88 citations · 559 across the 17 of their papers we have counts for
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q-fin.ST2010★ 40 cited
Principal Regression Analysis and the index leverage effect
Pierre-Alain Reigneron, Romain Allez, Jean-Philippe Bouchaud
We revisit the index leverage effect, that can be decomposed into a volatility effect and a correlation effect. We investigate the latter using a matrix regression analysis, that w…
q-fin.ST2010★ 44 cited
Individual and collective stock dynamics: intra-day seasonalities
Romain Allez, Jean-Philippe Bouchaud
We establish several new stylised facts concerning the intra-day seasonalities of stock dynamics. Beyond the well known U-shaped pattern of the volatility, we find that the average…