Mikael Petitjean

Louvain School of Management (UCL)

Associate Professor of Finance

Belgium

Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE)

Place Montesquieu, 3

Louvain-la-Neuve, 1348

Belgium

View CV
SCHOLARLY PAPERS

16

DOWNLOADS
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2,489

CITATIONS
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Top 18,042

in Total Papers Citations

18

Scholarly Papers (16)

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 Sr., Paolo Mazza and Mikael Petitjean
National Bank of Belgium, IESEG School of Management and Louvain School of Management (UCL)
Downloads 461 (34,259)

Abstract:

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 Louvain School of Management (UCL)
Downloads 416 (52,570)

Abstract:

3.

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 Louvain School of Management (UCL)
Downloads 274 (87,074)
Citation 5

Abstract:

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
Vrije Universiteit Brussel (VUB) and Louvain School of Management (UCL)
Downloads 249 (83,101)

Abstract:

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 Louvain School of Management (UCL)
Downloads 246 (94,335)
Citation 2

Abstract:

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 Louvain School of Management (UCL)
Downloads 169 (143,343)

Abstract:

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), French National Center for Scientific Research (CNRS) - Research Group in Quantitative Saving (GREQAM) and Louvain School of Management (UCL)
Downloads 119 (180,281)
Citation 11

Abstract:

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

8.

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 Louvain School of Management (UCL)
Downloads 41 (313,389)

Abstract:

Liquidity, Price Dynamics, Intraday, Panel

9.

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), Louvain School of Management - UCL and Louvain School of Management (UCL)
Downloads 0 (384,839)

Abstract:

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

10.

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
Louvain School of Management (UCL)
Downloads 0 (333,635)

Abstract:

Banks, Regulation, Bank failures, Basel

11.

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 Louvain School of Management (UCL)
Downloads 0 (425,775)

Abstract:

sampling error, resampling, Markowitz, Michaud

12.

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 Louvain School of Management (UCL)
Downloads 0 (327,717)

Abstract:

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

13.

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 Louvain School of Management (UCL)

Abstract:

CDS, Liquidity, Subprime crisis

14.

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 Louvain School of Management (UCL)
Downloads 0 (461,917)

Abstract:

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

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
Matthieu Du Duvinage Sr., Paolo Mazza and Mikael Petitjean
National Bank of Belgium, IESEG School of Management and Louvain School of Management (UCL)
Downloads 0 (272,392)

Abstract:

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

16.

Liquidity Co-Movements, Market Capitalization, and Volatility

FInance (Journal of the French Finance Association), Vol. 31 (1), 2010
Posted: 21 Mar 2007 Last Revised: 23 Jan 2016
Renaud Beaupain, Pierre Giot and Mikael Petitjean
Catholic University of Lille - Institut d'Économie Scientifique et de Gestion (IESEG), Facultés Universitaires Notre-Dame de la Paix (FUNDP) and Louvain School of Management (UCL)

Abstract:

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