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