Mikael Petitjean

Université Polytechnique Hauts-de-France

Professeur des Universités

IAE Valenciennes

Rue Emile Loubat

Famars, Hauts-de-France 59300

France

Catholic University of Louvain (UCL) - Louvain Finance (LFIN)

Full Professor (part-time)

Voie du Roman Pays 34

Louvain-La-Neuve, 1348

Belgium

http://uclouvain.be/mikael.petitjean

  • Université Polytechnique Hauts-de-France

  • Catholic University of Louvain (UCL) - Louvain Finance (LFIN)

SCHOLARLY PAPERS

44

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6,914

SSRN CITATIONS
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SSRN RANKINGS

Top 21,491

in Total Papers Citations

53

CROSSREF CITATIONS

9

Scholarly Papers (44)

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1.

The Intraday Performance of Market Timing Strategies and Trading Systems Based on Japanese Candlesticks

Quantitative Finance, vol. 13 (7), 2013
Number of pages: 27 Posted: 08 Aug 2012 Last Revised: 23 Jan 2016
Matthieu Du Duvinage, Paolo Mazza and Mikael Petitjean
National Bank of Belgium, IESEG School of Management and Université Polytechnique Hauts-de-France
Downloads 1,036 (42,346)
Citation 4

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Technical analysis, trading systems, market timing, bootstrap, SSPA, Japanese candlesticks

2.

Dynamic Asset Allocation between Stocks and Bonds Using the Bond-Equity Yield Ratio

CORE Discussion Paper No. 2005/10
Number of pages: 55 Posted: 23 Feb 2006
Pierre Giot and Mikael Petitjean
Facultés Universitaires Notre-Dame de la Paix (FUNDP) and Université Polytechnique Hauts-de-France
Downloads 547 (98,651)

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3.

Factor Structure in Cryptocurrency Returns and Volatility

Number of pages: 53 Posted: 30 May 2019 Last Revised: 19 Jun 2021
Jiatao Liu, Ian W. Marsh, Paolo Mazza and Mikael Petitjean
Xi’an Jiaotong-Liverpool University, City University London - The Business School, IESEG School of Management and Université Polytechnique Hauts-de-France
Downloads 486 (113,633)
Citation 2

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Cryptocurrency, Factor Structure, Bitcoin Bubble, Realised Volatility

4.

Intraday Liquidity Dynamics and News Releases around Price Jumps: Evidence from the DJIA Stocks

Journal of Financial Markets, 17, 121–149
Number of pages: 39 Posted: 03 Dec 2010 Last Revised: 22 Jan 2016
Kris Boudt and Mikael Petitjean
Ghent University and Université Polytechnique Hauts-de-France
Downloads 414 (137,205)
Citation 9

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High-frequency data, liquidity, news, price jumps, volatility

5.

Short-Term Market Timing Using the Bond-Equity Yield Ratio

European Journal of Finance, 15(4), 2009.
Number of pages: 28 Posted: 06 Dec 2006 Last Revised: 23 Jan 2016
Pierre Giot and Mikael Petitjean
Facultés Universitaires Notre-Dame de la Paix (FUNDP) and Université Polytechnique Hauts-de-France
Downloads 361 (160,604)
Citation 5

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6.

Bank Failures and Regulation: A Critical Review

Journal of Financial Regulation and Compliance, Vol. 21(1), 2013
Number of pages: 27 Posted: 23 Jan 2016
Mikael Petitjean
Université Polytechnique Hauts-de-France
Downloads 338 (171,891)
Citation 3

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Banks, Regulation, Bank failures, Basel

7.

On the statistical and economic performance of stock return predictive regression models: an international perspective

Quantitative FInance, Vol. 11 (2), 2011
Number of pages: 36 Posted: 06 Dec 2006 Last Revised: 19 Jan 2021
Pierre Giot and Mikael Petitjean
Facultés Universitaires Notre-Dame de la Paix (FUNDP) and Université Polytechnique Hauts-de-France
Downloads 332 (175,287)
Citation 5

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predictability, profitability, efficiency, out-of-sample.

8.

To What Extent is Resampling Useful in Portfolio Management?

Applied Economics Letters, Vol. 18, Nos. 1-3, 2011
Number of pages: 12 Posted: 23 Jan 2016
Francois Delcourt and Mikael Petitjean
Business Consultant and Université Polytechnique Hauts-de-France
Downloads 314 (185,837)

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sampling error, resampling, Markowitz, Michaud

9.

Uncovering the profile of passive exchange-traded fund retail investors

Number of pages: 42 Posted: 17 Feb 2020 Last Revised: 22 Sep 2023
Catherine D'Hondt, Mikael Petitjean and Younes Elhichou Elmaya
UCLouvain, Louvain School of Management - Louvain Finance, Université Polytechnique Hauts-de-France and UCLouvain - UCLouvain, Louvain School of Management - Louvain Finance
Downloads 304 (192,466)
Citation 1

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Behavioral biases, ETFs, Financial literacy, Passive investing, Retail investors

10.

Do Stock Retail Investors Show Better Portfolio Performance When They Hold Passive ETFs?

Number of pages: 37 Posted: 03 Jul 2022
Younes Elhichou Elmaya, Catherine D'Hondt and Mikael Petitjean
UCLouvain - UCLouvain, Louvain School of Management - Louvain Finance, UCLouvain, Louvain School of Management - Louvain Finance and Université Polytechnique Hauts-de-France
Downloads 223 (262,238)

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ETFs, Retail Investors, Portfolio Performance, Passive Investing, Core-Satellite

11.

The Information Content of the Bond-Equity Yield Ratio: Better than a Random Walk?

International Journal of Forecasting, Vol. 27, No. 2, 2007
Number of pages: 46 Posted: 06 Dec 2006 Last Revised: 23 Jan 2016
Pierre Giot and Mikael Petitjean
Facultés Universitaires Notre-Dame de la Paix (FUNDP) and Université Polytechnique Hauts-de-France
Downloads 212 (274,833)
Citation 2

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12.

Trading Activity, Realized Volatility and Jumps

Journal of Empirical Finance, Vol. 17, 2010
Number of pages: 35 Posted: 19 Jan 2009 Last Revised: 23 Jan 2016
Pierre Giot, Sébastien Laurent and Mikael Petitjean
Facultés Universitaires Notre-Dame de la Paix (FUNDP), AMSE and Université Polytechnique Hauts-de-France
Downloads 193 (299,528)
Citation 10

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volume, volatility, transactions, jumps, bi-power variation

13.

The Performance of Popular Stochastic Volatility Option Pricing Models During the Subprime Crisis

Applied Financial Economics, Vol. 21, No. 4, 2011
Number of pages: 21 Posted: 23 Jan 2016
Thibaut Moyaert and Mikael Petitjean
Louvain School of Management (UCL) and Université Polytechnique Hauts-de-France
Downloads 191 (303,839)

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Heston, stochastic volatility, out-of-sample, delta hedge, forecasting

14.

Does Holding Passive ETFs Change Retail Investors’ Trading Behavior for the Better?

Number of pages: 31 Posted: 02 Mar 2021
Catherine D'Hondt, Younes Elhichou Elmaya and Mikael Petitjean
UCLouvain, Louvain School of Management - Louvain Finance, UCLouvain - UCLouvain, Louvain School of Management - Louvain Finance and Université Polytechnique Hauts-de-France
Downloads 165 (344,228)

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ETFs, Stocks, Retail Investors, Passive Investing, Gambling Behavior

15.

Testing the Profitability of Contrarian Trading Strategies Based on the Overreaction Hypothesis

Bankers, Markets, and Investors, Vol. 133, 2014
Number of pages: 17 Posted: 22 Jan 2016 Last Revised: 28 Apr 2021
Matthieu Du Duvinage, Paolo Mazza and Mikael Petitjean
National Bank of Belgium, IESEG School of Management and Université Polytechnique Hauts-de-France
Downloads 146 (380,954)
Citation 1

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Return predictability, high market variation, overreaction, behaviorial bias, SSPA

16.

Capital-risque et performance à court terme de l’entreprise après introduction en bourse (Venture Capital and Post-IPO Short-Term Firm Performance)

Number of pages: 14 Posted: 21 Jan 2021
Victor Boullenger, Mikael Petitjean and Patrick Daguet
affiliation not provided to SSRN, Université Polytechnique Hauts-de-France and IESEG School of Management
Downloads 142 (389,314)

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Venture capital, IPO, short-term, performance, firms, US

17.

Eco-Friendly Policies and Financial Performance: Was the Financial Crisis a Game Changer for Large US Companies?

Energy Economics, Vol. 80, 2019
Number of pages: 22 Posted: 21 Jan 2021
Mikael Petitjean
Université Polytechnique Hauts-de-France
Downloads 137 (400,389)

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Financial crisis, Environmental performance, Financial performance

18.

Liquidity Co-Movements and Volatility Regimes in Cryptocurrencies

Number of pages: 22 Posted: 19 Jan 2021
Hubert Anciaux, Christophe Desagre, Nicolas Nicaise and Mikael Petitjean
affiliation not provided to SSRN, Catholic University of Louvain (UCL) - Louvain Finance (LFIN), affiliation not provided to SSRN and Université Polytechnique Hauts-de-France
Downloads 122 (437,883)

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Liquidity, co-movements, bitcoin, volatility, cryptos

19.

How Integrated is the European Carbon Derivatives Market?

Finance Research Letters, Vol. 15, 2015
Number of pages: 24 Posted: 22 Jan 2016
Paolo Mazza and Mikael Petitjean
IESEG School of Management and Université Polytechnique Hauts-de-France
Downloads 109 (476,226)

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Carbon, derivatives, EU ETS, cointegration, volatility, futures

20.

The Rise of Fast Trading: Curse or Blessing for Liquidity?

Forthcoming in Finance, the French Finance Association Review
Number of pages: 45 Posted: 10 May 2019 Last Revised: 10 Jun 2021
Christophe Desagre, Catherine D'Hondt and Mikael Petitjean
Catholic University of Louvain (UCL) - Louvain Finance (LFIN), UCLouvain, Louvain School of Management - Louvain Finance and Université Polytechnique Hauts-de-France
Downloads 108 (479,409)

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Liquidity, Fast Trading, Stock Exchanges, Full Order Book, Market Member ID, Euronext

21.

On the Usefulness of Intraday Price Ranges to Gauge Liquidity in Cap-Based Portfolios

Economic Modelling, Vol. 54, 2016
Number of pages: 37 Posted: 17 Jul 2013 Last Revised: 23 Jan 2016
Paolo Mazza and Mikael Petitjean
IESEG School of Management and Université Polytechnique Hauts-de-France
Downloads 96 (519,947)
Citation 2

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Liquidity, Price Dynamics, Intraday, Panel

22.

Determining an Optimal Multiplier in Dynamic Core-Satellite Strategies

Journal of Asset Management, Vol. 14(4), 2013
Number of pages: 25 Posted: 25 Jan 2016
Thibaut Caliman, Catherine D'Hondt and Mikael Petitjean
Louvain School of Management (UCL), UCLouvain, Louvain School of Management - Louvain Finance and Université Polytechnique Hauts-de-France
Downloads 94 (527,144)

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Dynamic, core, satellite, multiplier, downside risk, protection

23.

Judging the Functioning of Equity Markets in 2020

Forthcoming, Bankers, Markets and Investors
Number of pages: 16 Posted: 20 Jan 2021 Last Revised: 26 Apr 2021
Mikael Petitjean
Université Polytechnique Hauts-de-France
Downloads 84 (565,416)

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Equity markets, COVID, crisis, irrationality, market review, CAPE, ECAPEY, BEYR, bond, Tesla, liquidity, money supply, central banks, beauty context, system 1, system 2, small, mid, large, Nasdaq, tech, sector indices, valuation

24.

Revisiting the Trading Activity of High-Frequency Trading Firms Around Flash Events

Number of pages: 45 Posted: 18 Feb 2024
Christophe Desagre, Floris Laly and Mikael Petitjean
Catholic University of Louvain (UCL) - Louvain Finance (LFIN), Catholic University of Louvain (UCL) - Louvain Finance (LFIN) and Université Polytechnique Hauts-de-France
Downloads 75 (603,403)

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flash events, mini flash crashes, extreme price movements, high-frequency trading, trading activity, liquidity, market stability, market microstructure

25.

Gestion du risque et investissement dans les hedge funds : le cas de la faillite d’Amaranth Advisors (Risk Management and Investment in Hedge Funds: The Amaranth Case)

Revue Sciences de Gestion, vol. 46, n°249-250, 27-32, 2011.
Number of pages: 18 Posted: 21 Jan 2021
Mikael Petitjean and Sébastien Lebrun
Université Polytechnique Hauts-de-France and affiliation not provided to SSRN
Downloads 64 (656,481)

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risk, management, hedge funds, collapse, bankruptcy, Amaranth, Alpha League, LTCM

26.

Market Instability and Technical Trading at High Frequency: Evidence from NASDAQ Stocks

Economic Modelling, Forthcoming
Number of pages: 30 Posted: 08 Jul 2021
Deniz Erdemlioglu, Mikael Petitjean and Nicolas Vargas
IESEG School of Management, Department of Finance, LEM-CNRS 9221, France, Université Polytechnique Hauts-de-France and affiliation not provided to SSRN
Downloads 55 (705,484)

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Market instability, Jumps, Volatility, Trading signals, Technical analysis, High-frequency data, NASDAQ, Sectoral analysis, Small-cap stocks

27.

De l’(in)utilité des agences de notation (On the (Dis)utility of Credit Rating Agencies)

Regards économiques, septembre 2012, numéro 98.
Number of pages: 20 Posted: 21 Jan 2021
Mikael Petitjean
Université Polytechnique Hauts-de-France
Downloads 48 (748,543)

Abstract:

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agences de notation, rating agencies

28.

Biais comportementaux, aléa moral et juste régulation (Behavioral Biases, Moral Hazard, and Fair Regulation)

Revue Bancaire et Financière (Bank- en Financiewezen), vol. 1, 63-71, 2009
Number of pages: 9 Posted: 21 Jan 2021
Mikael Petitjean
Université Polytechnique Hauts-de-France
Downloads 46 (761,666)

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banks, financial institutions, incentives, regulation, negative externalities

29.

Conditions concurrentielles au sein du secteur bancaire belge entre 2002 et 2008 (Competitive Conditions in the Belgian Banking Sector between 2002 and 2008)

Revue Bancaire et Financière (Bank- en Financiewezen), vol. 8, 499-505, 2010
Number of pages: 7 Posted: 21 Jan 2021
Mikael Petitjean and Hervé Sauvage
Université Polytechnique Hauts-de-France and affiliation not provided to SSRN
Downloads 44 (775,354)

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Banking, Belgium, competition, Herfindahl-Hirschman Index, Panzar, Rosse

30.

Crypto market dynamics in stressful conditions

Applied Economics
Number of pages: 59 Posted: 04 Mar 2020 Last Revised: 27 May 2024
Christophe Desagre, Paolo Mazza and Mikael Petitjean
Catholic University of Louvain (UCL) - Louvain Finance (LFIN), IESEG School of Management and Université Polytechnique Hauts-de-France
Downloads 44 (775,354)

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cryptocurrencies, liquidity, trading activity, bitcoin

31.

What Explains the Success of Reward-Based Crowdfunding Campaigns As They Unfold?

Finance Research Letters, Vol. 26, 2018
Number of pages: 8 Posted: 21 Jan 2021
Mikael Petitjean
Université Polytechnique Hauts-de-France
Downloads 43 (782,509)

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Crowdfunding, factors, success, binary response models

32.

Testing the Effect of Technical Analysis on Market Quality and Order Book Dynamics

Applied Economics, Volume 51, 2019 - Issue 18, 1947-1976.
Number of pages: 36 Posted: 21 Jan 2021
Paolo Mazza and Mikael Petitjean
IESEG School of Management and Université Polytechnique Hauts-de-France
Downloads 42 (789,567)

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Agent-based model, Liquidity, Technical Analysis, Limit Order Market

33.

Volume, changement de cotation et contrat de liquidité sur Alternext (Volume, Listing Changes and Liquidity Contract on Alternext)

Revue Bancaire et Financière (Bank- en Financiewezen), vol. 8, 488-496, 2008
Number of pages: 9 Posted: 21 Jan 2021
Mikael Petitjean and Jean Waelput
Université Polytechnique Hauts-de-France and affiliation not provided to SSRN
Downloads 37 (826,780)

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fixing, continuous trading, liquidity provider, Alternext, volume, switch

34.

The Risk of Ignorance: How Financial Institutions Can Make a Difference in Large-Scale Media ESG News Monitoring

Number of pages: 13 Posted: 13 Feb 2024
Kris Boudt, Olivier Delmarcelle and Mikael Petitjean
Ghent University, Sentometrics and Université Polytechnique Hauts-de-France
Downloads 36 (834,734)

Abstract:

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ESG, Media, Sentometrics

35.

Implicit Transaction Cost Management Using Intraday Price Dynamics

Applied Economics, vol. 50 (39), 4264-4274, 2018
Number of pages: 24 Posted: 21 Jan 2021
Paolo Mazza and Mikael Petitjean
IESEG School of Management and Université Polytechnique Hauts-de-France
Downloads 36 (834,734)
Citation 1

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XLM, Transaction costs, Liquidity, Execution

36.

De la médiocrité des conseils d’investissement de Test-Achats invest sur actions individuelles (On the Poor Investment Recommendations of Test-Achats Investment Letters on Individual Stocks)

Brussels Economic Review, vol. 57 (3), 399-421, 2014.
Number of pages: 23 Posted: 10 Mar 2021
Camille Godart and Mikael Petitjean
affiliation not provided to SSRN and Université Polytechnique Hauts-de-France
Downloads 35 (842,769)

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Active portfolio management, stock market investing, investor protection, performance measurement

37.

Variations communes de liquidité au sein de portefeuilles de faible, moyenne et forte capitalisation: les enseignements des crises financières asiatique et russe (Commonalities in Liquidity within Size-Based Portfolios: What Do We Learn from the Asian and Russian Financial Crises?)

Revue Bancaire et Financière (Bank- en Financiewezen), vol. 1, 49-56, 2010
Number of pages: 8 Posted: 21 Jan 2021
Renaud Beaupain, Stéphanie Dauginet and Mikael Petitjean
Catholic University of Lille - IESEG School of Management, affiliation not provided to SSRN and Université Polytechnique Hauts-de-France
Downloads 24 (941,258)

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commonalities, liquidity, market cap, co-movements, crises, crisis, NYSE

38.

Liquidity and CDS Premiums on European Companies Around the Subprime Crisis

Review of Derivatives Research, Vol. 15, No. 3, 2012
Number of pages: 29 Posted: 23 Jan 2016 Last Revised: 19 Jan 2021
Clothilde Lesplingart, Christophe Majois and Mikael Petitjean
Independent, Financial Services and Markets Authority (FSMA) and Université Polytechnique Hauts-de-France
Downloads 24 (941,258)
Citation 4

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CDS, Liquidity, Subprime crisis

39.

Déduction pour intérêts notionnels et diminution du coût des fonds propres : Une application empirique du MEDAF (Notional Interest Deduction and Cost of Equity Reduction: An Empirical Application of the CAPM)

Revue Bancaire et Financière (Bank- en Financiewezen), vol. 2-3, 178-185, 2009
Number of pages: 8 Posted: 21 Jan 2021
Mikael Petitjean and Saïd Taleb
Université Polytechnique Hauts-de-France and affiliation not provided to SSRN
Downloads 23 (951,145)

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Notional interests, cost of equity, CAPM

40.

Volatility regimes and liquidity co-movements in cap-based portfolios

Finance (Journal of the French Finance Association), Vol. 31 (1), 2010
Number of pages: 29 Posted: 21 Mar 2007 Last Revised: 19 Jan 2021
Renaud Beaupain, Pierre Giot and Mikael Petitjean
Catholic University of Lille - IESEG School of Management, Facultés Universitaires Notre-Dame de la Paix (FUNDP) and Université Polytechnique Hauts-de-France
Downloads 23 (951,145)
Citation 1

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commonality, liquidity, volatility, regime, market, capitalization, index

41.

A Global Perspective on the Nexus Between Energy and Stock Markets in Light of the Rise of Renewable Energy

Energy Economics, Forthcoming
Number of pages: 50 Posted: 19 Feb 2024
Karishma Ansaram and Mikael Petitjean
IESEG School of Management, Univ. Lille, CNRS, UMR 9221 - LEM - Lille Economie Management and Université Polytechnique Hauts-de-France
Downloads 22 (961,299)

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Renewable energy prices, fossil energy prices, stock prices

42.

Political Idealism and Economic Realism: A Forced Marriage to Preserve the Eurozone

Revue Bancaire et Financière (Bank- en Financiewezen), vol. 4, 215-223, 2012.
Number of pages: 11 Posted: 21 Jan 2021
Mikael Petitjean
Université Polytechnique Hauts-de-France
Downloads 21 (971,578)

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Eurozone crisis, financial regulation, structural measures, stability

43.

Extreme Events and the Cumulative Distribution of Net Gains in Gambling and Structured Products

Applied Economics, Volume 50, 2018 - Issue 58.
Number of pages: 37 Posted: 21 Jan 2021
Frédéric D. Vrins and Mikael Petitjean
LFIN/LIDAM, UCLouvain and Université Polytechnique Hauts-de-France
Downloads 18 (1,003,319)

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Extreme events, ethical communication, distribution of gains, simulations, gambling, lotteries, structured products

44.

Mini Flash Crashes: Review, Taxonomy and Policy Responses

Bulletin of Economic Research, vol. 72 (3), 251-271, 2020.
Posted: 21 Jan 2021
Floris Laly and Mikael Petitjean
Catholic University of Louvain (UCL) - Louvain Finance (LFIN) and Université Polytechnique Hauts-de-France

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