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Yannick Malevergne

36
Documents
Identifiants chercheurs

Présentation

**Professor of Finance** **Sorbonne School of Management - Pantheon-Sorbonne University**
**Professeur de Finance** **Ecole de Management de la Sorbonne - Université Paris 1 Panthéon-Sorbonne**

Publications

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A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy

José da Fonseca , Yannick Malevergne
Journal of Economic Dynamics and Control, 2021, 128, pp.104137. ⟨10.1016/j.jedc.2021.104137⟩
Article dans une revue halshs-03590382v1
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New Results for additive and multiplicative risk apportionment

Henri Loubergé , Yannick Malevergne , Béatrice Rey
Journal of Mathematical Economics, 2020, 90, pp. 140-151. ⟨10.1016/j.jmateco.2020.07.004⟩
Article dans une revue halshs-02930294v1

Macroeconomic Dynamics of Assets, Leverage and Trust

Jeroen Rozendaal , Yannick Malevergne , Didier Sornette
International journal of bifurcation and chaos in applied sciences and engineering , 2016, 26 (08), pp.1650133. ⟨10.1142/S0218127416501339⟩
Article dans une revue halshs-03590386v1

Covariance Versus Precision Matrix Estimation for Efficient Asset Allocation

Marc Senneret , Yannick Malevergne , Patrice Abry , Gerald Perrin , Laurent Jaffres
IEEE Journal of Selected Topics in Signal Processing, 2016, 10 (6), pp.982-993. ⟨10.1109/JSTSP.2016.2577546⟩
Article dans une revue halshs-03590388v1

Investors' expectations, management fees and the underperformance of mutual funds

Andreas Huesler , Yannick Malevergne , Didier Sornette
International Journal of Portfolio Analysis and Management, 2014, 1 (4), pp.345-379 P
Article dans une revue hal-02313203v1

Zipf's law and maximum sustainable growth

Yannick Malevergne , Alex Saichev , Didier Sornette
Journal of Economic Dynamics and Control, 2013, 37 (6), pp.1195-1212 P
Article dans une revue hal-02313060v1
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Preserving preference rankings under non-financial background risk

Yannick Malevergne , Béatrice Rey
Journal of the Operational Research Society, 2010, 61, pp.1302-1308. ⟨10.1057/jors.2009.95⟩
Article dans une revue halshs-00520072v1

Preserving preference rankings under non-financial background risk

Yannick Malevergne , B. Rey
JORS, Journal of the Operational Research Society, 2010, 61(8), pp.1302-1308 P
Article dans une revue hal-02312501v1

On cross-risk vulnerability

Yannick Malevergne , B. Rey
Insurance: Mathematics and Economics, 2009, 45 (2), pp.224-229 P
Article dans une revue hal-02312539v1
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On Cross-risk Vulnerability

Yannick Malevergne , Béatrice Rey
Insurance: Mathematics and Economics, 2009, 45 (2), pp.224-229. ⟨10.1016/j.insmatheco.2009.06.002⟩
Article dans une revue halshs-00520050v1

Book review: "Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications" by D. Ardia (Springer)

Yannick Malevergne
Mathematical Reviews, 2009
Article dans une revue hal-02312883v1

Self-consistent asset pricing models

Yannick Malevergne , Didier Sornette
Physica A: Statistical Mechanics and its Applications, 2007, 382 (1), pp.149-171 P
Article dans une revue hal-02311789v1

On the Power of Generalized Extreme Value (GEV) and Generalized Pareto Distribution (GPD) Estimators for Empirical Distributions of Stock Returns

Yannick Malevergne , Vladilen Pisarenko , Didier Sornette
Applied Financial Economics, 2006, 16, pp.271-289 P
Article dans une revue hal-02311834v1

The modified weibull distribution for asset returns: reply

Yannick Malevergne , Vladilen Pisarenko , Didier Sornette
Quantitative Finance, 2006, 6 (6), pp.451 P
Article dans une revue hal-02311787v1

Alternative Risk Measures for Alternative Investments

Yannick Malevergne , Ali Chabaane , Jean-Paul Laurent , Françoise Turpin
The Journal of Risk, 2006, 8 (4), pp.1-32 P
Article dans une revue hal-02311832v1

Empirical Distributions of Stock Returns : Between the Stretched Exponential and the Power Law?

Yannick Malevergne , Vladilen Pisarenko , Didier Sornette
Quantitative Finance, 2005, 5, pp.379-401 P
Article dans une revue hal-02311833v1

Preparing for the Worst : Incorporating Downside Risk in Stock Market Investments

Yannick Malevergne
Journal of the American Statistical Association, 2005, 100 (472), pp.1459-1460 P
Article dans une revue hal-02311690v1

How to account for extreme co-movements between individual stocks and the market

Yannick Malevergne , Didier Sornette
The Journal of Risk, 2004, 6 (3), pp.71-116 P
Article dans une revue hal-02312885v1

Value-at-Risk-efficient portfolios for class of super- and sub-exponentially decaying assets return distributions

Yannick Malevergne , Didier Sornette
Quantitative Finance, 2004, 4 (1), pp.17-36 P
Article dans une revue hal-02312887v1

Collective origin of the coexistence of apparent random matrix theory noise and of factors in large sample correlation matrices

Yannick Malevergne , Didier Sornette
Physica A: Statistical Mechanics and its Applications, 2004, 331 (3-4), pp.660-668 P
Article dans une revue hal-02312894v1

Book review : "Why Stock Market Crash?" by D. Sornette (Princeton University Press)

Yannick Malevergne
Finance, 2004, 25 (2), pp.49-52 P
Article dans une revue hal-02312884v1

Volatility fingerprints of large shocks: Endogeneous versus exogeneous

D. Sornette , Y. Malevergne , J. F. Muzy
Risk, 2003, 16, pp.67-71
Article dans une revue hal-00119503v1

Testing the Gaussian copula hypothesis for financial assets dependence

Yannick Malevergne , Didier Sornette
Quantitative Finance, 2003, 3 (4), pp.231-250 P
Article dans une revue hal-02312888v1
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Testing the Gaussian copula hypothesis for financial assets dependences

Yannick Malevergne , Didier Sornette
Quantitative Finance, 2003, 3 (4), pp.231-250. ⟨10.1088/1469-7688/3/4/301⟩
Article dans une revue hal-00520539v1

Minimizing extremes

Yannick Malevergne , Didier Sornette
Risk, 2002, 15 (11), pp.129-132 P
Article dans une revue hal-02312889v1
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Imitation and contrarian behavior: hyperbolic bubbles, crashes and chaos

Anne Corcos , Jean-Pierre Eckmann , A. Malaspinas , Yannick Malevergne , Didier Sornette
Quantitative Finance, 2002, 2 (4), pp.264-281. ⟨10.1088/1469-7688/2/4/303⟩
Article dans une revue hal-03833822v1

Imitation and contrarian behavior : hyperbolic bubbles, crashes and chaos

Anne Corcos , J.P. Eckmann , A. Malaspinas , Yannick Malevergne , Didier Sornette
Quantitative Finance, 2002, 2 (4), pp.264-281 P
Article dans une revue hal-02312891v1

From rational bubbles to crashes

Didier Sornette , Yannick Malevergne
Physica A: Statistical Mechanics and its Applications, 2001, 299 (1-2), pp.40-59 P
Article dans une revue hal-02312895v1

Multi-dimensional rational bubbles and fat tails

Yannick Malevergne , Didier Sornette
Quantitative Finance, 2001, 1 (5), pp.533-541 P
Article dans une revue hal-02312893v1

From Rational Bubbles to Crashes

Didier Sornette , Yannick Malevergne
Physica A: Statistical Mechanics and its Applications, 2001, 299, pp.40-59
Article dans une revue hal-00119500v1
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Foreign Exchange Multivariate Multifractal Analysis

Patrice Abry , Yannick Malevergne , Herwig Wendt , Stéphane Jaffard , Marc Senneret
European Signal Processing Conference (EUSIPCO), European Association for Signal Processing (EURASIP), Aug 2022, Belgrade, Serbia
Communication dans un congrès hal-03735497v2
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Shuffling for understanding multifractality, application to asset price time series

Patrice Abry , Yannick Malevergne , Herwig Wendt , Marc Senneret , Laurent Jaffrès
European Signal Processing Conference (EUSIPCO), Sep 2019, A Coruna, Spain
Communication dans un congrès hal-02361738v1