Jean-Jacques Ohana

Homa Capital

CIO

37 av Pierre 1er de Serbie

Paris, 75008

France

SCHOLARLY PAPERS

5

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Scholarly Papers (5)

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1.

A new financial stress indicator: properties and conditional asset price behavior

Number of pages: 41 Posted: 28 Aug 2013 Last Revised: 13 May 2014
Benoît Guilleminot, Jean-Jacques Ohana and Steve Ohana
SMILE Investment Solutions, Homa Capital and ESCP Europe
Downloads 720 (41,817)

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Financial stress indicators, risk premiums, tactical asset allocation, risk measures, systemic risk

2.

Explainable AI Models of Stock Crashes: A Machine-Learning Explanation of the Covid March 2020 Equity Meltdown

Number of pages: 18 Posted: 22 Mar 2021 Last Revised: 29 Mar 2021
Jean-Jacques Ohana, Steve Ohana, Eric Benhamou, David Saltiel and Beatrice Guez
Homa Capital, ESCP Europe, AI For Alpha, A.I. Square Connect and A.I. Square Connect
Downloads 423 (82,159)

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market crash, GBDT, Shapley

3.

Detecting and Adapting to Crisis Pattern with Context Based Deep Reinforcement Learning

Number of pages: 9 Posted: 10 Sep 2020 Last Revised: 11 Sep 2020
Eric Benhamou, David Saltiel, Jean-Jacques Ohana and Jamal Atif
AI For Alpha, A.I. Square Connect, Homa Capital and Université Paris Dauphine
Downloads 247 (150,844)
Citation 2

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Deep Reinforcement Learning, Portfolio selection

4.

The Interaction of Speculators and Index Investors in Agricultural Derivatives Markets

Number of pages: 58 Posted: 19 Apr 2013 Last Revised: 30 Dec 2013
Benoît Guilleminot, Jean-Jacques Ohana and Steve Ohana
SMILE Investment Solutions, Homa Capital and ESCP Europe
Downloads 183 (195,073)
Citation 1

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index investors, hedge funds, agricultural markets, trend-following

5.

Risk vs Trend Driven Global Tactical Asset Allocation

Posted: 19 Apr 2013
Benoît Guilleminot, Jean-Jacques Ohana and Steve Ohana
SMILE Investment Solutions, Homa Capital and ESCP Europe

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