53 citations · 273 across the 11 of their papers we have counts for
7 papers · 1 filter
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…
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…
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…