Publications by themes:Extreme value theoryRisk management Asset management Market micro-structure Most quoted publications:Google Scholar |
Publications by date:Recent publicationsAll publications Other publications:Press articles & interviews |
Is Bitcoin the new digital Gold?
Co-written with Konstantinos Gkillas (University of Patras)
ESSEC Working Paper, 2018.
Financial market activity under capital controls: lessons from extreme events
Co-written with Konstantinos Gkillas (University of Patras)
Economics Letters, 2018, N°171, pp 10-13.
Complexity in financial markets
Published in Complexité et Organisationsi> edited by Edgar Morin and Laurent Bibard, Eyrolles, 2018.
Extreme movements in Bitcoin prices: A study based on extreme value theory
Co-written with Shashwat Gangwal (Indian Institute of Technology)
ESSEC Working Paper, 2017.
Extreme events in finance: a handbook of extreme value theory and its applications
With contributors
Wiley Editions (2016).
Tail relation between return and volume in the US stock market: An analysis based on extreme value theory
Co-written with Giovanni Pagliardi (ESSEC Business School)
Economics Letters, 2016, N°145, pp 252-254.
Wealth management: keys and tools (in French)
With contributors
Edited by ESSEC Publishing (3rd edition forthcoming in 2017).
SimTrade: a new approach to financial markets
Forthcoming (2017), SimTrade Editions.
Financial market activity under capital controls: lessons from extreme events
Co-written with Konstantinos Gkillas (University of Patras)
Economics Letters, 2018, N°171, pp 10-13.
Tail relation between return and volume in the US stock market: An analysis based on extreme value theory
Co-written with Giovanni Pagliardi (ESSEC Business School)
Economics Letters, 2016, N°145, pp 252-254.
The choice of the distribution of asset prices : how extreme value theory can help?
Journal of Banking and Finance, 2005, N°29, pp 1017-1035.
Extreme events in finance
Special issue of the review Finance, 2002.
Stock market crashes : some quantitative results based on extreme value theory
Derivatives Use, Trading & Regulation, 2001, N°7, pp 197-205.
Extreme correlation of international equity markets
Co-written with Bruno Solnik (HEC)
Journal of Finance, 2001, N°56, pp 651-678.
Stress testing : application of extreme value theory to foreign exchange markets
Publihed in “Advances in International Finance” edited by
Ilhan Meric and Gulser Meric, The Pergamon Press, Elsevier Science, 2001.
Optimal margin level in futures markets : a method based on extreme price movements
Journal of Futures Markets, 1999, N°19, pp 127-159.
The asymptotic distribution of extreme stock market returns
Journal of Business, 1996, N°63, pp 383-408.
Minimal returns and the breakdown of the price-volume relation
Co-written with Pierluigi Balduzzi (NYU) and Hedi Kallal (Salomon Brothers)
Economics Letters, 1996, N°50, pp 265-269.
Winning in the best and worst of times : boom and crash options
Proceedings of the Chicago Board of Trade conférence on “Futures and Options”, Tilburg, The Netherlands, 1996.
The margin-volatility relationship : a test based on extreme price movements
Proceedings of the conference on “The Assessment of Financial Markets Regulation”, Oxford, The United Kingdom, 1994.
Booms and crashes : Application of extreme value theory to the U.S. stock market
Working paper, Institute of Finance and Accounting, London Business School, N°179-93, 1993.
Volatility and extreme movements in the stock market
Thesis, HEC, 1993.
Financial market activity under capital controls: lessons from extreme events
Co-written with Konstantinos Gkillas (University of Patras)
Economics Letters, 2018, N°171, pp 10-13.
Quantifying the operational risk in investment fund valuation
Co-written with Gautier Martin (HSBC CCF)
Risk, 2003, N°16, pp 15-17.
Beyond the VaR
Journal of Derivatives, 2001, N°8, pp 36-48.
From VaR to stress testing : the extreme value approach
Journal of Banking and Finance, 2000, N°24, pp 1097-1130.
Optimal margin level in futures markets : a method based on extreme price movements
Journal of Futures Markets, 1999, N°19, pp 127-159.
Term-guaranteed fund management : the option method vs the cushion method
Co-written with Vincent Lacoste (ESSEC)
Proceedings of the French Finance Association (AFFI) meetings, Lyon, France, 2003.
Extreme correlation of international equity markets
Co-written with Bruno Solnik (HEC)
Journal of Finance, 2001, N°56, pp 651-678.
Portfolio insurance and market crashes
Journal of Asset Management, 2001, N°2, pp 136-161.
Is the correlation in international equity returns constant : 1960-1990?
Co-written with Bruno Solnik (HEC)
Journal of International Money and Finance, 1995, N°14, pp 3-26.
Winning in the best and worst of times : boom and crash options
Proceedings of the Chicago Board of Trade conference on “Futures and Options”, Tilburg, The Netherlands, 1996.
Optimal margin level in futures markets : a method based on extreme price movements
Journal of Futures Markets, 1999, N°19, pp 127-159.
The threshold effect in expected volatility : a model based on asymmetric information
Review of Financial Studies, 1997, N°10, pp 837-869.
Professor from ESSEC Business School Gives His Perspective Regarding the Bitcoin World (interview par Ahsan Khalid)
BlockPublisher, January 21, 2019.
Professor François Longin tracks down extreme events in finance (interview by Florian Philippe)
ESSEC, January 23rd 2017.
Do gender stereotypes influence your financial decisions? (interview by Tom Gamble)
ESSEC Knowledge, November 22nd 2016.
When financial bubbles burst (interview by Tom Gamble)
ESSEC Knowledge, November 15th 2016.
Ethics in the financial trading sector (part 2) : transparency and communication (interview of Giovanni Pagilardi by Tom Gamble)
Council on Business & Society, January 25th 2016.
Ethics in the financial trading sector (part 1) : transparency and communication (interview of Giovanni Pagilardi by Tom Gamble)
Council on Business & Society, January 20th 2016.
Turbulence - When the bubble bursts
ESSEC Knowledge Reflets #2, 2016.
Financial market activity under capital controls: lessons from extreme events
Co-written with Konstantinos Gkillas (University of Patras)
Economics Letters, 2018, N°171, pp 10-13.
Tail relation between return and volume in the US stock market: An analysis based on extreme value theory
Co-written with Giovanni Pagliardi (ESSEC Business School)
Economics Letters, 2016, N°145, pp 252-254.
The choice of the distribution of asset prices: how extreme value theory can help?
Journal of Banking and Finance, 2005, N°29, pp 1017-1035.
Quantifying the operational risk in investment fund valuation
Co-written with Gautier Martin (HSBC CCF)
Risk, 2003, N°16, pp 15-17.
Extreme events in finance
Special issue of the review Finance, 2002.
Extreme correlation of international equity markets
Co-written with Bruno Solnik (HEC)
Journal of Finance, 2001, N°56, pp 651-678.
Beyond the VaR
Journal of Derivatives, 2001, N°8, pp 36-48.
Portfolio insurance and market crashes
Journal of Asset Management, 2001, N°2, pp 136-161.
Stock market crashes: some quantitative results based on extreme value theory
Derivatives Use, Trading & Regulation, 2001, N°7, pp 197-205.
Stress testing: application of extreme value theory to foreign exchange markets
Publihed in “Advances in International Finance” edited by
Ilhan Meric and Gulser Meric, The Pergamon Press, Elsevier Science, 2001.
From VaR to stress testing : the extreme value approach
Journal of Banking and Finance, 2000, N°24, pp 1097-1130.
Optimal margin level in futures markets : a method based on extreme price movements
Journal of Futures Markets, 1999, N°19, pp 127-159.
The threshold effect in expected volatility : a model based on asymmetric information
Review of Financial Studies, 1997, N°10, pp 837-869.
The asymptotic distribution of extreme stock market returns
Journal of Business, 1996, N°63, pp 383-408.
Minimal returns and the breakdown of the price-volume relation
Co-written with Pierluigi Balduzzi (NYU) and Hedi Kallal (Salomon Brothers)
Economics Letters, 1996, N°50, pp 265-269.
Winning in the best and worst of times : boom and crash options
Proceedings of the Chicago Board of Trade conference on “Futures and Options”, Tilburg, The Netherlands, 1996.
Is the correlation in international equity returns constant : 1960-1990?
Co-written with Bruno Solnik (HEC)
Journal of International Money and Finance, 1995, N°14, pp 3-26.
The margin-volatility relationship : a test based on extreme price movements
Proceedings of the conference on “The Assessment of Financial Markets Regulation”, Oxford, The United Kingdom, 1994.
Winning in the best and worst of times : boom and crash options
Proceedings of the Chicago Board of Trade conference on “Futures and Options”, Tilburg, The Netherlands, 1996.
Volatility and extreme movements in the stock market
Thesis, HEC, 1993.
Extreme correlation of international equity markets
Co-written with Bruno Solnik (HEC)
Journal of Finance, 2001, N°56, pp 651-678.
Is the correlation in international equity returns constant : 1960-1990?
Co-written with Bruno Solnik (HEC)
Journal of International Money and Finance, 1995, N°14, pp 3-26.
From VaR to stress testing : the extreme value approach
Journal of Banking and Finance, 2000, N°24, pp 1097-1130.
The asymptotic distribution of extreme stock market returns
Journal of Business, 1996, N°63, pp 383-408.
Optimal margin level in futures markets : a method based on extreme price movements
Journal of Futures Markets, 1999, N°19, pp 127-159.
The choice of the distribution of asset prices : how extreme value theory can help?
Journal of Banking and Finance, 2005, N°29, pp 1017-1035.
Beyond the VaR
Journal of Derivatives, 2001, N°8, pp 36-48.
The threshold effect in expected volatility : a model based on asymmetric information
Review of Financial Studies, 1997, N°10, pp 837-869.
