Dominique Guégan
274
Documents
Researcher identifiers
dominique-guegan- IdRef : 026905809
-
0000-0003-4214-1429
- ISNI : 0000000029418727
Presentation
Dominique Guégan is currently Emeritus Professor of Mathematics at the [University Paris1 Panthéon – Sorbonne](http://centredeconomiesorbonne.univ-paris1.fr/presentation/emerites/) inside the CNRS Research Laboratory CES (Centre d’Economie de la Sorbonne). Her domains of research are: Financial regulation – Fintech technology (Blockchain, big data, HFT) - non-linear econometrics modelling - Extreme value theory and risk measures in finance - pricing theory in incomplete markets- Deterministic dynamical systems. She belongs to the [LaBex ReFi](http://www.labex-refi.com/publications/working-papers/labex-refi-working-paper-series-2018/) (Financial regulation). She is an associate researcher to [University Ca’Foscari in Venezia](http://www.unive.it/pag/16868/).
She has already supervised 37 PhD in economics and mathematics. She currently supervised 2 thesis. She has already published 11 books in statistics theory, time series and finance, participate for chapters in 30 books , and published more than130 academic papers . She is regularly invited in universities around the world to give seminars or lectures for long stays in Italy (Venezia , Firenze, Padova ), in Danemark (Arrhus), in The Netherlands (Rotterdam), in Belgium (Louvain), in Germany (Berlin ), in Great Britain (London, Warwick), in Russia (HCE Moscou), in Hong Kong University, in China (Shanghai , Beijing, Tianjin), in Manilla, in Japan (Tokyo), in India (Calcutta, New Delhi), in Australia (Sydney, Brisbane, Melbourne), in New Zealand, in Canada (Montreal), in Brazil ( Porto Alegre, Rio) .
She also participates to several international projects supported by French government, or European Commission, or International institutions. These projects focus on the financial regulation, the measures of risks and the decisions of Basel committee in Europe, the Fintech industry, the development of long term risks and the way to take them into account both for bankers, insurance companies and individuals, the importance of systemic risks with the actual financial crisis and the globalization of the markets. These projects link the research and the works of several academic teams inside French universities, European universities, North American Universities, and also enterprises.
She is nominated, since August 2018, Associated Editor in the [Journal ](http://www.frontiersin.org/people/DOMINIQUEGUEGAN/601907/activity)[Frontiers in Artificial Intelligence](http://www.frontiersin.org/people/DOMINIQUEGUEGAN/601907/activity) for the section
Artificial Intelligence in Finance.
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Operational risk in blockchain paymentsFin-Tech HO2020 European Project: FINTECH Risk Management, University of Pavia, Feb 2019, Pavie, Italy
Conference papers
halshs-02125743v1
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Big Data, Artificial Intelligence and BlockchainBig Data, Artificial Intelligence and Blockchain, Université Saint-Louis du Sénégal, Mar 2019, Sénégal, Senegal
Conference papers
halshs-02137851v1
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Risks and Blockchain1st International Symposium on Entrepreneurship, Blockchain and Crypto-Finance, UTC Tunis, Apr 2019, Tunis, Tunisia
Conference papers
halshs-02129864v1
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Fintech and BlockchainReading seminars 2018-2019, University Ca Foscari, Apr 2019, Venise, Italy
Conference papers
halshs-02129853v1
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Credit Risk Analysis using Machine and Deep Learning ModelsCredit Risk Analysis Using Machine and Deep Learning Models, Università degli Studi di Padova, Jan 2019, Padoue, Italy
Conference papers
halshs-02125631v1
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Blockchain seminar: Risk and BlockchainBlockchain seminar: Risk and Blockchain, Conservatoire des Arts et Métiers (CNAM), Jan 2019, Paris, France
Conference papers
halshs-02125682v1
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Assessment of proxy-hedging in jet-fuel marketsIRMBAM 2018, Jul 2018, Nice, France
Conference papers
halshs-01905479v1
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Initial Token Offerings (ITOs) and corporate governanceForecasting Financial Markets (FFM), Sep 2018, Oxford, United Kingdom
Conference papers
halshs-01897035v1
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A new token: the CommodCoin. What could be its interest for financial market? A macro-economic modellingDigital, Innovation, Entrepreneurship and Financing, Jun 2018, Lyon, France
Conference papers
halshs-01897052v1
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Measuring risk an explosive environmentForecasting Financial Markets (FFM), Sep 2018, Oxford, United Kingdom
Conference papers
halshs-01896907v1
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Credit Risk Analysis Using machine and Deep Learning Models3small Business Risk, Financial Regulation and Big Data Analytics, Sep 2018, Palazzo Franchetti - Venice, Italy
Conference papers
halshs-01889154v1
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Measuring risk in an explosive environmentVietnam Symposium in Banking and Finance (VSBF), Oct 2018, Hué City, Vietnam
Conference papers
halshs-01917661v1
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Impact of multimodality of distributions on VaR and ES calculation10th International conference of the ERCIM WG on Computational and Methodological Statistics (CMStatistics 2017), Dec 2017, Senate House - Londres, United Kingdom
Conference papers
halshs-01899548v1
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Regulatory Learning: Credit Scoring Application of Machine LearningDMBD 2017, Jul 2017, Fukuoka, Japan
Conference papers
halshs-01905489v1
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Bitcoin and the challenge for regulationVietnam Symposium in Banking and Finance, Oct 2017, Ho Chi Minh City, Vietnam
Conference papers
halshs-01897056v1
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Risk Measures at Risk- Are we missing the point? Discussions around sub-additivity and distortionConference on Banking and Finance, Sep 2016, Porthmouth, United Kingdom
Conference papers
halshs-01906485v1
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Financial Regulation: More Accurate Measurements for Control Enhancements and the Capture of the Intrinsic Uncertainty of the VaRvsbf: 2016 Vietnam Symposium in Banking and Finance, Nov 2016, Hanoi, Vietnam
Conference papers
halshs-01906496v1
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Pricing alternatives in incomplete markets. An application for Carbon allowances2011 International Conference on Information and Finance (ICIF 2011), Nov 2011, Malaysia
Conference papers
halshs-00646829v1
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Derivative pricing and hedging on carbon market2009 International Conference on Computer and Development, Feb 2009, Kota Kinabalu, Malaysia
Conference papers
halshs-00646182v1
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Fractional seasonality: Models and Application to Economic Activity in the Euro AreaConference on Seasonality, Seasonal Adjustment and their Implications for Short-Term Analysis and Forecasting, May 2006, Luxembourg. pp.137 - 153
Conference papers
halshs-00185370v1
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A k- factor GIGARCH process : estimation and application to electricity market spot prices,Probabilistic methods applied to power systems, Jul 2004, United States. pp.1 - 7
Conference papers
halshs-00188533v1
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prediction in chaotic time series: methods and comparisons using simulations5th International ECASP Conference, 1997, Prague, Czech Republic. pp.215 - 218
Conference papers
halshs-00375663v1
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Comparison of several methods to predict chaotic time seriesInternational Conference on Complex Systems, 1997, Munich, Germany. pp.3793 - 3797
Conference papers
halshs-00375658v1
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Risk MeasurementSpringer. 215 p., 2019
Books
halshs-02119256v1
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A time series approach to option pricing: Models, Methods and Empirical PerformancesSpringer, 2015
Books
hal-01015308v1
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Future Perspectives in Risk Models and FinanceSpringer, 2015, 978-3-319-07524-2. ⟨10.1007/978-3-319-07524-2⟩
Books
hal-01310459v1
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Les chaos en finance: approche statistiqueEconomica, pp.465, 2003, Statistique mathématique et probabilité, Paul Deheuvels
Books
halshs-00180849v1
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Analyser les séries chronologiques avec S-Plus: une approche paramétriquePresses Universitaires de renne, pp.147, 2003
Books
halshs-00375652v1
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Séries chronologiques non linéaires à temps discretEconomica, pp.308, 1994, Statistique mathématique et probabilité
Books
halshs-00196420v1
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Distorsion Risk Measure or the Transformation of Unimodal Distributions into Multimodal FunctionsAlain Bensoussan, Dominique Guégan et Charles S. Tapiero. Future Perspectives in Risk Models and Finance, Springer, pp.71-88, 2015, 978-3-319-07523-5. ⟨10.1007/978-3-319-07524-2_2⟩
Book sections
hal-01310467v1
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Stress Testing Engineering: The Real Risk Measurement?Alain Bensoussan, Dominique Guégan et Charles S. Tapiero. Future Perspectives in Risk Models and Finance, Springer, pp.89-124, 2015, 978-3-319-07523-5. ⟨10.1007/978-3-319-07524-2_3⟩
Book sections
hal-01310469v1
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Nonlinear Dynamics and Wavelets for Business Cycle AnalysisWavelet Applications in Economics and Finance, 2014, 978-3-319-07060-5. ⟨10.1007/978-3-319-07061-2_4⟩
Book sections
hal-01310513v1
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Non-stationary sample and meta-distributionA. Basu, T. Samanta, A. Sen Gupta. ISI Platinum Jubilee volume: statistical science and interdisciplinary research (International Conference of Statistical Paradigms - Recent Advances and Reconciliations), Word Scientific Publishing, à paraître, 2013
Book sections
hal-00755507v1
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Predicting chaos with Lyapunov exponents: zero plays no role in forecasting chaotic systemsE. Tielo-Cuantle. Chaotic Systems, InTech Publishers, 25-38 (chapitre 2), 2011
Book sections
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Contagion Between the Financial Sphere and the Real Economy. Parametric and non Parametric Tools: A ComparisonCatherine Kyrtsou, Costas Vorlow. Progress in financial market research, NOVA publishers, pp.233-254, 2011
Book sections
halshs-00185373v1
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Alternative methods for forecasting GDPR. Barnett, F. Jawady. Nonlinear Modeling of Economic and Financial Time-Series, Emerald Publishers, Chapiter 5 (29 p.), 2010, Series International Symposia in Economic Theory and Econometrics - n°21
Book sections
halshs-00511979v1
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Value at Risk Computation in a Non-Stationary SettingGreg N. Gregoriou, Carsten S. Wehn, Christian Hoppe. Handbook on Model Risk : Measuring, managing and mitigating model risk, lessons from financial crisis, John Wiley, 431-454 - chapter 19, 2010
Book sections
halshs-00511995v1
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Local Lyapunov Exponents: A new way to predict chaotic systemsChristos H. Skiadas, Ioannis Dimotikalis, Charilaos Skiadas. Topics on Chaotic Systems: Selected papers from CHAOS 2008, International Conference, World Scientific Publishing, pp.158-185, 2009
Book sections
halshs-00511996v1
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Mettre les mathématiques financières au service du réelGaël Giraud, Cécile Renouard. 20 propositions pour réformer le capitalisme, Flammarion, 141-152 (chapitre 10), 2009
Book sections
halshs-00375378v1
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Former les analystes et opérateurs financiersGaël Giraud, Cécile Renouard. 20 propositions pour réformer le capitalisme, Flammarion, 95-104 (chapitre 6), 2009
Book sections
halshs-00375376v1
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Derivative pricing and hedging on carbon market2009 International Conference on Computer and Development, Kota Kinanalu (Malaysia), pp.130-133, 2009
Book sections
halshs-00755510v1
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Fractional and seasonal filteringJ.L. Mazi. Proceeding Book on the Conference Seasonality, Seasonal adjustment and its implication for short term analysis and forecasting, Eurostat, pp.121-132, 2008
Book sections
halshs-00646178v1
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Synthetic CDO Squared Pricing MethodologiesGreg N. Gregoriou, Paul U. Ali. Credit Derivatives Handbook - Global Perspectives, Innovations, and Market Drivers, MCGraw Hill, 361-377 (chapiter 16), 2008
Book sections
halshs-00265708v1
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Real-time detection of the business cycle using SETAR modelsG.L. Mazzi and G. Savio. Growth and Cycle in the Euro-zone, Palgrave MacMillan, New York, pp.221-232, 2006
Book sections
halshs-00185372v1
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