198 citations · 558 across the 17 of their papers we have counts for
10 papers · 1 filter
Collective Origin of the Coexistence of Apparent RMT Noise and Factors in Large Sample Correlation Matrices
Y. Malevergne, D. Sornette
Through simple analytical calculations and numerical simulations, we demonstrate the generic existence of a self-organized macroscopic state in any large multivariate system posses…
Hedging Extreme Co-Movements
Y. Malevergne, D. Sornette
Based on a recent theorem due to the authors, it is shown how the extreme tail dependence between an asset and a factor or index or between two assets can be easily calibrated. Por…
Volatility fingerprints of large shocks: Endogeneous versus exogeneous
D. Sornette, Y. Malevergne, J. F. Muzy
Finance is about how the continuous stream of news gets incorporated into prices. But not all news have the same impact. Can one distinguish the effects of the Sept. 11, 2001 attac…
Investigating Extreme Dependences: Concepts and Tools
Y. Malevergne, D. Sornette
We investigate the relative information content of six measures of dependence between two random variables and for large or extreme events for several models of interest fo…
Tail Dependence of Factor Models
Y. Malevergne, D. Sornette
Using the framework of factor models, we establish the general expression of the coefficient of tail dependence between the market and a stock (i.e., the probability that the stock…
Testing the Gaussian Copula Hypothesis for Financial Assets Dependences
Y. Malevergne, D. Sornette
Using one of the key property of copulas that they remain invariant under an arbitrary monotonous change of variable, we investigate the null hypothesis that the dependence between…
Imitation and contrarian behavior: hyperbolic bubbles, crashes and chaos
A. Corcos, J. -P. Eckmann, A. Malaspinas +2
Imitative and contrarian behaviors are the two typical opposite attitudes of investors in stock markets. We introduce a simple model to investigate their interplay in a stock marke…
General framework for a portfolio theory with non-Gaussian risks and non-linear correlations
Y. Malevergne, D. Sornette
Using a family of modified Weibull distributions, encompassing both sub-exponentials and super-exponentials, to parameterize the marginal distributions of asset returns and their n…
From Rational Bubbles to Crashes
D. Sornette, Y. Malevergne
We study and generalize in various ways the model of rational expectation (RE) bubbles introduced by Blanchard and Watson in the economic literature. First, bubbles are argued to b…
Multi-dimensional Rational Bubbles and fat tails: application of stochastic regression equations to financial speculation
Y. Malevergne, D. Sornette
We extend the model of rational bubbles of Blanchard and of Blanchard and Watson to arbitrary dimensions d: a number d of market time series are made linearly interdependent via d…