Yannick Malevergne

Identifiants chercheurs

IdHAL :

yannick-malevergne

ORCID :

0000-0002-7787-4158

IdRef :

12482014X

VIAF :

7682643

ISNI :

0000000115918859

ResearcherID :

http://www.researcherid.com/rid/AFL-7491-2022

Présentation

Professeur de Finance

Ecole de Management de la Sorbonne - Université Paris 1 Panthéon-Sorbonne

Publications

Article dans une revue (30)

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
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
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
Book review: &quot;Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications&quot; by D. Ardia (Springer) Yannick Malevergne Mathematical Reviews, 2009 Article dans une revue hal-02312883v1
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
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
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
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
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 : &quot;Why Stock Market Crash?&quot; by D. Sornette (Princeton University Press) Yannick Malevergne Finance, 2004, 25 (2), pp.49-52 P Article dans une revue hal-02312884v1
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
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 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
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
Minimizing extremes Yannick Malevergne,Didier Sornette Risk, 2002, 15 (11), pp.129-132 P Article dans une revue hal-02312889v1
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
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 (1-2), pp.40-59 P Article dans une revue hal-02312895v1

Communication dans un congrès (3)

Longitudinal Cross-Temporal Dynamics in Foreign Exchange via Bayesian Multifractal Analysis Herwig Wendt,Patrice Abry,Yannick Malevergne,Marc Senneret,Gérald Perrinet al. 32rd European Signal Processing Conference (EUSIPCO 2024), Aug 2024, Lyon, France. pp.2527--2531 Communication dans un congrès hal-04699719v1
Foreign Exchange Multivariate Multifractal Analysis Patrice Abry,Yannick Malevergne,Herwig Wendt,Stéphane Jaffard,Marc Senneretet al. European Signal Processing Conference (EUSIPCO), European Association for Signal Processing (EURASIP), Aug 2022, Belgrade, Serbia. ⟨10.23919/EUSIPCO55093.2022.9909911⟩ Communication dans un congrès hal-03735497v2
Shuffling for understanding multifractality, application to asset price time series Patrice Abry,Yannick Malevergne,Herwig Wendt,Marc Senneret,Laurent Jaffrèset al. European Signal Processing Conference (EUSIPCO), Sep 2019, A Coruna, Spain Communication dans un congrès hal-02361738v1

Ouvrages (2)

Theory of Zipf's Law and Beyond Yannick Malevergne,Alex Saichev,Didier Sornette Springer, pp.171 P., 2010, 978-3-642-02945-5 Ouvrages hal-02298139v1
Extreme Financial Risks : From Dependence to Risk Management Yannick Malevergne,Didier Sornette Springer, XVI-312 p., 2006, 3-540-27264-X Ouvrages hal-02298069v1

Pré-publication, Document de travail (6)

How Analystss Ability Affects Forecast Timing Under Bias and Uncertainty? Yannick Malevergne,Hind Sami 2023 Pré-publication, Document de travail (working paper) hal-04011338v1
A linear-rational multi-curve term structure model with stochastic spread José da Fonseca,Komi Edem Dawui,Yannick Malevergne 2024 Pré-publication, Document de travail hal-04407022v1
A model of financial bubbles and drawdowns with non-local behavioral self-referencing Yannick Malevergne,Didier Sornette,Ran Wei 2023 Pré-publication, Document de travail (working paper) hal-04012267v1
A Linear-Rational Multi-Curve Term Structure Model with Stochastic Spread José da Fonseca,Edem Dawui,Yannick Malevergne 2023 Pré-publication, Document de travail (working paper) hal-04012277v1
New Results for Additive and Multiplicative Risk Apportionment Henri Loubergé,Yannick Malevergne,Béatrice Rey 2019 Pré-publication, Document de travail halshs-02100855v1
Heterogeneous expectations and long range correlation of the volatility of asset returns Jérôme Coulon,Yannick Malevergne 2010 Pré-publication, Document de travail halshs-00541953v1