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Yannick Malevergne

Personal Details

First Name:Yannick
Middle Name:
Last Name:Malevergne
Suffix:
RePEc Short-ID:pma1286
[This author has chosen not to make the email address public]
http://perso.univ-paris1.fr/ymalevergn

Affiliation

(90%) Pôle de Recherche Interdisciplinaire en Management (PRISM)
Université Paris 1 (Panthéon-Sorbonne)

Paris, France
http://prism.univ-paris1.fr/

: +33 (0) 140 463 170

17 rue de la Sorbonne, 75005 Paris
RePEc:edi:prip1fr (more details at EDIRC)

(10%) Department of Management, Technology and Economics (D-MTEC)
Eidgenössische Technische Hochschule Zürich (ETHZ)

Zürich, Switzerland
http://www.mtec.ethz.ch/

: +41 1 632 57 18
+41 1 632 10 47
ETH Zentrum KPL F 38.1, Kreuzplatz 5, 8032 Zürich
RePEc:edi:dmethch (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Books

Working papers

  1. Yannick Malevergne & Didier Sornette, 2016. "Wealth and Income Inequalities ← → r > g," Swiss Finance Institute Research Paper Series 16-69, Swiss Finance Institute.
  2. Jeroen Rozendaal & Yannick Malevergne & Didier Sornette, 2015. "Macroeconomic Dynamics of Assets, Leverage and Trust," Papers 1512.03618, arXiv.org.
  3. Y. Malevergne & A. Saichev & D. Sornette, 2010. "Zipf's law and maximum sustainable growth," Papers 1012.0199, arXiv.org.
  4. Yannick Malevergne & Rey Beatrice, 2010. "Preserving preference rankings under non-financial background risk," Post-Print halshs-00520072, HAL.
  5. Yannick Malevergne & Rey Beatrice, 2009. "On Cross-risk Vulnerability," Post-Print halshs-00520050, HAL.
  6. Yannick Malevergne & Pedro Santa-Clara & Didier Sornette, 2009. "Professor Zipf goes to Wall Street," NBER Working Papers 15295, National Bureau of Economic Research, Inc.
  7. 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.
  8. Jerome Coulon & Yannick Malevergne, 2008. "Heterogeneous expectations and long range correlation of the volatility of asset returns," Papers 0808.1538, arXiv.org.
  9. Y. Malevergne & D. Sornette, 2007. "A two-Factor Asset Pricing Model and the Fat Tail Distribution of Firm Sizes," Papers physics/0702027, arXiv.org.
  10. Y. Malevergne & D. Sornette, 2006. "Self-Consistent Asset Pricing Models," Papers physics/0608284, 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 & V. F. Pisarenko & D. Sornette, 2003. "Empirical Distributions of Log-Returns: between the Stretched Exponential and the Power Law?," Papers physics/0305089, arXiv.org.
  13. 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.
  14. Y. Malevergne & D. Sornette, 2002. "Investigating Extreme Dependences: Concepts and Tools," Papers cond-mat/0203166, arXiv.org.
  15. Y. Malevergne & D. Sornette, 2002. "Hedging Extreme Co-Movements," Papers cond-mat/0205636, arXiv.org.
  16. 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.
  17. 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.
  18. Y. Malevergne & D. Sornette, 2002. "Tail Dependence of Factor Models," Papers cond-mat/0202356, arXiv.org.
  19. D. Sornette & Y. Malevergne & J. F. Muzy, 2002. "Volatility fingerprints of large shocks: Endogeneous versus exogeneous," Papers cond-mat/0204626, arXiv.org.
  20. 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.
  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. "Testing the Gaussian Copula Hypothesis for Financial Assets Dependences," Papers cond-mat/0111310, arXiv.org.
  23. 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.
  24. D. Sornette & Y. Malevergne, 2001. "From Rational Bubbles to Crashes," Papers cond-mat/0102305, arXiv.org.
  25. Y. Malevergne & V. Pisarenko & D. Sornette, "undated". "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.
  26. Shengsui HU & Yannick MALEVERGNE & Didier SORNETTE, "undated". "Investors’ Misperception: A Hidden Source of High Markups in the Mutual Fund Industry," Swiss Finance Institute Research Paper Series 09-04, Swiss Finance Institute.
  27. Andreas D. Huesler & Yannick Malevergne & Didier Sornette, "undated". "Investors’ Expectations, Management Fees and the Underperformance of Mutual Funds," Swiss Finance Institute Research Paper Series 12-01, Swiss Finance Institute.
  28. Xiaohui NI & Yannick MALEVERGNE & Didier SORNETTE & Peter WOEHRMANN, "undated". "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. Y Malevergne & B Rey, 2010. "Preserving preference rankings under non-financial background risk," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 61(8), pages 1302-1308, August.
  4. Malevergne, Y. & Rey, B., 2009. "On cross-risk vulnerability," Insurance: Mathematics and Economics, Elsevier, vol. 45(2), pages 224-229, October.
  5. Malevergne, Y. & Sornette, D., 2007. "Self-consistent asset pricing models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 149-171.
  6. 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.
  7. 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.
  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. 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.
  10. 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.
  11. 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.
  12. 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.
  13. Sornette, D & Malevergne, Y, 2001. "From rational bubbles to crashes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 40-59.
  14. Y. Malevergne & D. Sornette, 2001. "Multi-dimensional rational bubbles and fat tails," Quantitative Finance, Taylor & Francis Journals, vol. 1(5), pages 533-541.

Books

  1. Alex Saichev & Yannick Malevergne & Didier Sornette, 2010. "Theory of Zipf's Law and Beyond," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-642-02946-2, June.

More information

Research fields, statistics, top rankings, if available.

Statistics

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 7 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (2) 2009-08-30 2010-10-02
  2. NEP-ECM: Econometrics (1) 2001-11-21
  3. NEP-FMK: Financial Markets (1) 2017-02-12
  4. NEP-MAC: Macroeconomics (1) 2017-02-12
  5. NEP-SOC: Social Norms & Social Capital (1) 2015-12-20
  6. NEP-UPT: Utility Models & Prospect Theory (1) 2010-10-02

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