3 citations · 6 across the 3 of their papers we have counts for
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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…