953 citations
- Centre National de la Recherche ScientifiqueFR111 papers
- Laboratoire Structures, Propriétés et Modélisation des SolidesFR41 papers
- CentraleSupélecFR37 papers
- Laboratoire d'Énergétique Moléculaire et Macroscopique, CombustionFR37 papers
- Institut national de recherche en sciences et technologies du numériqueFR20 papers
- Université Paris-SudFR14 papers
- Commissariat à l'Énergie Atomique et aux Énergies AlternativesFR12 papers
- École Centrale d'ÉlectroniqueFR12 papers
- École Normale Supérieure Paris-SaclayFR9 papers
- University of Arkansas at FayettevilleUS9 papers
- CEA Paris-SaclayFR6 papers
- Centre de Vision NumériqueFR6 papers
8 papers · 1 filter
The limits of statistical significance of Hawkes processes fitted to financial data
Mehdi Lallouache, Damien Challet
Many fits of Hawkes processes to financial data look rather good but most of them are not statistically significant. This raises the question of what part of market dynamics this m…
Statistical inference of co-movements of stocks during a financial crisis
Takero Ibuki, Shunsuke Higano, Sei Suzuki +2
In order to figure out and to forecast the emergence phenomena of social systems, we propose several probabilistic models for the analysis of financial markets, especially around a…
The fine structure of volatility feedback II: overnight and intra-day effects
Pierre Blanc, Rémy Chicheportiche, Jean-Philippe Bouchaud
We decompose, within an ARCH framework, the daily volatility of stocks into overnight and intra-day contributions. We find, as perhaps expected, that the overnight and intra-day re…
Predicting financial markets with Google Trends and not so random keywords
Damien Challet, Ahmed Bel Hadj Ayed
We check the claims that data from Google Trends contain enough data to predict future financial index returns. We first discuss the many subtle (and less subtle) biases that may a…
The fine-structure of volatility feedback I: multi-scale self-reflexivity
Rémy Chicheportiche, Jean-Philippe Bouchaud
We attempt to unveil the fine structure of volatility feedback effects in the context of general quadratic autoregressive (QARCH) models, which assume that today's volatility can b…
Study of statistical correlations in intraday and daily financial return time series
Gayatri Tilak, Tamas Szell, Remy Chicheportiche +1
The aim of this article is to briefly review and make new studies of correlations and co-movements of stocks, so as to understand the "seasonalities" and market evolution. Using th…