Rémy Chicheportiche

Ecole Centrale Paris

Paris

France

SCHOLARLY PAPERS

5

DOWNLOADS

503

SSRN CITATIONS

2

CROSSREF CITATIONS

5

Scholarly Papers (5)

1.

The Joint Distribution of Stock Returns is Not Elliptical

International Journal of Theoretical and Applied Finance, Vol. 15, No. 3, 2012
Number of pages: 24 Posted: 03 Aug 2011 Last Revised: 12 Jun 2012
Rémy Chicheportiche and Jean-Philippe Bouchaud
Ecole Centrale Paris and Capital Fund Management
Downloads 157 (189,850)

Abstract:

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copulas, elliptical distributions, stock returns, multivariate data

2.

Trader Lead-Lag Networks and Order Flow Prediction

Number of pages: 21 Posted: 18 Sep 2016
CentraleSupélec, Ecole Centrale Paris, Ecole Centrale Paris and Swissquote Bank
Downloads 109 (252,143)
Citation 3

Abstract:

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order flow, lead-lag, machine learning, prediction, networks

3.

Goodness-of-Fit Tests with Dependent Observations

Journal of Statistical Mechanics: Theory and Experiment, 2011
Number of pages: 25 Posted: 03 Aug 2011 Last Revised: 05 Sep 2011
Rémy Chicheportiche and Jean-Philippe Bouchaud
Ecole Centrale Paris and Capital Fund Management
Downloads 89 (288,431)

Abstract:

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extreme value statistics, stochastic processes, financial time series

4.

The Fine-Structure of Volatility Feedback

Number of pages: 26 Posted: 11 Jun 2012
Rémy Chicheportiche and Jean-Philippe Bouchaud
Ecole Centrale Paris and Capital Fund Management
Downloads 85 (296,822)
Citation 2

Abstract:

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volatility dynamics, GARCH models, endogenous feedback, time reversal invariance, stock markets

5.

A Nested Factor Model for Non-Linear Dependences in Stock Returns

Number of pages: 23 Posted: 14 Sep 2013
Rémy Chicheportiche and Jean-Philippe Bouchaud
Ecole Centrale Paris and Capital Fund Management
Downloads 63 (351,237)
Citation 1

Abstract:

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