62 citations
- Capital Fund Management (France)FR11 papers
- Centre National de la Recherche ScientifiqueFR11 papers
- École PolytechniqueFR9 papers
- Académie des sciencesFR6 papers
- École Normale Supérieure de LyonFR4 papers
- Laboratoire de Géologie de Lyon : Terre, Planètes et EnvironnementFR4 papers
- Laboratoire d'Hydrodynamique de l'École polytechniqueFR4 papers
- Laboratoire d'Informatique de l'École PolytechniqueFR4 papers
- Lyon 1 UniversitéFR4 papers
- Structure et Instabilité des GénomesFR4 papers
- Université Jean MonnetFR4 papers
- Géosciences RennesFR2 papers
23 papers
Stationary Distributions of the Mode-switching Chiarella Model
Jutta G. Kurth, Jean-Philippe Bouchaud
We derive the stationary distribution in various regimes of the extended Chiarella model of financial markets. This model is a stochastic nonlinear dynamical system that encompasse…
Revisiting the Excess Volatility Puzzle Through the Lens of the Chiarella Model
Jutta G. Kurth, Adam A. Majewski, Jean-Philippe Bouchaud
We amend and extend the Chiarella model of financial markets to deal with arbitrary long-term value drifts in a consistent way. This allows us to improve upon existing calibration…
On the Optimization of Singular Spectrum Analyses: A Pragmatic Approach
Fernando Lopes, Dominique Gibert, Vincent Courtillot +2
Singular Spectrum Analysis (SSA) occupies a prominent place in the real signal analysis toolkit alongside Fourier and Wavelet analysis. In addition to the two aforementioned analys…
On the mechanism of thermal self-regulation of trees: a kind of homeothermic observation
Jean-Baptiste Boulé, Jean de Bremond d'Ars, Vincent Courtillot +6
What is certain is that surface temperatures around the globe vary considerably, regardless of the time scales or underlying causes. Since 1850, we have observed an average increas…
Information theory, Signal Analysis and Inverse Problem
Dominique Gibert, Fernando Lopes, Vincent Courtillot +2
This book is intended for teaching Signal Analysis methods and Inverse Problems theory. It is completely open access and will remain free. It is currently illustrated with examples…
On the effect of the luni-solar gravitational attraction on trees
Jean-Louis Le Mouël, Dominique Gibert, Jean-Baptiste Boulé +5
In this paper, we revisit old electrical measurements conducted on a poplar tree in 2003 (Gibert et al. 2006), which showed the presence of a diurnal electrical signal, attributed…