Personal information

Other IDs

Scopus Author ID: 55386105800
Loop profile: 2281078

Keywords

wavelet, fractals, quantitative finance

Activities

Collapse all

Works (20)

Nonparametric estimator of the tail dependence coefficient: balancing bias and variance

Statistical Papers
2024-10 | Journal article
DOI: 10.1007/s00362-024-01582-w
Contributors: Matthieu Garcin; Maxime L. D. Nicolas
Source: check_circle
Crossref

Estimation of time-varying kernel densities and chronology of the impact of COVID-19 on financial markets

Journal of Applied Statistics
2024-08-17 | Journal article
DOI: 10.1080/02664763.2023.2272226
Contributors: Matthieu Garcin; Jules Klein; Sana Laaribi
Source: check_circle
Crossref

Fractal properties, information theory, and market efficiency

Chaos, Solitons & Fractals
2024-03 | Journal article
DOI: 10.1016/j.chaos.2024.114543
Contributors: Xavier Brouty; Matthieu Garcin
Source: check_circle
Crossref

A statistical test of market efficiency based on information theory

Quantitative Finance
2023-06-03 | Journal article
DOI: 10.1080/14697688.2023.2211108
Contributors: Xavier Brouty; Matthieu Garcin
Source: check_circle
Crossref

Efficiency of the financial markets during the COVID-19 crisis: Time-varying parameters of fractional stable dynamics

Physica A: Statistical Mechanics and its Applications
2023-01 | Journal article
DOI: 10.1016/j.physa.2022.128335
Contributors: Ayoub Ammy-Driss; Matthieu Garcin
Source: check_circle
Crossref

Maxwell’s Demon and Information Theory in Market Efficiency: A Brillouin’s Perspective

2022-12-12 | Conference paper
DOI: 10.3390/psf2022005023
Contributors: Xavier Brouty; Matthieu Garcin
Source: check_circle
Crossref

A comparison of maximum likelihood and absolute moments for the estimation of Hurst exponents in a stationary framework

Communications in Nonlinear Science and Numerical Simulation
2022-11 | Journal article
DOI: 10.1016/j.cnsns.2022.106610
Contributors: Matthieu Garcin
Source: check_circle
Crossref

Forecasting with fractional Brownian motion: a financial perspective

Quantitative Finance
2022-08-03 | Journal article
DOI: 10.1080/14697688.2022.2071758
Contributors: Matthieu Garcin
Source: check_circle
Crossref

The Hurst Exponent of Heart Rate Variability in Neonatal Stress, Based on a Mean-Reverting Fractional Lévy Stable Motion

Fluctuation and Noise Letters
2020-09 | Journal article
DOI: 10.1142/S0219477520500261
Contributors: Matej Šapina; Matthieu Garcin; Karolina Kramarić; Krešimir Milas; Dario Brdarić; Marko Pirić
Source: check_circle
Crossref
grade
Preferred source (of 2)‎

Non-parametric news impact curve: a variational approach

Soft Computing
2020-09-16 | Journal article
DOI: 10.1007/s00500-019-04607-x
Contributors: Matthieu Garcin; Clément Goulet
Source: check_circle
Crossref
grade
Preferred source (of 2)‎

Heart rate asymmetry as a new marker for neonatal stress

Biomedical Signal Processing and Control
2019 | Journal article
DOI: 10.1016/j.bspc.2018.08.027
EID:

2-s2.0-85052903389

Part of ISBN:

17468108 17468094
Contributors: Kramarić, K.; Šapina, M.; Garcin, M.; Milas, K.; Pirić, M.; Brdarić, D.; Lukić, G.; Milas, V.; Pušeljić, S.
Source: Self-asserted source
Matthieu Garcin via Scopus - Elsevier

HURST EXPONENTS AND DELAMPERTIZED FRACTIONAL BROWNIAN MOTIONS

International Journal of Theoretical and Applied Finance
2019-08-28 | Journal article
DOI: 10.1142/S0219024919500249
Contributors: MATTHIEU GARCIN
Source: check_circle
Crossref
grade
Preferred source (of 2)‎

Asymmetric detrended fluctuation analysis in neonatal stress

Physiological Measurement
2018 | Journal article
DOI: 10.1088/1361-6579/aad425
EID:

2-s2.0-85053152357

Part of ISBN:

13616579 09673334
Contributors: Šapina, M.; Kośmider, M.; Kramarić, K.; Garcin, M.; Adelson, P.D.; Pirić, M.; Milas, K.; Brdarić, D.
Source: Self-asserted source
Matthieu Garcin via Scopus - Elsevier

Multi-lag tone-entropy in neonatal stress

Journal of the Royal Society Interface
2018 | Journal article
DOI: 10.1098/rsif.2018.0420
EID:

2-s2.0-85054532619

Part of ISBN:

17425662 17425689
Contributors: Šapina, M.; Karmakar, C.K.; Kramarić, K.; Garcin, M.; Adelson, P.D.; Milas, K.; Pirić, M.; Brdarić, D.; Yearwood, J.
Source: Self-asserted source
Matthieu Garcin via Scopus - Elsevier

Empirical wavelet coefficients and denoising of chaotic data in the phase space

Handbook of Applications of Chaos Theory
2017 | Book chapter
Part of DOI: 10.1201/b20232
EID:

2-s2.0-85052769806
Contributors: Garcin, M.
Source: Self-asserted source
Matthieu Garcin via Scopus - Elsevier

Estimation of time-dependent Hurst exponents with variational smoothing and application to forecasting foreign exchange rates

Physica A: Statistical Mechanics and its Applications
2017-10 | Journal article
DOI: 10.1016/j.physa.2017.04.122
Part of ISSN: 0378-4371
Contributors: Matthieu Garcin
Source: Self-asserted source
Matthieu Garcin via Crossref Metadata Search
grade
Preferred source (of 2)‎

Empirical Wavelet Coefficients and Denoising of Chaotic Data in the Phase Space

Handbook of Applications of Chaos Theory
2016-06 | Other
DOI: 10.1201/b20232-17
Part of ISBN: 9781466590434
Contributors: Matthieu Garcin
Source: Self-asserted source
Matthieu Garcin via Crossref Metadata Search

Wavelet shrinkage of a noisy dynamical system with non-linear noise impact

Physica D: Nonlinear Phenomena
2016-06 | Journal article
DOI: 10.1016/j.physd.2016.03.013
Part of ISSN: 0167-2789
Contributors: Matthieu Garcin; Dominique Guégan
Source: Self-asserted source
Matthieu Garcin via Crossref Metadata Search
grade
Preferred source (of 2)‎

Probability density of the empirical wavelet coefficients of a noisy chaos

Physica D: Nonlinear Phenomena
2014-05 | Journal article
DOI: 10.1016/j.physd.2014.03.005
Part of ISSN: 0167-2789
Contributors: Matthieu Garcin; Dominique Guégan
Source: Self-asserted source
Matthieu Garcin via Crossref Metadata Search
grade
Preferred source (of 2)‎

Extreme values of random or chaotic discretization steps and connected networks

Applied Mathematical Sciences
2012 | Journal article
EID:

2-s2.0-84867289670

Part of ISBN:

1312885X
Contributors: Garcin, M.; Guégan, D.
Source: Self-asserted source
Matthieu Garcin via Scopus - Elsevier

Peer review (4 reviews for 4 publications/grants)

Review activity for Annals of operation research. (1)
Review activity for Computational management science. (1)
Review activity for Computational statistics. (1)
Review activity for Econometrics and statistics. (1)
How many people are using ORCID?