Olivier V. Pictet

Pictet Asset Management

Geneva

Switzerland

SCHOLARLY PAPERS

17

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SSRN CITATIONS
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Top 22,243

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2

CROSSREF CITATIONS

32

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 2,191 (6,370)
Citation 1

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Relative arbitrage, Market diversity, Beta

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, DEAR-Consulting, Pictet & Cie, Banquiers, Lykke Corp and Pictet Asset Management
Downloads 1,836 (8,447)
Citation 7

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

International Economic Review, Vol. 43, No. 2, pp. 463-492, 2002
Number of pages: 30 Posted: 07 Feb 2003
Simon Fraser University, Pictet & Cie, Banquiers, DEAR-Consulting, Lykke Corp and Pictet Asset Management
Downloads 39 (447,741)
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Modelling Short-Term Volatility with GARCH and Harch Models

Number of pages: 17 Posted: 25 Jun 1997
DEAR-Consulting, Olsen & Associates, Pictet Asset Management and Lykke Corp
Downloads 1,495 (11,770)
Citation 14

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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
DEAR-Consulting, Olsen & Associates, Pictet Asset Management and Lykke Corp

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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
DEAR-Consulting and Pictet Asset Management
Downloads 1,115 (18,902)
Citation 5

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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
DEAR-Consulting, Simon Fraser University, Olsen & Associates and Pictet Asset Management
Downloads 616 (43,491)

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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
University of Applied Sciences Western Switzerland - Geneva School of Business Administration, Pictet Asset Management and Olsen Group (Olsen & Associates Ltd.)
Downloads 510 (55,401)
Citation 3

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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, DEAR-Consulting, Olsen Financial Technologies, Lykke Corp, 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
DEAR-Consulting, Olsen & Associates, Olsen Group (Olsen & Associates Ltd.), Pictet Asset Management, Lykke Corp 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, DEAR-Consulting, Olsen Financial Technologies, Pictet Asset Management, Lykke Corp 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
DEAR-Consulting, 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, DEAR-Consulting, Olsen Financial Technologies, Olsen & Associates, Lykke Corp and Pictet Asset Management

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12.

Going Back to the Basics - Rethinking Market Efficiency

Posted: 20 Dec 1998
Lykke Corp, DEAR-Consulting, 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
DEAR-Consulting, 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, DEAR-Consulting, 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 DEAR-Consulting

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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 DEAR-Consulting

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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, DEAR-Consulting and Olsen & Associates

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