Matthieu Garcin
- Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics
2020/07/21 by Ayoub Ammy-Driss, Matthieu Garcin, Ammy-Driss, Ayoub +1 · 3 citations
Economics, Econometrics and Finance · #Applications (stat.AP) #COVID-19 Pandemic Impacts #Complex Systems and Time Series Analysis #FOS: Computer and information sciences #FOS: Economics and business #Financial Markets and Investment Strategies #Financial Risk and Volatility Modeling #General Finance (q-fin.GN) #Market Dynamics and Volatility #Methodology (stat.ME) #Statistical Finance (q-fin.ST)
- Fractal properties, information theory, and market efficiency
2023/06/23 by Xavier Brouty, Matthieu Garcin, Brouty, Xavier +1 · 4 citations
Economics, Econometrics and Finance · Decision Sciences · Computer Science · #Complex Systems and Time Series Analysis #Stock Market Forecasting Methods #Neural Networks and Applications
- Forecasting with fractional Brownian motion: a financial perspective
2021/05/19 by Matthieu Garcin, Garcin, Matthieu · 3 citations
Economics, Econometrics and Finance · #FOS: Economics and business #Financial Markets and Investment Strategies #Financial Risk and Volatility Modeling #Mathematical Finance (q-fin.MF) #Portfolio Management (q-fin.PM) #Statistical Finance (q-fin.ST) #Stochastic processes and financial applications #Trading and Market Microstructure (q-fin.TR)
- Long vs Short Time Scales: the Rough Dilemma and Beyond
2020/08/18 by Matthieu Garcin, Martino Grasselli, Garcin, Matthieu +1 · 2 citations
Economics, Econometrics and Finance · #60F10 #91B25 #91G99 #Complex Systems and Time Series Analysis #FOS: Economics and business #Financial Markets and Investment Strategies #Financial Risk and Volatility Modeling #Mathematical Finance (q-fin.MF) #Statistical Finance (q-fin.ST)