Yannick Malevergne
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Yannick |
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Malevergne |
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Affiliations
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Université Paris 1 (Panthéon-Sorbonne)
/ Pôle de Recherche Interdisciplinaire en Management (PRISM)
Research profile
author of:
- Heterogeneous expectations and long range correlation of the volatility of asset returns (RePEc:arx:papers:0808.1538)
by Jerome Coulon & Yannick Malevergne - Theory of Zipf's Law and of General Power Law Distributions with Gibrat's law of Proportional Growth (RePEc:arx:papers:0808.1828)
by A. Saichev & Y. Malevergne & D. Sornette - Zipf's law and maximum sustainable growth (RePEc:arx:papers:1012.0199)
by Y. Malevergne & A. Saichev & D. Sornette - Macroeconomic Dynamics of Assets, Leverage and Trust (RePEc:arx:papers:1512.03618)
by Jeroen Rozendaal & Yannick Malevergne & Didier Sornette - Multi-dimensional Rational Bubbles and fat tails: application of stochastic regression equations to financial speculation (RePEc:arx:papers:cond-mat/0101371)
by Y. Malevergne & D. Sornette - From Rational Bubbles to Crashes (RePEc:arx:papers:cond-mat/0102305)
by D. Sornette & Y. Malevergne - General framework for a portfolio theory with non-Gaussian risks and non-linear correlations (RePEc:arx:papers:cond-mat/0103020)
by Y. Malevergne & D. Sornette - Imitation and contrarian behavior: hyperbolic bubbles, crashes and chaos (RePEc:arx:papers:cond-mat/0109410)
by A. Corcos & J. -P. Eckmann & A. Malaspinas & Y. Malevergne & D. Sornette - Testing the Gaussian Copula Hypothesis for Financial Assets Dependences (RePEc:arx:papers:cond-mat/0111310)
by Y. Malevergne & D. Sornette - Tail Dependence of Factor Models (RePEc:arx:papers:cond-mat/0202356)
by Y. Malevergne & D. Sornette - Investigating Extreme Dependences: Concepts and Tools (RePEc:arx:papers:cond-mat/0203166)
by Y. Malevergne & D. Sornette - Volatility fingerprints of large shocks: Endogeneous versus exogeneous (RePEc:arx:papers:cond-mat/0204626)
by D. Sornette & Y. Malevergne & J. F. Muzy - Hedging Extreme Co-Movements (RePEc:arx:papers:cond-mat/0205636)
by Y. Malevergne & D. Sornette - Multi-Moments Method for Portfolio Management: Generalized Capital Asset Pricing Model in Homogeneous and Heterogeneous markets (RePEc:arx:papers:cond-mat/0207475)
by Y. Malevergne & D. Sornette - Collective Origin of the Coexistence of Apparent RMT Noise and Factors in Large Sample Correlation Matrices (RePEc:arx:papers:cond-mat/0210115)
by Y. Malevergne & D. Sornette - VaR-Efficient Portfolios for a Class of Super- and Sub-Exponentially Decaying Assets Return Distributions (RePEc:arx:papers:physics/0301009)
by Y. Malevergne & D. Sornette - Empirical Distributions of Log-Returns: between the Stretched Exponential and the Power Law? (RePEc:arx:papers:physics/0305089)
by Y. Malevergne & V. F. Pisarenko & D. Sornette - Self-Consistent Asset Pricing Models (RePEc:arx:papers:physics/0608284)
by Y. Malevergne & D. Sornette - A two-Factor Asset Pricing Model and the Fat Tail Distribution of Firm Sizes (RePEc:arx:papers:physics/0702027)
by Y. Malevergne & D. Sornette - Preparing for the Worst: Incorporating Downside Risk in Stock Market Investments. Hrishikesh D. Vinod and Derrick P. Reagle (RePEc:bes:jnlasa:v:100:y:2005:p:1459-1460)
by Malevergne, Yannick - Investors’ Misperception: A Hidden Source of High Markups in the Mutual Fund Industry (RePEc:chf:rpseri:rp0904)
by Shengsui HU & Yannick MALEVERGNE & Didier SORNETTE - Gibrat’s law for cities: uniformly most powerful unbiased test of the Pareto against the lognormal (RePEc:chf:rpseri:rp0940)
by Y. Malevergne & V. Pisarenko & D. Sornette - Robust reverse engineering of crosssectional returns and improved portfolio allocation performance using the CAPM (RePEc:chf:rpseri:rp1103)
by Xiaohui NI & Yannick MALEVERGNE & Didier SORNETTE & Peter WOEHRMANN - Investors’ Expectations, Management Fees and the Underperformance of Mutual Funds (RePEc:chf:rpseri:rp1201)
by Andreas D. Huesler & Yannick Malevergne & Didier Sornette - Wealth and Income Inequalities ← → r > g (RePEc:chf:rpseri:rp1669)
by Yannick Malevergne & Didier Sornette - A model of financial bubbles and drawdowns with non-local behavioral self-referencing (RePEc:chf:rpseri:rp2196)
by Yannick Malevergne & Didier Sornette & Ran Wei - A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy (RePEc:eee:dyncon:v:128:y:2021:i:c:s0165188921000725)
by Da Fonseca, José & Malevergne, Yannick - Zipf's law and maximum sustainable growth (RePEc:eee:dyncon:v:37:y:2013:i:6:p:1195-1212)
by Malevergne, Y. & Saichev, A. & Sornette, D. - On cross-risk vulnerability (RePEc:eee:insuma:v:45:y:2009:i:2:p:224-229)
by Malevergne, Y. & Rey, B. - New Results for additive and multiplicative risk apportionment (RePEc:eee:mateco:v:90:y:2020:i:c:p:140-151)
by Loubergé, Henri & Malevergne, Yannick & Rey, Béatrice - From rational bubbles to crashes (RePEc:eee:phsmap:v:299:y:2001:i:1:p:40-59)
by Sornette, D & Malevergne, Y - Collective origin of the coexistence of apparent random matrix theory noise and of factors in large sample correlation matrices (RePEc:eee:phsmap:v:331:y:2004:i:3:p:660-668)
by Malevergne, Y. & Sornette, D. - Self-consistent asset pricing models (RePEc:eee:phsmap:v:382:y:2007:i:1:p:149-171)
by Malevergne, Y. & Sornette, D. - Comprendre et Gérer les Risques Grands et Extrêmes (RePEc:ema:worpap:2003-32)
by D.Sornette & J.V. Andersen & Y. Malevergne - New Results for Additive and Multiplicative Risk Apportionment (RePEc:gat:wpaper:1915)
by Henri Loubergé & Yannick Malevergne & Béatrice Rey - Testing the Gaussian copula hypothesis for financial assets dependences (RePEc:hal:journl:hal-00520539)
by Yannick Malevergne & Didier Sornette - Extreme Financial Risks : From Dependence to Risk Management (RePEc:hal:journl:hal-02298069)
by Yannick Malevergne & Didier Sornette - Theory of Zipf's Law and Beyond (RePEc:hal:journl:hal-02298139)
by Yannick Malevergne & Alex Saichev & Didier Sornette - Preparing for the Worst : Incorporating Downside Risk in Stock Market Investments (RePEc:hal:journl:hal-02311690)
by Yannick Malevergne - The modified weibull distribution for asset returns: reply (RePEc:hal:journl:hal-02311787)
by Yannick Malevergne & Vladilen Pisarenko & Didier Sornette - Self-consistent asset pricing models (RePEc:hal:journl:hal-02311789)
by Yannick Malevergne & Didier Sornette - Alternative Risk Measures for Alternative Investments (RePEc:hal:journl:hal-02311832)
by Yannick Malevergne & Ali Chabaane & Jean-Paul Laurent & Françoise Turpin - Empirical Distributions of Stock Returns : Between the Stretched Exponential and the Power Law? (RePEc:hal:journl:hal-02311833)
by Yannick Malevergne & Vladilen Pisarenko & Didier Sornette - On the Power of Generalized Extreme Value (GEV) and Generalized Pareto Distribution (GPD) Estimators for Empirical Distributions of Stock Returns (RePEc:hal:journl:hal-02311834)
by Yannick Malevergne & Vladilen Pisarenko & Didier Sornette - Preserving preference rankings under non-financial background risk (RePEc:hal:journl:hal-02312501)
by Yannick Malevergne & B. Rey - On cross-risk vulnerability (RePEc:hal:journl:hal-02312539)
by Yannick Malevergne & B. Rey - Book review: "Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications" by D. Ardia (Springer) (RePEc:hal:journl:hal-02312883)
by Yannick Malevergne - Book review : "Why Stock Market Crash?" by D. Sornette (Princeton University Press) (RePEc:hal:journl:hal-02312884)
by Yannick Malevergne - How to account for extreme co-movements between individual stocks and the market (RePEc:hal:journl:hal-02312885)
by Yannick Malevergne & Didier Sornette - Value-at-Risk-efficient portfolios for class of super- and sub-exponentially decaying assets return distributions (RePEc:hal:journl:hal-02312887)
by Yannick Malevergne & Didier Sornette - Testing the Gaussian copula hypothesis for financial assets dependence (RePEc:hal:journl:hal-02312888)
by Yannick Malevergne & Didier Sornette - Minimizing extremes (RePEc:hal:journl:hal-02312889)
by Yannick Malevergne & Didier Sornette - Imitation and contrarian behavior : hyperbolic bubbles, crashes and chaos (RePEc:hal:journl:hal-02312891)
by Anne Corcos & J.P. Eckmann & A. Malaspinas & Yannick Malevergne & Didier Sornette - Multi-dimensional rational bubbles and fat tails (RePEc:hal:journl:hal-02312893)
by Yannick Malevergne & Didier Sornette - Collective origin of the coexistence of apparent random matrix theory noise and of factors in large sample correlation matrices (RePEc:hal:journl:hal-02312894)
by Yannick Malevergne & Didier Sornette - From rational bubbles to crashes (RePEc:hal:journl:hal-02312895)
by Didier Sornette & Yannick Malevergne - Zipf's law and maximum sustainable growth (RePEc:hal:journl:hal-02313060)
by Yannick Malevergne & Alex Saichev & Didier Sornette - Investors' expectations, management fees and the underperformance of mutual funds (RePEc:hal:journl:hal-02313203)
by Andreas Huesler & Yannick Malevergne & Didier Sornette - Shuffling for understanding multifractality, application to asset price time series (RePEc:hal:journl:hal-02361738)
by Patrice Abry & Yannick Malevergne & Herwig Wendt & Marc Senneret & Laurent Jaffrès & Blaise Liaustrat - Foreign Exchange Multivariate Multifractal Analysis (RePEc:hal:journl:hal-03735497)
by Patrice Abry & Yannick Malevergne & Herwig Wendt & Stéphane Jaffard & Marc Senneret & Laurent Jaffrès - Imitation and contrarian behavior: hyperbolic bubbles, crashes and chaos (RePEc:hal:journl:hal-03833822)
by Anne Corcos & Jean-Pierre Eckmann & A. Malaspinas & Yannick Malevergne & Didier Sornette - On Cross-risk Vulnerability (RePEc:hal:journl:halshs-00520050)
by Yannick Malevergne & Béatrice Rey - Preserving preference rankings under non-financial background risk (RePEc:hal:journl:halshs-00520072)
by Yannick Malevergne & Béatrice Rey - New Results for additive and multiplicative risk apportionment (RePEc:hal:journl:halshs-02930294)
by Henri Loubergé & Yannick Malevergne & Béatrice Rey - A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy (RePEc:hal:journl:halshs-03590382)
by José da Fonseca & Yannick Malevergne - Macroeconomic Dynamics of Assets, Leverage and Trust (RePEc:hal:journl:halshs-03590386)
by Jeroen Rozendaal & Yannick Malevergne & Didier Sornette - Covariance Versus Precision Matrix Estimation for Efficient Asset Allocation (RePEc:hal:journl:halshs-03590388)
by Marc Senneret & Yannick Malevergne & Patrice Abry & Gerald Perrin & Laurent Jaffres - How Analystss Ability Affects Forecast Timing Under Bias and Uncertainty? (RePEc:hal:wpaper:hal-04011338)
by Yannick Malevergne & Hind Sami - A model of financial bubbles and drawdowns with non-local behavioral self-referencing (RePEc:hal:wpaper:hal-04012267)
by Yannick Malevergne & Didier Sornette & Ran Wei - A Linear-Rational Multi-Curve Term Structure Model with Stochastic Spread (RePEc:hal:wpaper:hal-04012277)
by José da Fonseca & Edem Dawui & Yannick Malevergne - A linear-rational multi-curve term structure model with stochastic spread (RePEc:hal:wpaper:hal-04407022)
by José da Fonseca & Komi Edem Dawui & Yannick Malevergne - Heterogeneous expectations and long range correlation of the volatility of asset returns (RePEc:hal:wpaper:halshs-00541953)
by Jérôme Coulon & Yannick Malevergne - New Results for Additive and Multiplicative Risk Apportionment (RePEc:hal:wpaper:halshs-02100855)
by Henri Loubergé & Yannick Malevergne & Béatrice Rey - Professor Zipf goes to Wall Street (RePEc:nbr:nberwo:15295)
by Yannick Malevergne & Pedro Santa-Clara & Didier Sornette - Preserving preference rankings under non-financial background risk (RePEc:pal:jorsoc:v:61:y:2010:i:8:d:10.1057_jors.2009.95)
by Y Malevergne & B Rey - Introduction (RePEc:spr:lnechp:978-3-642-02946-2_1)
by Alexander Saichev & Yannick Malevergne & Didier Sornette - Future Directions and Conclusions (RePEc:spr:lnechp:978-3-642-02946-2_10)
by Alexander Saichev & Yannick Malevergne & Didier Sornette - Continuous Gibrat’s Law and Gabaix’s Derivation of Zipf’s Law (RePEc:spr:lnechp:978-3-642-02946-2_2)
by Alexander Saichev & Yannick Malevergne & Didier Sornette - Flow of Firm Creation (RePEc:spr:lnechp:978-3-642-02946-2_3)
by Alexander Saichev & Yannick Malevergne & Didier Sornette - Useful Properties of Realizations of the Geometric Brownian Motion (RePEc:spr:lnechp:978-3-642-02946-2_4)
by Alexander Saichev & Yannick Malevergne & Didier Sornette - Exit or “Death” of Firms (RePEc:spr:lnechp:978-3-642-02946-2_5)
by Alexander Saichev & Yannick Malevergne & Didier Sornette - Deviations from Gibrat’s Law and Implications for Generalized Zipf’s Laws (RePEc:spr:lnechp:978-3-642-02946-2_6)
by Alexander Saichev & Yannick Malevergne & Didier Sornette - Firm’s Sudden Deaths (RePEc:spr:lnechp:978-3-642-02946-2_7)
by Alexander Saichev & Yannick Malevergne & Didier Sornette - Non-stationary Mean Birth Rate (RePEc:spr:lnechp:978-3-642-02946-2_8)
by Alexander Saichev & Yannick Malevergne & Didier Sornette - Properties of the Realization Dependent Distribution of Firm Sizes (RePEc:spr:lnechp:978-3-642-02946-2_9)
by Alexander Saichev & Yannick Malevergne & Didier Sornette - Theory of Zipf's Law and Beyond (RePEc:spr:lnecms:978-3-642-02946-2)
by Alex Saichev & Yannick Malevergne & Didier Sornette - Unknown item RePEc:taf:apfiec:v:16:y:2006:i:3:p:271-289 (article)
- Multi-dimensional rational bubbles and fat tails (RePEc:taf:quantf:v:1:y:2001:i:5:p:533-541)
by Y. Malevergne & D. Sornette - Heterogeneous expectations and long-range correlation of the volatility of asset returns (RePEc:taf:quantf:v:11:y:2011:i:9:p:1329-1356)
by J. Coulon & Y. Malevergne - Imitation and contrarian behaviour: hyperbolic bubbles, crashes and chaos (RePEc:taf:quantf:v:2:y:2002:i:4:p:264-281)
by A. Corcos & J-P Eckmann & A. Malaspinas & Y. Malevergne & D. Sornette - Testing the Gaussian copula hypothesis for financial assets dependences (RePEc:taf:quantf:v:3:y:2003:i:4:p:231-250)
by Y. Malevergne & D. Sornette - Empirical distributions of stock returns: between the stretched exponential and the power law? (RePEc:taf:quantf:v:5:y:2005:i:4:p:379-401)
by Y. Malevergne & V. Pisarenko & D. Sornette - The modified weibull distribution for asset returns: reply (RePEc:taf:quantf:v:6:y:2006:i:6:p:451-451)
by Y. Malevergne & V. Pisarenko & D. Sornette - Testing the Gaussian Copula Hypothesis for Financial Assets Dependences (RePEc:wpa:wuwpfi:0111003)
by Y. Malevergne & D. Sornette