44 citations · 74 across the 7 of their papers we have counts for
8 papers
Multivariate backtests and copulas for risk evaluation
Boris David, Gilles Zumbach
Risk evaluation is a forecast, and its validity must be backtested. Probability distribution forecasts are used in this work and allow for more powerful validations compared to poi…
Tile test for back-testing risk evaluation
Gilles Zumbach
A new test for measuring the accuracy of financial market risk estimations is introduced. It is based on the probability integral transform (PIT) of the ex post realized returns us…
Time reversal invariance in finance
Gilles Zumbach
Time reversal invariance can be summarized as follows: no difference can be measured if a sequence of events is run forward or backward in time. Because price time series are domin…
Volatility conditional on price trends
Gilles Zumbach
The influence of the past price behaviour on the realized volatility is investigated in the present article. The results show that trending (drifting) prices lead to increased (dec…
The Dynamics of Financial Markets -- Mandelbrot's multifractal cascades, and beyond
Lisa Borland, Jean-Philippe Bouchaud, Jean-Francois Muzy +1
This is a short review in honor of B. Mandelbrot's 80st birthday, to appear in W ilmott magazine. We discuss how multiplicative cascades and related multifractal ideas might be rel…
How the trading activity scales with the company sizes in the FTSE 100
Gilles Zumbach
This paper investigates the scaling dependencies between measures of "activity" and of "size" for companies included in the FTSE 100. The "size" of companies is measured by the tot…