3 citations · 6 across the 3 of their papers we have counts for
3 papers
physics.soc-ph2007★ 3 cited
A two-Factor Asset Pricing Model and the Fat Tail Distribution of Firm Sizes
Y. Malevergne, D. Sornette
In the standard equilibrium and/or arbitrage pricing framework, the value of any asset is uniquely specified from the belief that only the systematic risks need to be remunerated b…
physics.soc-ph2003
Empirical Distributions of Log-Returns: between the Stretched Exponential and the Power Law?
Y. Malevergne, V. F. Pisarenko, D. Sornette
A large consensus now seems to take for granted that the distributions of empirical returns of financial time series are regularly varying, with a tail exponent close to 3. We revi…
cond-mat.stat-mech2002★ 3 cited
Multi-Moments Method for Portfolio Management: Generalized Capital Asset Pricing Model in Homogeneous and Heterogeneous markets
Y. Malevergne, D. Sornette
We introduce a new set of consistent measures of risks, in terms of the semi-invariants of pdf's, such that the centered moments and the cumulants of the portfolio distribution of…