Category Archives: Research papers

Research papers presented at ESSEC Conference on Extreme Events in Finance

Is bitcoin the new digital gold?

Is bitcoin the new digital gold? Is bitcoin the new digital gold? Ten years after the seminal work of Satoshi Nakamoto in 2008, at which time he introduced the bitcoin, a heated debate has started about this matter, and a … Continue reading

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Financial market activity under capital controls: Lessons from extreme events

Financial market activity under capital controls: Lessons from extreme events This post presents a recent article by Gkillas and Longin published in Economics Letters (2018). In this article we investigate the relation between extreme return and transaction volume under the … Continue reading

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Congratulations to Shashwat Gangwal for his best award paper

Congratulations to Shashwat Gangwal for his best award paper It seems that Bitcoin is a hot topic these days. In fact, many of my students at ESSEC Business School have invested (real) money in cryptocurrencies. When I started to do … Continue reading

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Introducing the asymmetric time-exceedance model with optimal threshold

Introducing the asymmetric time-exceedance model with optimal threshold This post presents a recent paper by Gkillas, Longin and Tsagkanos (2017). This paper introduces a new model with asymmetric time-exceedance of extreme shocks defined with optimal threshold derived from extreme value … Continue reading

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New book on investing

New book on investing: “Ever invested. Ever Failed. No matter. Invest again. Invest better” New book on investing by Prof. Jean-Marie Choffray and Charles Pahud de Mortanges: “Ever invested. Ever Failed. No matter. Invest again. Invest better” Ten thoughts, facts … Continue reading

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Is financial euphoria sustainable under systemic unpredictability?

Is financial euphoria sustainable under systemic unpredictability? “Why, sometimes I’ve believed as many as six impossible things before breakfast.”  ― Lewis Carroll, Alice in Wonderland Whatever happens to the year that begins, the one that has just ended will surely … Continue reading

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Longin and Pagliardi: Tail relation between return and volume in the US stock market

Research paper by Longin and Pagliardi: Tail relation between return and volume in the US stock market: an analysis based on extreme value theory Just to let you know about the new version of my paper with Giovanni Pagliardi (PhD … Continue reading

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