Category Archives: Research papers

Research papers presented at ESSEC Conference on Extreme Events in Finance

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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