Zobrazeno 1 - 10 of 61 pro vyhledávání: '"Yannick Malevergne"'
1
Foreign Exchange Multivariate Multifractal Analysis
Autor: Abry, P., yannick malevergne, Wendt, H., Jaffard, S., Senneret, M., Jaffrès, L.
Publikováno v: Proceedings of 30th European Conference on Signal Processing 2022 (EUSIPCO)
30th European Conference on Signal Processing (EUSIPCO 2022)
30th European Conference on Signal Processing (EUSIPCO 2022), European Association for Signal Processing (EURASIP), Aug 2022, Belgrade, Serbia
Proc. European Signal Processing Conference (EUSIPCO)
European Signal Processing Conference (EUSIPCO)
European Signal Processing Conference (EUSIPCO), Aug 2022, Belgrade, Serbia
European Signal Processing Conference (EUSIPCO), European Association for Signal Processing (EURASIP), Aug 2022, Belgrade, Serbia
Scopus-Elsevier
International audience; After Mandelbrot’s seminal work, scale-free and multifractal temporal dynamics have been recognized as classical stylized facts for financial time series and massively documented. Multifractal analysis in finance has however
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::24b40783faaa74fc3d68d041b08dd7e4
https://hal.archives-ouvertes.fr/hal-03850436/file/22EUSIPCO_MFMV_ForEx_final.pdf
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4
New Results for additive and multiplicative risk apportionment
Autor: Yannick Malevergne, Béatrice Rey, Henri Loubergé
Publikováno v: Journal of Mathematical Economics
Journal of Mathematical Economics, Elsevier, 2020, 90, pp. 140-151. ⟨10.1016/j.jmateco.2020.07.004⟩
Journal of Mathematical Economics, 2020, 90, pp. 140-151. ⟨10.1016/j.jmateco.2020.07.004⟩
Journal of Mathematical Economics, Vol. 90 (2020) pp. 140-151
International audience; We provide new characterizations of the preference for additive and multiplicative risk apportionment when risk ordering relies on stochastic dominance. We then point out a simple property of risk apportionment with additive r
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e902dbd49d70b214918ccbc636851f25
https://halshs.archives-ouvertes.fr/halshs-02930294
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5
A Simple Microstructure Model Based on the Cox-BESQ Process With Application to Optimal Execution Policy
Autor: Yannick Malevergne, José Da Fonseca
Publikováno v: Journal of Economic Dynamics and Control
Journal of Economic Dynamics and Control, Elsevier, 2021, 128, pp.104137. ⟨10.1016/j.jedc.2021.104137⟩
We develop a microstructure model whose order flow is driven by a Cox-BESQ process. We derive important analytical properties of the Cox-BESQ process in order to explicit the stock price dynamics at different time scales, provide different parameter
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::fe0a1679479b05467818f21c3daa50bc
https://doi.org/10.2139/ssrn.3869701
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6
Shuffling for understanding multifractality, application to asset price time series
Autor: Blaise Liaustrat, Laurent Jaffres, Yannick Malevergne, Herwig Wendt, Patrice Abry, Marc Senneret
Publikováno v: European Signal Processing Conference (EUSIPCO)
European Signal Processing Conference (EUSIPCO), Sep 2019, A Coruna, Spain
EUSIPCO
International audience; Multifractal analysis has become a standard signal processing tool successfully used to model scale-free temporal dynamics in many applications, very different in nature. This is notably the case in financial engineering where
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2f0b8a46b10895e81e57806d8c64c65a
https://hal.archives-ouvertes.fr/hal-02361738/document
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7
How Analystss Ability Affects Forecast Timing Under Bias and Uncertainty?
Autor: Yannick Malevergne, Hind Sami
Publikováno v: SSRN Electronic Journal.
We investigate the analysts timing decisions and the extent to which timing can be a proxy for their ability. We present a model in which forecast accuracy and timing are affected by information uncertainty stemming from (i) the presence of forecast
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::a74d6ae27b7bc2f4342cdb62642d1bbd
https://doi.org/10.2139/ssrn.3113605
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8
Covariance Versus Precision Matrix Estimation for Efficient Asset Allocation
Autor: Laurent Jaffres, Yannick Malevergne, Marc Senneret, Gerald Perrin, Patrice Abry
Publikováno v: IEEE Journal of Selected Topics in Signal Processing
IEEE Journal of Selected Topics in Signal Processing, IEEE, 2016, 10 (6), pp.982-993. ⟨10.1109/JSTSP.2016.2577546⟩
IEEE Journal of Selected Topics in Signal Processing, 2016, 10 (6), pp.982-993. ⟨10.1109/JSTSP.2016.2577546⟩
Asset allocation constitutes one of the most crucial and most challenging tasks in financial engineering, which often requires the estimation of large covariance or precision matrices, from short time-span multivariate observations, a mandatory yet d
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e3fe148b717ae1a781e6cde1e577f52e
https://halshs.archives-ouvertes.fr/halshs-03590388
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9
Wealth and Income Inequalities r > g
Autor: Didier Sornette, Yannick Malevergne
Publikováno v: SSRN Electronic Journal.
Piketty’s Capital in the Twenty-First Century posits the return r on capital to be larger than the economic growth rate g as a main driver of inequalities. This article points out the circumstances under which the reverse inference holds. We show t
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::67778534c4db74bb8502c8ffd2400e1f
https://doi.org/10.2139/ssrn.2878645
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10
Heterogeneous expectations and long-range correlation of the volatility of asset returns
Autor: Jérôme Coulon, Yannick Malevergne
Publikováno v: Quantitative Finance. 11:1329-1356
Inspired by the recent literature on aggregation theory, we aim at relating the long range correlation of the stocks return volatility to the heterogeneity of the investors' expectations about the level of the future volatility. Based on a semi-param
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::a5f754acbca4ee19b5d742fb57ee8aec
https://doi.org/10.1080/14697688.2010.542771
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