198 citations · 558 across the 17 of their papers we have counts for
17 papers
Macroeconomic Dynamics of Assets, Leverage and Trust
Jeroen Rozendaal, Yannick Malevergne, Didier Sornette
A macroeconomic model based on the economic variables (i) assets, (ii) leverage (defined as debt over asset) and (iii) trust (defined as the maximum sustainable leverage) is propos…
Zipf's law and maximum sustainable growth
Y. Malevergne, A. Saichev, D. Sornette
Zipf's law states that the number of firms with size greater than S is inversely proportional to S. Most explanations start with Gibrat's rule of proportional growth but require ad…
Gibrat's law for cities: uniformly most powerful unbiased test of the Pareto against the lognormal
Y. Malevergne, V. Pisarenko, D. Sornette
We address the general problem of testing a power law distribution versus a log-normal distribution in statistical data. This general problem is illustrated on the distribution of…
Theory of Zipf's Law and of General Power Law Distributions with Gibrat's law of Proportional Growth
A. Saichev, Y. Malevergne, D. Sornette
We summarize a book under publication with his title written by the three present authors, on the theory of Zipf's law, and more generally of power laws, driven by the mechanism of…
Heterogeneous expectations and long range correlation of the volatility of asset returns
Jerome Coulon, Yannick Malevergne
Inspired by the recent literature on aggregation theory, we aim at relating the long range correlation of the stocks return volatility to the heterogeneity of the investors' expect…
Self-Consistent Asset Pricing Models
Y. Malevergne, D. Sornette
We discuss the foundations of factor or regression models in the light of the self-consistency condition that the market portfolio (and more generally the risk factors) is (are) co…