47 citations · 75 across the 7 of their papers we have counts for
7 papers
Tempered Stable Processes with Time Varying Exponential Tails
Young Shin Kim, Kum-Hwan Roh, Raphael Douady
In this paper, we introduce a new time series model having a stochastic exponential tail. This model is constructed based on the Normal Tempered Stable distribution with a time-var…
Hamiltonian Flow Simulation of Rare Events
Raphael Douady, Shohruh Miryusupov
Hamiltonian Flow Monte Carlo(HFMC) methods have been implemented in engineering, biology and chemistry. HFMC makes large gradient based steps to rapidly explore the state space. Th…
Optimal Transport Filtering with Particle Reweighing in Finance
Raphael Douady, Shohruh Miryusupov
We show the application of an optimal transportation approach to estimate stochastic volatility process by using the flow that optimally transports the set of particles from the pr…
An Empirical Approach to Financial Crisis Indicators Based on Random Matrices
Antoine Kornprobst, Raphael Douady
The aim of this work is to build financial crisis indicators based on spectral properties of the dynamics of market data. After choosing an optimal size for a rolling window, the h…
The Precautionary Principle (with Application to the Genetic Modification of Organisms)
Nassim Nicholas Taleb, Rupert Read, Raphael Douady +2
We present a non-naive version of the Precautionary (PP) that allows us to avoid paranoia and paralysis by confining precaution to specific domains and problems. PP is intended to…
On the Super-Additivity and Estimation Biases of Quantile Contributions
Nassim N Taleb, Raphael Douady
Sample measures of top centile contributions to the total (concentration) are downward biased, unstable estimators, extremely sensitive to sample size and concave in accounting for…
The StressVaR: A New Risk Concept for Superior Fund Allocation
Cyril Coste, Raphael Douady, Ilija I. Zovko
In this paper we introduce a novel approach to risk estimation based on nonlinear factor models - the "StressVaR" (SVaR). Developed to evaluate the risk of hedge funds, the SVaR ap…