53 citations · 273 across the 11 of their papers we have counts for
12 papers
Statistically validated lead-lag networks and inventory prediction in the foreign exchange market
Damien Challet, Rémy Chicheportiche, Mehdi Lallouache +1
We introduce a method to infer lead-lag networks of agents' actions in complex systems. These networks open the way to both microscopic and macroscopic states prediction in such sy…
Copulas and time series with long-ranged dependences
Rémy Chicheportiche, Anirban Chakraborti
We review ideas on temporal dependences and recurrences in discrete time series from several areas of natural and social sciences. We revisit existing studies and redefine the rele…
Non-linear dependences in finance
Rémy Chicheportiche
The thesis is composed of three parts. Part I introduces the mathematical and statistical tools that are relevant for the study of dependences, as well as statistical tests of Good…
A nested factor model for non-linear dependences in stock returns
Rémy Chicheportiche, Jean-Philippe Bouchaud
The aim of our work is to propose a natural framework to account for all the empirically known properties of the multivariate distribution of stock returns. We define and study a "…
The fine structure of volatility feedback II: overnight and intra-day effects
Pierre Blanc, Rémy Chicheportiche, Jean-Philippe Bouchaud
We decompose, within an ARCH framework, the daily volatility of stocks into overnight and intra-day contributions. We find, as perhaps expected, that the overnight and intra-day re…
Some applications of first-passage ideas to finance
Rémy Chicheportiche, Jean-Philippe Bouchaud
Many problems in finance are related to first passage times. Among all of them, we chose three on which we contributed personally. Our first example relates Kolmogorov-Smirnov like…
A model-free characterization of recurrences in stationary time series
Rémy Chicheportiche, Anirban Chakraborti
Study of recurrences in earthquakes, climate, financial time-series, etc. is crucial to better forecast disasters and limit their consequences. However, almost all the previous phe…
Weighted Kolmogorov-Smirnov test: Accounting for the tails
Rémy Chicheportiche, Jean-Philippe Bouchaud
Accurate goodness-of-fit tests for the extreme tails of empirical distributions is a very important issue, relevant in many contexts, including geophysics, insurance, and finance.…
The fine-structure of volatility feedback I: multi-scale self-reflexivity
Rémy Chicheportiche, Jean-Philippe Bouchaud
We attempt to unveil the fine structure of volatility feedback effects in the context of general quadratic autoregressive (QARCH) models, which assume that today's volatility can b…
Study of statistical correlations in intraday and daily financial return time series
Gayatri Tilak, Tamas Szell, Remy Chicheportiche +1
The aim of this article is to briefly review and make new studies of correlations and co-movements of stocks, so as to understand the "seasonalities" and market evolution. Using th…
Goodness-of-Fit tests with Dependent Observations
Remy Chicheportiche, Jean-Philippe Bouchaud
We revisit the Kolmogorov-Smirnov and Cramér-von Mises goodness-of-fit (GoF) tests and propose a generalisation to identically distributed, but dependent univariate random variable…
The joint distribution of stock returns is not elliptical
Rémy Chicheportiche, Jean-Philippe Bouchaud
Using a large set of daily US and Japanese stock returns, we test in detail the relevance of Student models, and of more general elliptical models, for describing the joint distrib…