M. Yannick Malevergne

Books

• A. Saichev, Y. Malevergne & D. Sornette (2009): Theory of Zipf’s Law and Beyond. Lecture Notes in Economics and Mathematical Systems 632 (Springer). ISBN: 978-3-642-02945-5.
• Y. Malevergne & D. Sornette (2006): Extreme Financial Risks: From dependence to risk management (Springer). ISBN: 3-540-27164-X.

Book Reviews

• Y. Malevergne (2009): Financial Risk Management with Bayesian Estimation of GARCH Models by D. Ardia (Springer), Mathematical Reviews.
• Y. Malevergne (2005): Preparing for the Worst: Incorporating Downside Risk in Stock Market by H.D. Vinod and D.P. Reagle (Wiley), Journal of the American Statistical Association 100(472), 1459-1460.
• Y. Malevergne (2004): Why Stock Market Crash? by D. Sornette (Princeton University Press), Finance 25(2), 49-52.

Research Articles

• J. Da Fonseca & Y. Malevergne (2021): A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy, Journal of Economic Dynamics and Control 128, 104137.
• L. Loubergé, Y. Malevergne & B. Rey (2020): New results for additive and multiplicative risk apportionment, Journal of Mathematical Economics 90, 140-151.
• J. Rozendaal, Y. Malevergne & D. Sornette (2016): Macroeconomic dynamics of assets, leverage and trust, International Journal of Bifurcation and Chaos 26, 1650133.
• M. Senneret, Y. Malevergne, P. Abry, G. Perrin & L. Jaffrès (2016): A comparative study of covariance and precision matrix estimators for portfolio selection, IEEE Journal of Selected Topics in Signal Processing: Special issue on Financial signal processing and machine learning for electronic trading, A. N. Akansu, E. Jay, D. Malioutov, D. P. Mandic & D. P. Palomar, eds. 10, 982-933.
• H. Hustler, Y. Malevergne & D. Sornette (2014): Investors' Expectation, management fees and the underperformance mutual funds, International Journal of Portfolio Analysis and Management 1(4), 345-379.
• Y. Malevergne, A. Saichev & D. Sornette (2013): Zipf’s law and maximum sustainable growth, Journal of Economic Dynamics and Control 37, 1195-1212.
• J. Coulon & Y. Malevergne (2011): Heterogeneous expectations and long range correlation of the volatility of asset returns, Quantitative Finance 11, 1329-1356.
• Y. Malevergne, V. Pisarenko and D. Sornette (2011): Gibrat's law for cities: uniformly most powerful unbiased test of the Pareto against the lognormal, Physical Review E 83, 036111.
• X. Ni, Y. Malevergne, D. Sornette & P. Woehrmann (2011): Robust reverse engineering of cross sectional returns and improved portfolio allocationp erformance using the CAPM, Journal of Portfolio Management 37(4), 76-85.
• Y. Malevergne & B. Rey (2010): Preserving preference rankings under non-financial background risk, Journal of the Operational Research Society 61, 1302-1308.
• Y. Malevergne & B. Rey (2009): On cross-risk vulnerability, Insurance: Mathematics & Economics 45, 224-229.
• Y. Malevergne & D. Sornette (2007): Self-consistent asset pricing models, Physica A 382, 149-171.
• A. Chabaane, J.P. Laurent, Y. Malevergne & F. Turpin (2006): Alternative risk measures for alternative investments, Journal of Risk 8(4), 1-32.
  Reprinted in : The Value-at-Risk Reference: Key Issues in the Implementation of Market Risk, J. Danielsson (2007, RiskBooks), pp.71-106.
• Y. Malevergne, V. Pisarenko & D. Sornette (2006): The modified Weibull distribution for asset returns: reply, Quantitative Finance 6, 451.
• Y. Malevergne, V. Pisarenko & D. Sornette (2006): On the power of generalized extreme value (GEV) and generalized Pareto distribution (GPD) estimators for empirical distributions of log-returns, Applied Financial Economics 16(3), 271-289.
• Y. Malevergne, V. Pisarenko & D. Sornette (2005): Empirical distributions of stock returns: Between the stretched exponential and the power law?, Quantitative Finance 5, 379-401.
• Y. Malevergne & D. Sornette (2005): Higher-moment portfolio theory: Capitalizing on behavioral anomalies of stock markets, Journal of Portfolio Management 31(4), 49-55.
• Y. Malevergne & D. Sornette (2005): High-order moments and cumulants of multivariate Weibull asset returns distributions: Analytical theory and empirical tests – II, Finance Letters 3(1), special issue on “Modelling of the equity market”, F.J. Fabozzi, S.M. Focardi and P.N. Kolm, eds., 54-63.
• Y. Malevergne & D. Sornette (2004): Multivariate Weibull distributions for asset returns – I, Finance Letters 2(6), 16-32.
• Y. Malevergne & D. Sornette (2004): How to account for extreme co-movements between individual stocks and the market, Journal of Risk 6(3), 71-116.
  Reprinted in : The Value-at-Risk Reference: Key Issues in the Implementation of Market Risk, J. Danielsson, (2007, RiskBooks), pp. 293-347.
• Y. Malevergne & D. Sornette (2004): VaR-Efficient portfolios for a class of super and sub-exponentially decaying assets return distributions, Quantitative Finance 4, 17-36.
• Y. Malevergne & D. Sornette (2004): Collective origin of the coexistence of apparent random matrix theory noise and of factors in sample correlation matrices, Physica A 331, 660-668.
• D. Sornette, Y. Malevergne & J.F. Muzy (2003): What causes crashes?, Risk 16(2), 67-71.
• Y. Malevergne & D. Sornette (2003): Testing the Gaussian copula hypothesis for financial assets dependence, Quantitative Finance 3, 231-250.
• Y. Malevergne & D. Sornette (2002): Minimizing extremes, Risk 15(11), 129-132.
• A. Corcos, J.-P. Eckmann, A. Malaspinas, Y. Malevergne & D. Sornette (2002): Imitation and contrarian behavior: hyperbolic bubbles, crashes and chaos, Quantitative Finance 2, 264-281.
  Reprinted in : International Finance from Macroeconomics to Econophysics, S. Da Silva, ed. (Nova Science), chapter 17.
• Y. Malevergne & D. Sornette (2001): Multi-dimensional rational bubbles and fat tails, Quantitative Finance 1, 533-541.
• D. Sornette & Y. Malevergne (2001): From rational bubbles to crashes, Physica A 299, 149-171.

Book Chapters

• Y. Malevergne (2014): “Les risques extrêmes”, in F. Tannery, J.P. Denis, T. Hafsi, and A.C. Martinet (eds.) : Encyclopédie de la Stratégie (Vuibert), pp. 1059-1072.
• Interview with J.-Ph. Denis (24/11/2014): XERFI Canal.
• Y. Malevergne & D. Sornette (2006): “Multi-moments methods for portfolio management: Generalized asset pricing model in homogenenous and heterogeneous markets”, in B. Maillet and E. Jurczenko (eds.) : Multi-moment Asset Allocation and Pricing Models (Wiley & Sons), pp. 165-193.
• D. Sornette, Y. Malevergne & J.F. Muzy (2004): “Volatility fingerprints of large shocks: Endogenous versus exogenous”, in H. Takayasu (ed.) : Application of Econophysics, Proceedings of the second Nikkei symposium on econophysics (Springer Verlag).

Newspaper Articles

• Y. Malevergne (2016): Le secteur financier à l'heure de Big Data et de l'intelligence artificielle, Revue France Forum 61, April 2016.
• Y. Malevergne (2010): Fonds souverains: Menace réelle ou manne bienvenue?, Les Acteurs de l’Economie 94, November 2010.
• G. De Nemeskeri-Kiss & Y. Malevergne (2008): Regulators cannot end the herd instinct, Financial Times – Weekly review of the fund management industry, December 8 2008.
• Y. Malevergne & D. Sornette (2008): How to be moral at the edge of legality, Financial Times – Weekly review of the fund management industry, March 31 2008.
• J.V. Andersen, Y. Malevergne and D. Sornette (2002): Comprendre et gérer les risques grands et extrêmes, Revue Risques – Les Cahiers de l'Assurance 49, 105-110.