1 citations · 3 across the 4 of their papers we have counts for
5 papers
Look-Ahead Benchmark Bias in Portfolio Performance Evaluation
Gilles Daniel, Didier Sornette, Peter Wohrmann
Performance of investment managers are evaluated in comparison with benchmarks, such as financial indices. Due to the operational constraint that most professional databases do not…
Econophysics: historical perspectives
G. Daniel, D. Sornette
Econophysics embodies the recent upsurge of interest by physicists into financial economics, driven by the availability of large amount of data, job shortage in physics and the pos…
Traders imprint themselves by adaptively updating their own avatar
Gilles Daniel, Lev Muchnik, Sorin Solomon
Simulations of artificial stock markets were considered as early as 1964 and multi-agent ones were introduced as early as 1989. Starting the early 90's, collaborations of economist…
Goodness-of-fit of the Heston model
Gilles Daniel
An analytical formula for the probability distribution of stock-market returns, derived from the Heston model assuming a mean-reverting stochastic volatility, was recently proposed…
Stochastic Volatility in a Quantitative Model of Stock Market Returns
Gilles Daniel
Standard quantitative models of the stock market predict a log-normal distribution for stock returns (Bachelier 1900, Osborne 1959), but it is recognised (Fama 1965) that empirical…