Olivier V. Pictet

Pictet Asset Management

Geneva

Switzerland

SCHOLARLY PAPERS

17

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8,924

SSRN CITATIONS
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SSRN RANKINGS

Top 29,517

in Total Papers Citations

3

CROSSREF CITATIONS

35

Scholarly Papers (17)

1.

Beta-Arbitrage Strategies: When Do They Work, and Why?

Swiss Finance Institute Research Paper No. 11-64
Number of pages: 59 Posted: 09 Jan 2012 Last Revised: 07 Apr 2014
University of Geneva - Geneva Finance Research Institute (GFRI), Pictet Asset Management SA, Ersel Asset Management SGR s.p.a. and Pictet Asset Management
Downloads 2,593 (10,162)
Citation 1

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Relative arbitrage, Market diversity, Beta

2.

Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates

Olsen and Associates Working Paper No. 319
Number of pages: 62 Posted: 30 Mar 1999
Simon Fraser University, PRS Solutions, Pictet & Cie, Banquiers, Lykke CorpOlsen & Associates and Pictet Asset Management
Downloads 1,989 (15,459)
Citation 9

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Modelling Short-Term Volatility with GARCH and Harch Models

Number of pages: 17 Posted: 25 Jun 1997
PRS Solutions, Olsen & Associates, Pictet Asset Management and Lykke CorpOlsen & Associates
Downloads 1,898 (16,370)
Citation 22

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Modelling Short-Term Volatility with GARCH and Harch Models

"Nonlinear Modelling of High Frequency Financial Time Series" edited by Christian Dunis and Bin Zhou, published by Wiley & Sons, Ltd.
Posted: 21 Oct 1997
PRS Solutions, Olsen & Associates, Pictet Asset Management and Lykke CorpOlsen & Associates

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4.

Heavy Tails in High-Frequency Financial Data

Number of pages: 23 Posted: 22 Jan 1997
Michel M. Dacorogna and Olivier V. Pictet
PRS Solutions and Pictet Asset Management
Downloads 1,231 (32,106)
Citation 13

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5.

Effective Return, Risk Aversion and Drawdowns

Olsen & Associates Working Paper No. 321
Number of pages: 24 Posted: 20 Jul 1999
PRS Solutions, Simon Fraser University, Olsen & Associates and Pictet Asset Management
Downloads 662 (75,204)
Citation 1

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6.

Genetic Programming with Syntactic Restrictions Applied to Financial Volatility Forecasting

Olsen & Associates Working Paper No. GOZ.2000-07-28
Number of pages: 23 Posted: 27 May 2001
Gilles O. Zumbach, Olivier V. Pictet and Oliver Masutti
Edgelab, Pictet Asset Management and Olsen Group (Olsen & Associates Ltd.)
Downloads 551 (94,674)
Citation 5

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Volatility forecasting, Genetic Programming, Syntactic restrictions

7.

Volatilities of Different Time Resolutions: Analyzing the Dynamics of Market Components

Posted: 20 Dec 1999
Olsen & Associates, PRS Solutions, Olsen Financial Technologies, Lykke CorpOlsen & Associates, Pictet Asset Management and World Bank

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8.

Heterogeneous Real-Time Trading Strategies in the Foreign Exchange Markets

Posted: 02 Sep 1999
PRS Solutions, Olsen & Associates, Olsen Group (Olsen & Associates Ltd.), Pictet Asset Management, Lykke CorpOlsen & Associates and Olsen Group (Olsen & Associates Ltd.)

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9.

Fractals and Intrinsic Time - a Challenge to Econometricians

Posted: 02 Sep 1999
Olsen & Associates, PRS Solutions, Olsen Financial Technologies, Pictet Asset Management, Lykke CorpOlsen & Associates and Olsen Group (Olsen & Associates Ltd.)

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10.

A Measure of the Trading Model Performance with a Risk Component

Posted: 25 Dec 1998
Michel M. Dacorogna, Ulrich A. Müller and Olivier V. Pictet
PRS Solutions, Olsen & Associates and Pictet Asset Management

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11.

From the Bird's Eye to the Microscope: A Survey of New Stylized Facts of the Intra-Daily Foreign Exchange Markets

Posted: 20 Dec 1998
Catholic University of Leuven, PRS Solutions, Olsen Financial Technologies, Olsen & Associates, Lykke CorpOlsen & Associates and Pictet Asset Management

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12.

Going Back to the Basics - Rethinking Market Efficiency

Posted: 20 Dec 1998
Lykke CorpOlsen & Associates, PRS Solutions, Olsen & Associates and Pictet Asset Management

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13.

The Distribution of Extremal Foreign Exchange Rate Returns in Extremely Large Data Sets

Posted: 10 Oct 1998
PRS Solutions, Olsen & Associates, Pictet Asset Management and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

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14.

Using Genetic Algorithms for Robust Optimization in Financial Applications

Posted: 25 Aug 1998
Pictet Asset Management, PRS Solutions, University of Geneva, University of Geneva, Olsen Group (Olsen & Associates Ltd.) and University of Lausanne

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15.

On the Intra-Daily Performance of GARCH Processes

Posted: 23 Aug 1998
Catholic University of Leuven, Pictet Asset Management and PRS Solutions

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16.

Unveiling Non-Linearities Through Time Scale Transformations

Posted: 23 Aug 1998
Catholic University of Leuven, Pictet Asset Management, Olsen & Associates and PRS Solutions

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17.

Hill, Bootstrap and Jackknife Estimators for Heavy Tails

Posted: 21 Jan 1997
Olivier V. Pictet, Michel M. Dacorogna and Ulrich A. Müller
Pictet Asset Management, PRS Solutions and Olsen & Associates

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