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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]
https://www.pantheonsorbonne.fr/page-perso/ymalevergn

Affiliation

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

Paris, France
http://prism.univ-paris1.fr/
RePEc:edi:prip1fr (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters Books

Working papers

  1. José da Fonseca & Edem Dawui & Yannick Malevergne, 2023. "A Linear-Rational Multi-Curve Term Structure Model with Stochastic Spread," Working Papers hal-04012277, HAL.
  2. Yannick Malevergne & Hind Sami, 2023. "How Analystss Ability Affects Forecast Timing Under Bias and Uncertainty?," Working Papers hal-04011338, HAL.
  3. Patrice Abry & Yannick Malevergne & Herwig Wendt & Stéphane Jaffard & Marc Senneret & Laurent Jaffrès, 2022. "Foreign Exchange Multivariate Multifractal Analysis," Post-Print hal-03735497, HAL.
  4. Yannick Malevergne & Didier Sornette & Ran Wei, 2021. "A model of financial bubbles and drawdowns with non-local behavioral self-referencing," Swiss Finance Institute Research Paper Series 21-96, Swiss Finance Institute.
  5. José da Fonseca & Yannick Malevergne, 2021. "A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy," Post-Print halshs-03590382, HAL.
  6. Patrice Abry & Yannick Malevergne & Herwig Wendt & Marc Senneret & Laurent Jaffrès & Blaise Liaustrat, 2019. "Shuffling for understanding multifractality, application to asset price time series," Post-Print hal-02361738, HAL.
  7. Henri Loubergé & Yannick Malevergne & Béatrice Rey, 2019. "New Results for Additive and Multiplicative Risk Apportionment," Working Papers 1915, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon.
  8. Marc Senneret & Yannick Malevergne & Patrice Abry & Gerald Perrin & Laurent Jaffres, 2016. "Covariance Versus Precision Matrix Estimation for Efficient Asset Allocation," Post-Print halshs-03590388, HAL.
  9. Yannick Malevergne & Didier Sornette, 2016. "Wealth and Income Inequalities ← → r > g," Swiss Finance Institute Research Paper Series 16-69, Swiss Finance Institute.
  10. Jeroen Rozendaal & Yannick Malevergne & Didier Sornette, 2015. "Macroeconomic Dynamics of Assets, Leverage and Trust," Papers 1512.03618, arXiv.org.
  11. Andreas D. Huesler & Yannick Malevergne & Didier Sornette, 2012. "Investors’ Expectations, Management Fees and the Underperformance of Mutual Funds," Swiss Finance Institute Research Paper Series 12-01, Swiss Finance Institute.
  12. Xiaohui NI & Yannick MALEVERGNE & Didier SORNETTE & Peter WOEHRMANN, 2011. "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.
  13. Y. Malevergne & A. Saichev & D. Sornette, 2010. "Zipf's law and maximum sustainable growth," Papers 1012.0199, arXiv.org.
  14. Yannick Malevergne & B. Rey, 2010. "Preserving preference rankings under non-financial background risk," Post-Print hal-02312501, HAL.
  15. Yannick Malevergne & Alex Saichev & Didier Sornette, 2010. "Theory of Zipf's Law and Beyond," Post-Print hal-02298139, HAL.
  16. Y. Malevergne & V. Pisarenko & D. Sornette, 2009. "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.
  17. Shengsui HU & Yannick MALEVERGNE & Didier SORNETTE, 2009. "Investors’ Misperception: A Hidden Source of High Markups in the Mutual Fund Industry," Swiss Finance Institute Research Paper Series 09-04, Swiss Finance Institute.
  18. Yannick Malevergne & B. Rey, 2009. "On cross-risk vulnerability," Post-Print hal-02312539, HAL.
  19. Yannick Malevergne, 2009. "Book review: "Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications" by D. Ardia (Springer)," Post-Print hal-02312883, HAL.
  20. Yannick Malevergne & Pedro Santa-Clara & Didier Sornette, 2009. "Professor Zipf goes to Wall Street," NBER Working Papers 15295, National Bureau of Economic Research, Inc.
  21. 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.
  22. Jerome Coulon & Yannick Malevergne, 2008. "Heterogeneous expectations and long range correlation of the volatility of asset returns," Papers 0808.1538, arXiv.org.
  23. Y. Malevergne & D. Sornette, 2007. "A two-Factor Asset Pricing Model and the Fat Tail Distribution of Firm Sizes," Papers physics/0702027, arXiv.org.
  24. Y. Malevergne & D. Sornette, 2006. "Self-Consistent Asset Pricing Models," Papers physics/0608284, arXiv.org.
  25. Yannick Malevergne & Didier Sornette, 2006. "Extreme Financial Risks : From Dependence to Risk Management," Post-Print hal-02298069, HAL.
  26. Yannick Malevergne & Ali Chabaane & Jean-Paul Laurent & Françoise Turpin, 2006. "Alternative Risk Measures for Alternative Investments," Post-Print hal-02311832, HAL.
  27. Yannick Malevergne & Vladilen Pisarenko & Didier Sornette, 2006. "The modified weibull distribution for asset returns: reply," Post-Print hal-02311787, HAL.
  28. Yannick Malevergne & Vladilen Pisarenko & Didier Sornette, 2006. "On the Power of Generalized Extreme Value (GEV) and Generalized Pareto Distribution (GPD) Estimators for Empirical Distributions of Stock Returns," Post-Print hal-02311834, HAL.
  29. Yannick Malevergne & Vladilen Pisarenko & Didier Sornette, 2005. "Empirical Distributions of Stock Returns : Between the Stretched Exponential and the Power Law?," Post-Print hal-02311833, HAL.
  30. Yannick Malevergne, 2005. "Preparing for the Worst : Incorporating Downside Risk in Stock Market Investments," Post-Print hal-02311690, HAL.
  31. Yannick Malevergne & Didier Sornette, 2004. "How to account for extreme co-movements between individual stocks and the market," Post-Print hal-02312885, HAL.
  32. Yannick Malevergne & Didier Sornette, 2004. "Value-at-Risk-efficient portfolios for class of super- and sub-exponentially decaying assets return distributions," Post-Print hal-02312887, HAL.
  33. Yannick Malevergne, 2004. "Book review : "Why Stock Market Crash?" by D. Sornette (Princeton University Press)," Post-Print hal-02312884, HAL.
  34. Yannick Malevergne & Didier Sornette, 2004. "Collective origin of the coexistence of apparent random matrix theory noise and of factors in large sample correlation matrices," Post-Print hal-02312894, HAL.
  35. 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.
  36. 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.
  37. 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.
  38. Y. Malevergne & D. Sornette, 2002. "Investigating Extreme Dependences: Concepts and Tools," Papers cond-mat/0203166, arXiv.org.
  39. Y. Malevergne & D. Sornette, 2002. "Hedging Extreme Co-Movements," Papers cond-mat/0205636, arXiv.org.
  40. 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.
  41. 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.
  42. Yannick Malevergne & Didier Sornette, 2002. "Minimizing extremes," Post-Print hal-02312889, HAL.
  43. Y. Malevergne & D. Sornette, 2002. "Tail Dependence of Factor Models," Papers cond-mat/0202356, arXiv.org.
  44. D. Sornette & Y. Malevergne & J. F. Muzy, 2002. "Volatility fingerprints of large shocks: Endogeneous versus exogeneous," Papers cond-mat/0204626, arXiv.org.
  45. 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.
  46. Yannick Malevergne & Didier Sornette, 2001. "Multi-dimensional rational bubbles and fat tails," Post-Print hal-02312893, HAL.
  47. 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.
  48. Y. Malevergne & D. Sornette, 2001. "Testing the Gaussian Copula Hypothesis for Financial Assets Dependences," Papers cond-mat/0111310, arXiv.org.
  49. 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.
  50. D. Sornette & Y. Malevergne, 2001. "From Rational Bubbles to Crashes," Papers cond-mat/0102305, arXiv.org.

Articles

  1. Da Fonseca, José & Malevergne, Yannick, 2021. "A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy," Journal of Economic Dynamics and Control, Elsevier, vol. 128(C).
  2. Loubergé, Henri & Malevergne, Yannick & Rey, Béatrice, 2020. "New Results for additive and multiplicative risk apportionment," Journal of Mathematical Economics, Elsevier, vol. 90(C), pages 140-151.
  3. 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.
  4. 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.
  5. 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.
  6. Malevergne, Y. & Rey, B., 2009. "On cross-risk vulnerability," Insurance: Mathematics and Economics, Elsevier, vol. 45(2), pages 224-229, October.
  7. Malevergne, Y. & Sornette, D., 2007. "Self-consistent asset pricing models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 149-171.
  8. 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.
  9. 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.
  10. 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.
  11. 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.
  12. 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.
  13. 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.
  14. Sornette, D & Malevergne, Y, 2001. "From rational bubbles to crashes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 40-59.
  15. Y. Malevergne & D. Sornette, 2001. "Multi-dimensional rational bubbles and fat tails," Quantitative Finance, Taylor & Francis Journals, vol. 1(5), pages 533-541.

    RePEc:taf:apfiec:v:16:y:2006:i:3:p:271-289 is not listed on IDEAS

Chapters

  1. Alexander Saichev & Yannick Malevergne & Didier Sornette, 2010. "Flow of Firm Creation," Lecture Notes in Economics and Mathematical Systems, in: Theory of Zipf's Law and Beyond, chapter 0, pages 19-40, Springer.
  2. Alexander Saichev & Yannick Malevergne & Didier Sornette, 2010. "Deviations from Gibrat’s Law and Implications for Generalized Zipf’s Laws," Lecture Notes in Economics and Mathematical Systems, in: Theory of Zipf's Law and Beyond, chapter 0, pages 73-95, Springer.
  3. Alexander Saichev & Yannick Malevergne & Didier Sornette, 2010. "Firm’s Sudden Deaths," Lecture Notes in Economics and Mathematical Systems, in: Theory of Zipf's Law and Beyond, chapter 0, pages 97-122, Springer.
  4. Alexander Saichev & Yannick Malevergne & Didier Sornette, 2010. "Exit or “Death” of Firms," Lecture Notes in Economics and Mathematical Systems, in: Theory of Zipf's Law and Beyond, chapter 0, pages 59-72, Springer.
  5. Alexander Saichev & Yannick Malevergne & Didier Sornette, 2010. "Future Directions and Conclusions," Lecture Notes in Economics and Mathematical Systems, in: Theory of Zipf's Law and Beyond, chapter 0, pages 159-166, Springer.
  6. Alexander Saichev & Yannick Malevergne & Didier Sornette, 2010. "Non-stationary Mean Birth Rate," Lecture Notes in Economics and Mathematical Systems, in: Theory of Zipf's Law and Beyond, chapter 0, pages 123-145, Springer.
  7. Alexander Saichev & Yannick Malevergne & Didier Sornette, 2010. "Introduction," Lecture Notes in Economics and Mathematical Systems, in: Theory of Zipf's Law and Beyond, chapter 0, pages 1-7, Springer.
  8. Alexander Saichev & Yannick Malevergne & Didier Sornette, 2010. "Properties of the Realization Dependent Distribution of Firm Sizes," Lecture Notes in Economics and Mathematical Systems, in: Theory of Zipf's Law and Beyond, chapter 0, pages 147-157, Springer.
  9. Alexander Saichev & Yannick Malevergne & Didier Sornette, 2010. "Useful Properties of Realizations of the Geometric Brownian Motion," Lecture Notes in Economics and Mathematical Systems, in: Theory of Zipf's Law and Beyond, chapter 0, pages 41-57, Springer.
  10. Alexander Saichev & Yannick Malevergne & Didier Sornette, 2010. "Continuous Gibrat’s Law and Gabaix’s Derivation of Zipf’s Law," Lecture Notes in Economics and Mathematical Systems, in: Theory of Zipf's Law and Beyond, chapter 0, pages 9-18, Springer.

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, July.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 12 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 (5) 2009-08-30 2010-10-02 2019-04-22 2019-05-13 2022-01-17. Author is listed
  2. NEP-UPT: Utility Models and Prospect Theory (3) 2010-10-02 2019-04-22 2019-05-13
  3. NEP-BAN: Banking (1) 2022-01-17
  4. NEP-ECM: Econometrics (1) 2001-11-21
  5. NEP-ETS: Econometric Time Series (1) 2022-09-19
  6. NEP-FMK: Financial Markets (1) 2017-02-12
  7. NEP-MAC: Macroeconomics (1) 2017-02-12
  8. NEP-MIC: Microeconomics (1) 2019-04-22
  9. NEP-MST: Market Microstructure (1) 2023-08-14
  10. NEP-ORE: Operations Research (1) 2019-04-22
  11. NEP-SOC: Social Norms and Social Capital (1) 2015-12-20

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