198 citations · 558 across the 17 of their papers we have counts for
5 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…