamical systems, financial markets exhibit sudden changes or tipping points that can turn into systemic risk. This paper aims at building and validating a new class of early warning signals of critical transitions. We base our analy
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4e0558b92f1804eac321d9a87ca355ea
http://hdl.handle.net/20.500.12210/85151
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7
Synchronization in human decision-making
Autor: Maxime Frolov, Jørgen Vitting Andersen, Yi-Fang Liu, Philippe de Peretti
Publikováno v: Chaos, Solitons and Fractals
Chaos, Solitons and Fractals, Elsevier, 2019, 143, ⟨10.1016/j.chaos.2020.110521⟩
Chaos, Solitons & Fractals
Chaos, Solitons & Fractals, 2021, 143, pp.110521. ⟨10.1016/j.chaos.2020.110521⟩
International audience; Just as soldiers crossing a bridge in sync can produce a catastrophic structural failure, we use experiment, theory, and simulation to show how synchronization in human decision-making can lead to extreme outcomes. Individual
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::015d3e92fe5c223a2c6d36ab2ddb8fb1
https://hal.archives-ouvertes.fr/hal-03029555
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8
TESTING FOR WEAK SEPARABILITY USING STOCHASTIC SEMI-NONPARAMETRIC TESTS: AN EMPIRICAL STUDY ON US DATA
Autor: Philippe de Peretti, Ryan S. Mattson
Publikováno v: Macroeconomic Dynamics
Macroeconomic Dynamics, Cambridge University Press (CUP), 2018, 22 (06), pp.1510-1534. ⟨10.1017/S1365100516000791⟩
In this paper, we use the weak separability criterion to check for the existence of six different monetary aggregates reported by the Center of Financial Stability (CFS). We implement an extended version of the semi-nonparametric tests introduced by
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::df4e8b25e3370b20b917ebe527febfe6
https://hal-paris1.archives-ouvertes.fr/hal-02091676
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10
Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone
Autor: Hayette Gatfaoui, Monica Billio, Philippe de Peretti, Lorenzo Frattarolo
In this paper, we analyze the dynamic relationships between ten stock exchanges of the euro zone using Granger causal networks. Using returns for which we allow the variance to follow a Markov-Switching GARCH or a Changing-Point GARCH, we first show
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::84ebf2aa51a73980f670c18ec6b8b281
http://hdl.handle.net/10278/3685276
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