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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
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Synchronization in human decision-making
Yi-Fang Liu
,
Jørgen Vitting Andersen
,
Maxime Frolov
,
Philippe de Peretti
Journal articles
hal-03029555v1
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Special issue on dynamics of socioeconomic systems: systemic risk—complex systems
Bice Cavallo
,
Philippe de Peretti
,
Biagio Simonetti
,
Massimo Squillante
,
Jørgen Vitting Andersen
Journal articles
hal-02910420v1
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Special issue on dynamics of socioeconomic systems: systemic risk—finance
Philippe de Peretti
,
Bice Cavallo
,
Biagio Simonetti
,
Massimo Squillante
,
Jørgen Vitting Andersen
Journal articles
hal-02568547v1
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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.
Journal articles
hal-02508748v1
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Heuristics in experiments with infinitely large strategy spaces
Jørgen Vitting Andersen
,
Philippe de Peretti
Journal articles
hal-02435934v1
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Testing for non-chaoticity under noisy dynamics using the largest Lyapunov exponent
Hayette Gatfaoui
,
Philippe de Peretti
Journal articles
hal-02388420v1
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Flickering in Information Spreading Precedes Critical Transitions in Financial Markets
Hayette Gatfaoui
,
Philippe de Peretti
Journal articles
hal-02098605v1
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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
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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
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DySES 2018: Systemic Risk
Jørgen Vitting Andersen
,
Philippe de Peretti
DySES 2018: Systemic Risk, Oct 2018, Paris, France
Conference papers
hal-03185238v1
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TESTING FOR WEAK SEPARABILITY USING STOCHASTIC SEMI-NONPARAMETRIC TESTS: AN EMPIRICAL STUDY ON US DATA
Ryan Mattson
,
Philippe de Peretti
Journal articles
hal-02091676v1
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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
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New method to detect convergence in simple multi-period market games
Jørgen Vitting Andersen
,
Philippe de Peretti
2017
Other publications
halshs-01673331v1
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Are Critical Slowing Down Indicators Useful to Detect Financial Crises?
Hayette Gatfaoui
,
Isabelle Nagot
,
Philippe de Peretti
Book sections
halshs-01505202v1
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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
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Synchronization in human decision making
Yi-Fang Liu
,
Jørgen Vitting Andersen
,
Maxime Frolov
,
Philippe de Peretti
2016
Other publications
halshs-01317407v1
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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
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Are critical slowing down indicators useful to detect financial crises?
Hayette Gatfaoui
,
Isabelle Nagot
,
Philippe de Peretti
2016
Other publications
halshs-01339815v2
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Generalized runs tests to detect randomness in hedge funds returns
Rania Hentati
,
Philippe de Peretti
Journal articles
hal-01299827v1
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Detecting performance persistence of hedge funds
Rania Hentati
,
Philippe de Peretti
Journal articles
hal-01299837v1
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Detecting performance persistence of hedge funds
Rania Hentati
,
Philippe de Peretti
Journal articles
hal-03045892v1
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The kiss of information theory that captures systemic risk
Peter Martey Addo
,
Philippe de Peretti
,
Hayette Gatfaoui
,
Jakob Runge
2014
Other publications
hal-01110712v2
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Investigating the Role of Real Divisia Money in Persistence-Robust Econometric Models
Ryan S. Mattson
,
Philippe de Peretti
2014
Preprints, Working Papers, ...
hal-00984827v1
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Detecting Performance Persistence of Hedge Funds : A Runs-Based Analysis
Rania Hentati-Kaffel
,
Philippe de Peretti
2014
Preprints, Working Papers, ...
hal-00984777v1
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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
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An omnibus test to detect time-heterogeneity in time series
Dominique Guegan
,
Philippe de Peretti
Journal articles
halshs-00759093v1
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An Omnibus Test to Detect Time-Heterogeneity in Time Series
Dominique Guegan
,
Philippe de Peretti
2012
Preprints, Working Papers, ...
halshs-00721327v1
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An Omnibus Test to Detect Time-Heterogeneity in Time Series
Dominique Guegan
,
Philippe de Peretti
2011
Other publications
halshs-00560221v2
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Tests of structural changes in conditional distributions with unknown changepoints
Dominique Guegan
,
Philippe de Peretti
2011
Other publications
halshs-00611932v1
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Money and Prices, Money and GDP : New Evidences using Weighted Measures of Money
Philippe de Peretti
2011
Other publications
halshs-00646825v1
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Admissible Clustering Of Aggregator Components: A Necessary And Sufficient Stochastic Seminonparametric Test For Weak Separability
Philippe de Peretti
,
Barnett William
Journal articles
halshs-00646786v1
|
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Testing the significance of the departures fro Weak separability
Philippe de Peretti
Functionnal structure inference, Elsevier, pp.xx-xx, 2007
Book sections
hal-00755504v1
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A COMPARISON OF TWO METHODS FOR TESTING THE UTILITY MAXIMIZATION HYPOTHESIS WHEN QUANTITY DATA ARE MEASURED WITH ERROR
Philippe de Peretti
Journal articles
halshs-00646809v1
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TESTING THE SIGNIFICANCE OF THE DEPARTURES FROM UTILITY MAXIMIZATION
Philippe de Peretti
Journal articles
halshs-00646801v1
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