4 citations · 11 across the 15 of their papers we have counts for
8 papers · 1 filter
Estimation of bid-ask spreads in the presence of serial dependence
Xavier Brouty, Matthieu Garcin, Hugo Roccaro
Starting from a basic model in which the dynamic of the transaction prices is a geometric Brownian motion disrupted by a microstructure white noise, corresponding to the random alt…
Fractal properties, information theory, and market efficiency
Xavier Brouty, Matthieu Garcin
Considering that both the entropy-based market information and the Hurst exponent are useful tools for determining whether the efficient market hypothesis holds for a given asset,…
Complexity measure, kernel density estimation, bandwidth selection, and the efficient market hypothesis
Matthieu Garcin
We are interested in the nonparametric estimation of the probability density of price returns, using the kernel approach. The output of the method heavily relies on the selection o…
A statistical test of market efficiency based on information theory
Xavier Brouty, Matthieu Garcin
We determine the amount of information contained in a time series of price returns at a given time scale, by using a widespread tool of the information theory, namely the Shannon e…
Credit scoring using neural networks and SURE posterior probability calibration
Matthieu Garcin, Samuel Stephan
In this article we compare the performances of a logistic regression and a feed forward neural network for credit scoring purposes. Our results show that the logistic regression gi…
Long vs Short Time Scales: the Rough Dilemma and Beyond
Matthieu Garcin, Martino Grasselli
Using a large dataset on major FX rates, we test the robustness of the rough fractional volatility model over different time scales, by including smoothing and measurement errors i…
Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics
Ayoub Ammy-Driss, Matthieu Garcin
This paper investigates the impact of COVID-19 on financial markets. It focuses on the evolution of the market efficiency, using two efficiency indicators: the Hurst exponent and t…
Estimation of time-varying kernel densities and chronology of the impact of COVID-19 on financial markets
Matthieu Garcin, Jules Klein, Sana Laaribi
The time-varying kernel density estimation relies on two free parameters: the bandwidth and the discount factor. We propose to select these parameters so as to minimize a criterion…