papers
Publications (18)
cond-mat.stat-mech2001
Testing the Gaussian Copula Hypothesis for Financial Assets Dependences
Y. Malevergne, D. Sornette
q-fin.GN2008
Theory of Zipf's Law and of General Power Law Distributions with Gibrat's law of Proportional Growth
A. Saichev, Y. Malevergne, D. Sornette
cond-mat.stat-mech2002
Multi-Moments Method for Portfolio Management: Generalized Capital Asset Pricing Model in Homogeneous and Heterogeneous markets
Y. Malevergne, D. Sornette
cond-mat.stat-mech2001
Multi-dimensional Rational Bubbles and fat tails: application of stochastic regression equations to financial speculation
Y. Malevergne, D. Sornette
cond-mat.stat-mech2002
Volatility fingerprints of large shocks: Endogeneous versus exogeneous
D. Sornette, Y. Malevergne, J. F. Muzy
physics.soc-ph2010
Zipf's law and maximum sustainable growth
Y. Malevergne, A. Saichev, D. Sornette
cond-mat.stat-mech2001
From Rational Bubbles to Crashes
D. Sornette, Y. Malevergne
cond-mat.stat-mech2002
Collective Origin of the Coexistence of Apparent RMT Noise and Factors in Large Sample Correlation Matrices
Y. Malevergne, D. Sornette
physics.soc-ph2006
Self-Consistent Asset Pricing Models
Y. Malevergne, D. Sornette
physics.soc-ph2003
VaR-Efficient Portfolios for a Class of Super- and Sub-Exponentially Decaying Assets Return Distributions
Y. Malevergne, D. Sornette
physics.data-an2009
Gibrat's law for cities: uniformly most powerful unbiased test of the Pareto against the lognormal
Y. Malevergne, V. Pisarenko, D. Sornette
cond-mat.stat-mech2001
Imitation and contrarian behavior: hyperbolic bubbles, crashes and chaos
A. Corcos, J. -P. Eckmann, A. Malaspinas +2
cond-mat.stat-mech2001
General framework for a portfolio theory with non-Gaussian risks and non-linear correlations
Y. Malevergne, D. Sornette
cond-mat.stat-mech2002
Investigating Extreme Dependences: Concepts and Tools
Y. Malevergne, D. Sornette
cond-mat.stat-mech2002
Tail Dependence of Factor Models
Y. Malevergne, D. Sornette
physics.soc-ph2003
Empirical Distributions of Log-Returns: between the Stretched Exponential and the Power Law?
Y. Malevergne, V. F. Pisarenko, D. Sornette
physics.soc-ph2007
A two-Factor Asset Pricing Model and the Fat Tail Distribution of Firm Sizes
Y. Malevergne, D. Sornette
cond-mat.stat-mech2002
Hedging Extreme Co-Movements
Y. Malevergne, D. Sornette