Mikael Petitjean

Catholic University of Lille - IÉSEG School of Management, Lille Campus

3 rue de la Digue

Lille, 59000

France

Lille Economie & Management (LEM) UMR 9221

Lille

France

Louvain School of Management (UCL)

Associate Professor of Finance

Belgium

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

34 Voie du Roman Pays - L1.03.01

Louvain-la-Neuve, 1348

Belgium

SCHOLARLY PAPERS

18

DOWNLOADS
Rank 16,014

SSRN RANKINGS

Top 16,014

in Total Papers Downloads

3,042

SSRN CITATIONS
Rank 33,757

SSRN RANKINGS

Top 33,757

in Total Papers Citations

10

CROSSREF CITATIONS

8

Scholarly Papers (18)

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 Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 742 (33,602)
Citation 2

Abstract:

Loading...

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 Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 464 (61,999)

Abstract:

Loading...

3.

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 Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 329 (93,005)
Citation 3

Abstract:

Loading...

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

4.

International Stock Return Predictability: Statistical Evidence and Economic Significance

Quantitative FInance, Vol. 11 (2), 2011
Number of pages: 65 Posted: 06 Dec 2006 Last Revised: 23 Jan 2016
Pierre Giot and Mikael Petitjean
Facultés Universitaires Notre-Dame de la Paix (FUNDP) and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 295 (104,546)
Citation 6

Abstract:

Loading...

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 Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 291 (106,101)
Citation 1

Abstract:

Loading...

6.

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 Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 180 (170,127)

Abstract:

Loading...

7.

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 Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 151 (197,749)
Citation 4

Abstract:

Loading...

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

8.

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
Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 142 (208,046)

Abstract:

Loading...

Banks, Regulation, Bank failures, Basel

9.

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
Matthieu Du Duvinage, Paolo Mazza and Mikael Petitjean
National Bank of Belgium, IESEG School of Management and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 90 (288,759)

Abstract:

Loading...

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

10.

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 Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 87 (295,039)

Abstract:

Loading...

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

11.

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 Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 62 (357,105)
Citation 1

Abstract:

Loading...

Liquidity, Price Dynamics, Intraday, Panel

12.

Factor Structure in Cryptocurrency Returns and Volatility

Number of pages: 67 Posted: 30 May 2019
Jiatao Liu, Ian W. Marsh, Paolo Mazza and Mikael Petitjean
Cass Business School, City University London - Sir John Cass Business School, IESEG School of Management and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 55 (378,739)

Abstract:

Loading...

Cryptocurrency, Factor Structure, Bitcoin Bubble, Realised Volatility

13.

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 Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 52 (388,454)

Abstract:

Loading...

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

14.

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 Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 48 (402,100)

Abstract:

Loading...

sampling error, resampling, Markowitz, Michaud

15.

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

Number of pages: 60 Posted: 10 May 2019 Last Revised: 13 Nov 2019
Christophe Desagre, Catherine D'Hondt and Mikael Petitjean
Catholic University of Louvain (UCL) - Louvain Finance (LFIN), UCLouvain, Louvain School of Management - Louvain Finance and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 29 (480,649)

Abstract:

Loading...

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

16.

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 Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 25 (502,135)

Abstract:

Loading...

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

17.

Liquidity and CDS Premiums on European Companies Around the Subprime Crisis

Review of Derivatives Research, Vol. 15, No. 3, 2012
Posted: 23 Jan 2016
Independent, Financial Services and Markets Authority (FSMA) and Catholic University of Lille - IÉSEG School of Management, Lille Campus

Abstract:

Loading...

CDS, Liquidity, Subprime crisis

18.

Liquidity Co-Movements, Market Capitalization, and Volatility

Finance (Journal of the French Finance Association), Vol. 31 (1), 2010
Posted: 21 Mar 2007 Last Revised: 06 Sep 2019
Renaud Beaupain, Pierre Giot and Mikael Petitjean
Catholic University of Lille - IESEG School of Management, Facultés Universitaires Notre-Dame de la Paix (FUNDP) and Catholic University of Lille - IÉSEG School of Management, Lille Campus

Abstract:

Loading...

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