198 citations · 558 across the 17 of their papers we have counts for
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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…