Search - Archive ouverte HAL Access content directly

Filter your results

35 Results
authFullName_s : Philippe de Peretti
Image document

Frequency causality measures and Vector AutoRegressive (VAR) models: An improved subset selection method suited to parsimonious systems

Christophe Chorro , Emmanuelle Jay , Philippe de Peretti , Thibault Soler
2021
Other publications halshs-03216938v1
Image document

Synchronization in human decision-making

Yi-Fang Liu , Jørgen Vitting Andersen , Maxime Frolov , Philippe de Peretti
Chaos, Solitons & Fractals, 2021, 143, pp.110521. ⟨10.1016/j.chaos.2020.110521⟩
Journal articles hal-03029555v1

Special issue on dynamics of socioeconomic systems: systemic risk—complex systems

Bice Cavallo , Philippe de Peretti , Biagio Simonetti , Massimo Squillante , Jørgen Vitting Andersen
Soft Computing, 2020, Special issue on dynamics of socioeconomic systems, 24 (18), pp.13515-13515. ⟨10.1007/s00500-020-05214-x⟩
Journal articles hal-02910420v1

Special issue on dynamics of socioeconomic systems: systemic risk—finance

Philippe de Peretti , Bice Cavallo , Biagio Simonetti , Massimo Squillante , Jørgen Vitting Andersen
Soft Computing, 2020, 24, pp.8503. ⟨10.1007/s00500-020-04983-9⟩
Journal articles hal-02568547v1

Improving portfolios global performance using a cleaned and robust covariance matrix estimate

Emmanuelle Jay , Thibault Soler , Eugénie Terreaux , Jean-Philippe Ovarlez , Frédéric Pascal , et al.
Soft Computing, 2020, ⟨10.1007/s00500-020-04840-9⟩
Journal articles hal-02508748v1
Image document

Heuristics in experiments with infinitely large strategy spaces

Jørgen Vitting Andersen , Philippe de Peretti
Journal of Business Research, 2020, 129, pp.612-620. ⟨10.1016/j.jbusres.2019.12.034⟩
Journal articles hal-02435934v1

Testing for non-chaoticity under noisy dynamics using the largest Lyapunov exponent

Hayette Gatfaoui , Philippe de Peretti
Soft Computing, 2019, 24, pp.8617-8626. ⟨10.1007/s00500-019-04595-y⟩
Journal articles hal-02388420v1

Flickering in Information Spreading Precedes Critical Transitions in Financial Markets

Hayette Gatfaoui , Philippe de Peretti
Scientific Reports, 2019, 9 (1), ⟨10.1038/s41598-019-42223-9⟩
Journal articles hal-02098605v1
Image document

Improving portfolios global performance using a cleaned and robust covariance matrix estimate

Emmanuelle Jay , Thibault Soler , Eugénie Terreaux , Jean-Philippe Ovarlez , Frédéric Pascal , et al.
2019
Other publications halshs-02354596v1
Image document

Robust covariance matrix estimation and portfolio allocation: the case of non-homogeneous assets

Emmanuelle Jay , Thibault Soler , Jean-Philippe Ovarlez , Philippe de Peretti , Christophe Chorro
2019
Other publications halshs-02372443v1

DySES 2018: Systemic Risk

Jørgen Vitting Andersen , Philippe de Peretti
DySES 2018: Systemic Risk, Oct 2018, Paris, France
Conference papers hal-03185238v1

TESTING FOR WEAK SEPARABILITY USING STOCHASTIC SEMI-NONPARAMETRIC TESTS: AN EMPIRICAL STUDY ON US DATA

Ryan Mattson , Philippe de Peretti
Macroeconomic Dynamics, 2018, 22 (06), pp.1510-1534. ⟨10.1017/S1365100516000791⟩
Journal articles hal-02091676v1
Image document

New method to detect convergence in simple multi-period market games with infinite large strategy spaces

Jørgen Vitting Andersen , Philippe de Peretti
2018
Other publications halshs-01960900v1
Image document

New method to detect convergence in simple multi-period market games

Jørgen Vitting Andersen , Philippe de Peretti
2017
Other publications halshs-01673331v1

Are Critical Slowing Down Indicators Useful to Detect Financial Crises?

Hayette Gatfaoui , Isabelle Nagot , Philippe de Peretti
Monica Billio; Loriana Pelizzon; Roberto Savona. Systemic Risk Tomography: Signals, Measurement and Transmission Channels, ISTE Press Ltd; Elsevier Ltd, pp.73-92, 2016, 9780081011768. ⟨10.2139/ssrn.2861258⟩
Book sections halshs-01505202v1
Image document

Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone

Monica Billio , Lorenzo Frattarolo , Hayette Gatfaoui , Philippe de Peretti
2016
Other publications halshs-01339826v2
Image document

Synchronization in human decision making

Yi-Fang Liu , Jørgen Vitting Andersen , Maxime Frolov , Philippe de Peretti
2016
Other publications halshs-01317407v1
Image document

Onset of financial instability studied via agent-based models

Yi-Fang Liu , Jørgen Vitting Andersen , Philippe de Peretti
Monica Billio, Loriana Pelizzon and Roberto Savona Systemic Risk Tomography: Signals, Measurement and Transmission Channels, ISTE Press Ltd, pp.95-123, 2016, 9780081011768
Book sections hal-01397400v1
Image document

Are critical slowing down indicators useful to detect financial crises?

Hayette Gatfaoui , Isabelle Nagot , Philippe de Peretti
2016
Other publications halshs-01339815v2

Generalized runs tests to detect randomness in hedge funds returns

Rania Hentati , Philippe de Peretti
Journal of Banking and Finance, 2015, 50, pp.608-615. ⟨10.1016/j.jbankfin.2014.07.011⟩
Journal articles hal-01299827v1

Detecting performance persistence of hedge funds

Rania Hentati , Philippe de Peretti
Economic Modelling, 2015, 47, pp.185-192. ⟨10.1016/j.econmod.2015.02.029⟩
Journal articles hal-01299837v1

Detecting performance persistence of hedge funds

Rania Hentati , Philippe de Peretti
Economic Modelling, 2015, 47, pp.185-192. ⟨10.1016/j.econmod.2015.02.029⟩
Journal articles hal-03045892v1
Image document

The kiss of information theory that captures systemic risk

Peter Martey Addo , Philippe de Peretti , Hayette Gatfaoui , Jakob Runge
2014
Other publications hal-01110712v2
Image document

Investigating the Role of Real Divisia Money in Persistence-Robust Econometric Models

Ryan S. Mattson , Philippe de Peretti
2014
Preprints, Working Papers, ... hal-00984827v1
Image document

Detecting Performance Persistence of Hedge Funds : A Runs-Based Analysis

Rania Hentati-Kaffel , Philippe de Peretti
2014
Preprints, Working Papers, ... hal-00984777v1
Image document

A GARCH analysis of dark-pool trades

Philippe de Peretti , Oren Tapiero
Comment la régulation financière peut-elle sortir l'Europe de la crise ?, Ecole nationale d'administration, pp.161-182, 2014
Book sections hal-00984834v1

An omnibus test to detect time-heterogeneity in time series

Dominique Guegan , Philippe de Peretti
Computational Statistics, 2013, 28 (3), pp.1225-1239. ⟨10.1007/s00180-012-0356-7⟩
Journal articles halshs-00759093v1
Image document

An Omnibus Test to Detect Time-Heterogeneity in Time Series

Dominique Guegan , Philippe de Peretti
2012
Preprints, Working Papers, ... halshs-00721327v1
Image document

An Omnibus Test to Detect Time-Heterogeneity in Time Series

Dominique Guegan , Philippe de Peretti
2011
Other publications halshs-00560221v2
Image document

Tests of structural changes in conditional distributions with unknown changepoints

Dominique Guegan , Philippe de Peretti
2011
Other publications halshs-00611932v1

Money and Prices, Money and GDP : New Evidences using Weighted Measures of Money

Philippe de Peretti
2011
Other publications halshs-00646825v1

Admissible Clustering Of Aggregator Components: A Necessary And Sufficient Stochastic Seminonparametric Test For Weak Separability

Philippe de Peretti , Barnett William
Macroeconomic Dynamics, 2009, 13 (S2), pp.217-334. ⟨10.1017/S1365100509090300⟩
Journal articles halshs-00646786v1

Testing the significance of the departures fro Weak separability

Philippe de Peretti
Functionnal structure inference, Elsevier, pp.xx-xx, 2007
Book sections hal-00755504v1

A COMPARISON OF TWO METHODS FOR TESTING THE UTILITY MAXIMIZATION HYPOTHESIS WHEN QUANTITY DATA ARE MEASURED WITH ERROR

Philippe de Peretti
Macroeconomic Dynamics, 2005, pp.612-629. ⟨10.1017/S1365100505040381⟩
Journal articles halshs-00646809v1

TESTING THE SIGNIFICANCE OF THE DEPARTURES FROM UTILITY MAXIMIZATION

Philippe de Peretti
Macroeconomic Dynamics, 2005, 9, pp.372-397. ⟨10.1017/S1365100505040241⟩
Journal articles halshs-00646801v1