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Université Paris I Panthéon-Sorbonne: Paris, Île-de-France, FR

2016-09-01 to present | Professeur de Finance (Ecole de Management de la Sorbonne)
Employment
Source: Self-asserted source
yannick malevergne

Works (32)

Wassertein Gan Synthesis for Time Series with Complex Temporal Dynamics: Frugal Architectures and Arbitrary Sample-Size Generation

ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings
2023 | Conference paper
EID:

2-s2.0-85168726937

Part of ISBN: 9781728163277
Part of ISSN: 15206149
Contributors: Beroud, Th.; Abry, P.; Malevergne, Y.; Senneret, M.; Perrin, G.; Macq, J.
Source: Self-asserted source
yannick malevergne via Scopus - Elsevier

Foreign Exchange Multivariate Multifractal Analysis

European Signal Processing Conference
2022 | Conference paper
EID:

2-s2.0-85141011060

Part of ISSN: 22195491
Contributors: Abry, P.; Malevergne, Y.; Wendt, H.; Jaffard, S.; Senneret, M.; Jaffrès, L.
Source: Self-asserted source
yannick malevergne via Scopus - Elsevier

A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy

Journal of Economic Dynamics and Control
2021 | Journal article
EID:

2-s2.0-85110292007

Part of ISSN: 01651889
Contributors: Da Fonseca, J.; Malevergne, Y.
Source: Self-asserted source
yannick malevergne via Scopus - Elsevier

New Results for additive and multiplicative risk apportionment

Journal of Mathematical Economics
2020 | Journal article
EID:

2-s2.0-85089100030

Part of ISSN: 18731538 03044068
Contributors: Loubergé, H.; Malevergne, Y.; Rey, B.
Source: Self-asserted source
yannick malevergne via Scopus - Elsevier

Shuffling for understanding multifractality, application to asset price time series

European Signal Processing Conference
2019 | Conference paper
EID:

2-s2.0-85075608346

Part of ISSN: 22195491
Contributors: Abry, P.; Malevergne, Y.; Wendt, H.; Senneret, M.; Jaffrès, L.; Liaustrat, B.
Source: Self-asserted source
yannick malevergne via Scopus - Elsevier

Covariance Versus Precision Matrix Estimation for Efficient Asset Allocation

IEEE Journal on Selected Topics in Signal Processing
2016 | Journal article
EID:

2-s2.0-84982261494

Contributors: Senneret, M.; Malevergne, Y.; Abry, P.; Perrin, G.; Jaffrès, L.
Source: Self-asserted source
yannick malevergne via Scopus - Elsevier

Macroeconomic Dynamics of Assets, Leverage and Trust

International Journal of Bifurcation and Chaos
2016 | Journal article
EID:

2-s2.0-84981309808

Contributors: Rozendaal, J.C.; Malevergne, Y.; Sornette, D.
Source: Self-asserted source
yannick malevergne via Scopus - Elsevier

Multi-moment Method for Portfolio Management: Generalised Capital Asset Pricing Model in Homogeneous and Heterogeneous Markets

Multi-moment Asset Allocation and Pricing Models
2015 | Book chapter
EID:

2-s2.0-84953432734

Contributors: Malevergne, Y.; Sornette, D.
Source: Self-asserted source
yannick malevergne via Scopus - Elsevier

Investors' expectations, management fees and the underperformance of mutual funds

International Journal of Portfolio Analysis and Management
2014 | Journal article
Part of ISSN: 2048-2361
Part of ISSN: 2048-237X
Contributors: Andreas Huesler; Yannick Malevergne; Didier Sornette
Source: Self-asserted source
yannick malevergne

Zipf's law and maximum sustainable growth

Journal of Economic Dynamics and Control
2013 | Journal article
EID:

2-s2.0-84878015935

Contributors: Malevergne, Y.; Saichev, A.; Sornette, D.
Source: Self-asserted source
yannick malevergne via Scopus - Elsevier

Heterogeneous expectations and long-range correlation of the volatility of asset returns

Quantitative Finance
2011 | Journal article
EID:

2-s2.0-80052301271

Contributors: Coulon, J.; Malevergne, Y.
Source: Self-asserted source
yannick malevergne via Scopus - Elsevier

Robust reverse engineering of cross-sectional returns and improved portfolio allocation performance using the CAPM

Journal of Portfolio Management
2011 | Journal article
EID:

2-s2.0-79960804399

Contributors: Ni, X.; Malevergne, Y.; Sornette, D.; Woehrmann, P.
Source: Self-asserted source
yannick malevergne via Scopus - Elsevier

Testing the Pareto against the lognormal distributions with the uniformly most powerful unbiased test applied to the distribution of cities

Physical Review E - Statistical, Nonlinear, and Soft Matter Physics
2011 | Journal article
EID:

2-s2.0-79961062860

Contributors: Malevergne, Y.; Pisarenko, V.; Sornette, D.
Source: Self-asserted source
yannick malevergne via Scopus - Elsevier

Preserving preference rankings under non-financial background risk

Journal of the Operational Research Society
2010 | Journal article
EID:

2-s2.0-77954821684

Contributors: Malevergne, Y.; Rey, B.
Source: Self-asserted source
yannick malevergne via Scopus - Elsevier

Theory of Zipf's law and beyond

Lecture Notes in Economics and Mathematical Systems
2010 | Book
EID:

2-s2.0-79960100669

Contributors: Saichev, A.; Sornette, D.; Malevergne, Y.
Source: Self-asserted source
yannick malevergne via Scopus - Elsevier

On cross-risk vulnerability

Insurance: Mathematics and Economics
2009 | Journal article
EID:

2-s2.0-70349249351

Contributors: Malevergne, Y.; Rey, B.
Source: Self-asserted source
yannick malevergne via Scopus - Elsevier

Self-consistent asset pricing models

Physica A: Statistical Mechanics and its Applications
2007 | Journal article
EID:

2-s2.0-34249802884

Contributors: Malevergne, Y.; Sornette, D.
Source: Self-asserted source
yannick malevergne via Scopus - Elsevier

Extreme financial risks: From dependence to risk management

Extreme Financial Risks: From Dependence to Risk Management
2006 | Book
EID:

2-s2.0-84889763311

Contributors: Malevergn, Y.; Sornette, D.
Source: Self-asserted source
yannick malevergne via Scopus - Elsevier

On the power of generalized extreme value (GEV) and generalized Pareto distribution (GPD) estimators for empirical distributions of stock returns

Applied Financial Economics
2006 | Journal article
EID:

2-s2.0-30844464544

Contributors: Malevergne, Y.; Pisarenko, V.; Sornette, D.
Source: Self-asserted source
yannick malevergne via Scopus - Elsevier

The modified Weibull distribution for asset returns: Reply

Quantitative Finance
2006 | Journal article
EID:

2-s2.0-33751506150

Contributors: Malevergne, Y.; Pisarenko, V.; Sornette, D.
Source: Self-asserted source
yannick malevergne via Scopus - Elsevier

Alternative risk measures for alternative investments

The Journal of Risk
2006-07 | Journal article
Part of ISSN: 1465-1211
Contributors: A Chabaane; J Laurent; Y Malevergne; F Turpin
Source: Self-asserted source
yannick malevergne

Empirical distributions of stock returns: Between the stretched exponential and the power law?

Quantitative Finance
2005 | Journal article
EID:

2-s2.0-24144465546

Contributors: Malevergne, Y.; Pisarenko, V.; Sornette
Source: Self-asserted source
yannick malevergne via Scopus - Elsevier

Higher-moment portfolio theory

Journal of Portfolio Management
2005 | Journal article
EID:

2-s2.0-24144478974

Contributors: Malevergne, Y.; Sornette, D.
Source: Self-asserted source
yannick malevergne via Scopus - Elsevier

Preparing for the Worst: Incorporating Downside Risk in Stock Market Investments

Journal of the American Statistical Association
2005-12 | Journal article
Part of ISSN: 1537-274X
Contributors: Yannick Malevergne
Source: Self-asserted source
yannick malevergne via Crossref Metadata Search

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
2004 | Journal article
EID:

2-s2.0-0242522220

Contributors: Malevergne, Y.; Sornette, D.
Source: Self-asserted source
yannick malevergne via Scopus - Elsevier

Value-at-risk-efficient portfolios for a class of super- and sub-exponentially decaying assets return distributions

Quantitative Finance
2004 | Journal article
EID:

2-s2.0-1542395651

Contributors: Malevergne, Y.; Sornette, D.
Source: Self-asserted source
yannick malevergne via Scopus - Elsevier

Volatility Fingerprints of Large Shocks: Endogenous Versus Exogenous

The Application of Econophysics
2004 | Book chapter
Part of ISBN: 9784431539476
Contributors: D. Sornette; Y. Malevergne; J.-F. Muzy
Source: Self-asserted source
yannick malevergne via Crossref Metadata Search

How to account for extreme co-movements between individual stocks and the market

The Journal of Risk
2004-04 | Journal article
Part of ISSN: 1465-1211
Contributors: Y Malevergne; D Sornette
Source: Self-asserted source
yannick malevergne

Testing the Gaussian copula hypothesis for financial assets dependences

Quantitative Finance
2003 | Journal article
EID:

2-s2.0-0348207977

Contributors: Malevergne, Y.; Sornette, D.
Source: Self-asserted source
yannick malevergne via Scopus - Elsevier

Imitation and contrarian behaviour: Hyperbolic bubbles, crashes and chaos

Quantitative Finance
2002 | Journal article
EID:

2-s2.0-85008824216

Contributors: Corcos, A.; Eckmann, J.-P.; Malaspinas, A.; Malevergne, Y.; Sornette, D.
Source: Self-asserted source
yannick malevergne via Scopus - Elsevier

From rational bubbles to crashes

Physica A: Statistical Mechanics and its Applications
2001 | Conference paper
EID:

2-s2.0-0035471939

Part of ISSN: 03784371
Contributors: Sornette, D.; Malevergne, Y.
Source: Self-asserted source
yannick malevergne via Scopus - Elsevier

Multi-dimensional rational bubbles and fat tails

Quantitative Finance
2001 | Journal article
EID:

2-s2.0-85008815044

Contributors: Malevergne, Y.; Sornett, D.
Source: Self-asserted source
yannick malevergne via Scopus - Elsevier