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Yannick Malevergne

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This is information that was supplied by Yannick Malevergne in registering through RePEc. If you are Yannick Malevergne , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Yannick
Middle Name:
Last Name: Malevergne
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RePEc Short-ID: pma1286

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Affiliation

(34%) Conception de l'Action en Situation (CoActiS)
Location: Lyon/St-Etienne, France
Homepage: http://www.coactis.org/
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Handle: RePEc:edi:coactfr (more details at EDIRC)
(33%) EMLYON Business School
Location: Lyon, France
Homepage: http://www.em-lyon.com/
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Handle: RePEc:edi:emlyofr (more details at EDIRC)
(33%) Department of Management, Technology and Economics (D-MTEC)
Eidgenössische Technische Hochschule Zürich (ETHZ)
Location: Zürich, Switzerland
Homepage: http://www.mtec.ethz.ch/
Email:
Phone: +41 1 632 57 18
Fax: +41 1 632 10 47
Postal: ETH Zentrum KPL F 38.1, Kreuzplatz 5, 8032 Zürich
Handle: RePEc:edi:dmethch (more details at EDIRC)

Works

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Working papers

  1. Y. Malevergne & A. Saichev & D. Sornette, 2010. "Zipf's law and maximum sustainable growth," Papers 1012.0199, arXiv.org.
  2. Yannick Malevergne & Rey Beatrice, 2010. "Preserving preference rankings under non-financial background risk," Post-Print halshs-00520072, HAL.
  3. Yannick Malevergne & Rey Beatrice, 2009. "On Cross-risk Vulnerability," Post-Print halshs-00520050, HAL.
  4. Yannick Malevergne & Pedro Santa-Clara & Didier Sornette, 2009. "Professor Zipf goes to Wall Street," NBER Working Papers 15295, National Bureau of Economic Research, Inc.
  5. A. Saichev & Y. Malevergne & D. Sornette, 2008. "Theory of Zipf's Law and of General Power Law Distributions with Gibrat's law of Proportional Growth," Papers 0808.1828, arXiv.org.
  6. Jerome Coulon & Yannick Malevergne, 2008. "Heterogeneous expectations and long range correlation of the volatility of asset returns," Papers 0808.1538, arXiv.org.
  7. Y. Malevergne & D. Sornette, 2007. "A two-Factor Asset Pricing Model and the Fat Tail Distribution of Firm Sizes," Papers physics/0702027, arXiv.org.
  8. Y. Malevergne & D. Sornette, 2006. "Self-Consistent Asset Pricing Models," Papers physics/0608284, arXiv.org.
  9. D.Sornette & J.V. Andersen & Y. Malevergne, 2003. "Comprendre et Gérer les Risques Grands et Extrêmes," THEMA Working Papers 2003-32, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  10. Y. Malevergne & V. F. Pisarenko & D. Sornette, 2003. "Empirical Distributions of Log-Returns: between the Stretched Exponential and the Power Law?," Papers physics/0305089, arXiv.org.
  11. Y. Malevergne & D. Sornette, 2003. "VaR-Efficient Portfolios for a Class of Super- and Sub-Exponentially Decaying Assets Return Distributions," Papers physics/0301009, arXiv.org.
  12. Y. Malevergne & D. Sornette, 2002. "Hedging Extreme Co-Movements," Papers cond-mat/0205636, arXiv.org.
  13. Y. Malevergne & D. Sornette, 2002. "Collective Origin of the Coexistence of Apparent RMT Noise and Factors in Large Sample Correlation Matrices," Papers cond-mat/0210115, arXiv.org.
  14. Y. Malevergne & D. Sornette, 2002. "Tail Dependence of Factor Models," Papers cond-mat/0202356, arXiv.org.
  15. Y. Malevergne & D. Sornette, 2002. "Multi-Moments Method for Portfolio Management: Generalized Capital Asset Pricing Model in Homogeneous and Heterogeneous markets," Papers cond-mat/0207475, arXiv.org.
  16. Y. Malevergne & D. Sornette, 2002. "Investigating Extreme Dependences: Concepts and Tools," Papers cond-mat/0203166, arXiv.org.
  17. D. Sornette & Y. Malevergne & J. F. Muzy, 2002. "Volatility fingerprints of large shocks: Endogeneous versus exogeneous," Papers cond-mat/0204626, arXiv.org.
  18. A. Corcos & J. -P. Eckmann & A. Malaspinas & Y. Malevergne & D. Sornette, 2001. "Imitation and contrarian behavior: hyperbolic bubbles, crashes and chaos," Papers cond-mat/0109410, arXiv.org.
  19. D. Sornette & Y. Malevergne, 2001. "From Rational Bubbles to Crashes," Papers cond-mat/0102305, arXiv.org.
  20. Y. Malevergne & D. Sornette, 2001. "Testing the Gaussian Copula Hypothesis for Financial Assets Dependences," Papers cond-mat/0111310, arXiv.org.
  21. Y. Malevergne & D. Sornette, 2001. "Multi-dimensional Rational Bubbles and fat tails: application of stochastic regression equations to financial speculation," Papers cond-mat/0101371, arXiv.org.
  22. Y. Malevergne & D. Sornette, 2001. "General framework for a portfolio theory with non-Gaussian risks and non-linear correlations," Papers cond-mat/0103020, arXiv.org.
  23. Y. Malevergne & V. Pisarenko & D. Sornette, . "Gibrat’s law for cities: uniformly most powerful unbiased test of the Pareto against the lognormal," Swiss Finance Institute Research Paper Series 09-40, Swiss Finance Institute.
  24. Shengsui HU & Yannick MALEVERGNE & Didier SORNETTE, . "Investors’ Misperception: A Hidden Source of High Markups in the Mutual Fund Industry," Swiss Finance Institute Research Paper Series 09-04, Swiss Finance Institute.
  25. Xiaohui NI & Yannick MALEVERGNE & Didier SORNETTE & Peter WOEHRMANN, . "Robust reverse engineering of crosssectional returns and improved portfolio allocation performance using the CAPM," Swiss Finance Institute Research Paper Series 11-03, Swiss Finance Institute.

Articles

  1. Malevergne, Y. & Saichev, A. & Sornette, D., 2013. "Zipf's law and maximum sustainable growth," Journal of Economic Dynamics and Control, Elsevier, vol. 37(6), pages 1195-1212.
  2. J. Coulon & Y. Malevergne, 2011. "Heterogeneous expectations and long-range correlation of the volatility of asset returns," Quantitative Finance, Taylor & Francis Journals, vol. 11(9), pages 1329-1356, November.
  3. Malevergne, Y. & Rey, B., 2009. "On cross-risk vulnerability," Insurance: Mathematics and Economics, Elsevier, vol. 45(2), pages 224-229, October.
  4. Malevergne, Y. & Sornette, D., 2007. "Self-consistent asset pricing models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 149-171.
  5. Y. Malevergne & V. Pisarenko & D. Sornette, 2006. "The modified weibull distribution for asset returns: reply," Quantitative Finance, Taylor & Francis Journals, vol. 6(6), pages 451-451.
  6. Y. Malevergne & V. Pisarenko & D. Sornette, 2006. "On the power of generalized extreme value (GEV) and generalized Pareto distribution (GPD) estimators for empirical distributions of stock returns," Applied Financial Economics, Taylor & Francis Journals, vol. 16(3), pages 271-289.
  7. Y. Malevergne & V. Pisarenko & D. Sornette, 2005. "Empirical distributions of stock returns: between the stretched exponential and the power law?," Quantitative Finance, Taylor & Francis Journals, vol. 5(4), pages 379-401.
  8. Malevergne, Yannick, 2005. "Preparing for the Worst: Incorporating Downside Risk in Stock Market Investments. Hrishikesh D. Vinod and Derrick P. Reagle," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 1459-1460, December.
  9. Malevergne, Y. & Sornette, D., 2004. "Collective origin of the coexistence of apparent random matrix theory noise and of factors in large sample correlation matrices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 331(3), pages 660-668.
  10. Y. Malevergne & D. Sornette, 2003. "Testing the Gaussian copula hypothesis for financial assets dependences," Quantitative Finance, Taylor & Francis Journals, vol. 3(4), pages 231-250.
  11. A. Corcos & J-P Eckmann & A. Malaspinas & Y. Malevergne & D. Sornette, 2002. "Imitation and contrarian behaviour: hyperbolic bubbles, crashes and chaos," Quantitative Finance, Taylor & Francis Journals, vol. 2(4), pages 264-281.
  12. Sornette, D & Malevergne, Y, 2001. "From rational bubbles to crashes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 40-59.
  13. Y. Malevergne & D. Sornette, 2001. "Multi-dimensional rational bubbles and fat tails," Quantitative Finance, Taylor & Francis Journals, vol. 1(5), pages 533-541.

NEP Fields

3 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ECM: Econometrics (1) 2001-11-21. Author is listed
  2. NEP-RMG: Risk Management (1) 2009-08-30. Author is listed

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