Rémy Chicheportiche
Rémy Chicheportiche
Ecole Centrale Paris, Capital Fund Management
Email verificata su alumni.epfl.ch - Home page
TitoloCitata daAnno
The joint distribution of stock returns is not elliptical
R Chicheportiche, JP Bouchaud
International Journal of Theoretical and Applied Finance 15 (03), 1250019, 2012
472012
Weighted Kolmogorov-Smirnov test: accounting for the tails
R Chicheportiche, JP Bouchaud
Physical Review E 86 (4), 1115, 2012
432012
The fine-structure of volatility feedback I: Multi-scale self-reflexivity
R Chicheportiche, JP Bouchaud
Physica A: Statistical Mechanics and its Applications, 2014
31*2014
Goodness-of-fit tests with dependent observations
R Chicheportiche, JP Bouchaud
Journal of Statistical Mechanics: Theory and Experiment 2011 (09), P09003, 2011
302011
Study of statistical correlations in intraday and daily financial return time series
G Tilak, T Széll, R Chicheportiche, A Chakraborti
Econophysics of Systemic Risk and Network Dynamics, 77-104, 2013
192013
The fine structure of volatility feedback II: overnight and intra-day effects
P Blanc, R Chicheportiche, JP Bouchaud
Physica A: Statistical Mechanics and its Applications 402, 58-75, 2014
172014
Copulas and time series with long-ranged dependencies
R Chicheportiche, A Chakraborti
Physical Review E 89 (4), 042117, 2014
17*2014
A nested factor model for non-linear dependences in stock returns
R Chicheportiche, JP Bouchaud
arXiv preprint arXiv:1309.3102, 2013
15*2013
Some applications of first-passage ideas to finance
R Chicheportiche, JP Bouchaud
First-Passage Phenomena and Their Applications, 447--476, 2014
132014
Non-linear dependences in finance
R Chicheportiche
arXiv preprint arXiv:1309.5073, 2013
112013
Statistically validated lead-lag networks and inventory prediction in the foreign exchange market
D Challet, R Chicheportiche, M Lallouache, S Kassibrakis
Advances in Complex Systems 21 (08), 1850019, 2018
10*2018
A model-free characterization of recurrences in stationary time series
R Chicheportiche, A Chakraborti
Physica A: Statistical Mechanics and its Applications 474, 312-318, 2017
7*2017
Dépendances entre actions US: une modélisation en arbre
R Chicheportiche
Master's thesis, ENSAE ParisTech, 4-7, 2010
42010
An introduction to econophysics and quantitative finance
R Chicheportiche, T Jaisson, I Mastromatteo, V Vargas
ESAIM: Proceedings and Surveys 51, 320-336, 2015
2015
THE CFM-IMPERIAL INAUGURAL SEMINAR
Y Lemperière, J de la Taillade, R Chicheportiche, N Bercot, ...
Il sistema al momento non può eseguire l'operazione. Riprova più tardi.
Articoli 1–15