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Dominique Guégan

18
Documents
Identifiants chercheurs

Présentation

Dominique Guégan is currently Emeritus Professor of Mathematics at the [University Paris1 Panthéon – Sorbonne](http://centredeconomiesorbonne.univ-paris1.fr/presentation/emerites/) inside the CNRS Research Laboratory CES (Centre d’Economie de la Sorbonne). Her domains of research are: Financial regulation – Fintech technology (Blockchain, big data, HFT) - non-linear econometrics modelling - Extreme value theory and risk measures in finance - pricing theory in incomplete markets- Deterministic dynamical systems. She belongs to the [LaBex ReFi](http://www.labex-refi.com/publications/working-papers/labex-refi-working-paper-series-2018/) (Financial regulation). She is an associate researcher to [University Ca’Foscari in Venezia](http://www.unive.it/pag/16868/). She has already supervised 37 PhD in economics and mathematics. She currently supervised 2 thesis. She has already published 11 books in statistics theory, time series and finance, participate for chapters in 30 books , and published more than130 academic papers . She is regularly invited in universities around the world to give seminars or lectures for long stays in Italy (Venezia , Firenze, Padova ), in Danemark (Arrhus), in The Netherlands (Rotterdam), in Belgium (Louvain), in Germany (Berlin ), in Great Britain (London, Warwick), in Russia (HCE Moscou), in Hong Kong University, in China (Shanghai , Beijing, Tianjin), in Manilla, in Japan (Tokyo), in India (Calcutta, New Delhi), in Australia (Sydney, Brisbane, Melbourne), in New Zealand, in Canada (Montreal), in Brazil ( Porto Alegre, Rio) . She also participates to several international projects supported by French government, or European Commission, or International institutions. These projects focus on the financial regulation, the measures of risks and the decisions of Basel committee in Europe, the Fintech industry, the development of long term risks and the way to take them into account both for bankers, insurance companies and individuals, the importance of systemic risks with the actual financial crisis and the globalization of the markets. These projects link the research and the works of several academic teams inside French universities, European universities, North American Universities, and also enterprises. She is nominated, since August 2018, Associated Editor in the [Journal ](http://www.frontiersin.org/people/DOMINIQUEGUEGAN/601907/activity)[Frontiers in Artificial Intelligence](http://www.frontiersin.org/people/DOMINIQUEGUEGAN/601907/activity) for the section Artificial Intelligence in Finance.

Publications

858305

A Rank-based Approach to Cross-Sectional Analysis

Dominique Guegan , Monica Billio , Ludovic Calès
European Journal of Operational Research, 2015, A paraître
Article dans une revue halshs-00646073v1

Turning point chronology for the euro area: A distance plot approach

Peter Martey Addo , Monica Billio , Dominique Guegan
OECD Journal: Journal of Business Cycle Measurement and Analysis, 2014, 8, pp.1-14. ⟨10.1787/19952899⟩
Article dans une revue hal-01310533v1

Evaluation of Regime Switching Models for Real-Time Business Cycle Analysis of the Euro Area

Monica Billio , Laurent Ferrara , Dominique Guegan , Gian Luigi Mazzi
Journal of Forecasting, 2013, 32 (72, numéro spécial "Modes de gestion des restructurations"), pp.577-586. ⟨10.1002/for.2260⟩
Article dans une revue hal-00965005v1

Nonlinear dynamics and recurrence plots for detecting financial crisis

Peter Martey Addo , Monica Billio , Dominique Guegan
North American Journal of Economics and Finance, 2013, 26, pp.416-435. ⟨10.1016/j.najef.2013.02.014⟩
Article dans une revue hal-00964975v1
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Portfolio Symmetry and Momentum

Monica Billio , Ludovic Calès , Dominique Guegan
European Journal of Operational Research, 2011, 214 (3), pp.759-767
Article dans une revue halshs-00645814v1

A Cross-Sectional Score for the Relative Performance of an Allocation

Dominique Guegan , Ludovic Calès , Monica Billio
International Review of Applied Financial Issues and Economics, 2011, 3 (4), pp.700-710
Article dans une revue halshs-00646070v1
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Multivariate Reflection Symmetry of Copula Functions

Monica Billio , Lorenzo Frattarolo , Dominique Guegan
2017
Autre publication scientifique halshs-01592147v1
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Understanding Exchange Rates Dynamics

Peter Martey Addo , Monica Billio , Dominique Guegan
2013
Autre publication scientifique halshs-00803447v1
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Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis

Peter Martey Addo , Monica Billio , Dominique Guegan
2013
Autre publication scientifique halshs-00803450v1
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Turning point chronology for the Euro-Zone: A Distance Plot Approach

Peter Martey Addo , Monica Billio , Dominique Guegan
2013
Autre publication scientifique halshs-00803457v1
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Alternative Methodology for Turning-Point Detection in Business Cycle : A Wavelet Approach

Peter Martey Addo , Monica Billio , Dominique Guegan
2012
Autre publication scientifique halshs-00694420v1
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Cross-Sectional Analysis through Rank-based Dynamic Portfolios

Monica Billio , Ludovic Calès , Dominique Guegan
2012
Autre publication scientifique halshs-00707430v1
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A test for a new modelling : The Univariate MT-STAR Model

Peter Martey Addo , Monica Billio , Dominique Guegan
2011
Autre publication scientifique halshs-00659158v1
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A Cross-Sectional Performance Measure for Portfolio Management

Monica Billio , Ludovic Calès , Dominique Guegan
2010
Autre publication scientifique halshs-00523466v1
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A Performance Measure of Zero-Dollar Long/Short Equally Weighted Portfolios

Monica Billio , Ludovic Calès , Dominique Guegan
2010
Autre publication scientifique halshs-00476038v1
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Portfolio Symmetry and Momentum

Monica Billio , Ludovic Calès , Dominique Guegan
2009
Autre publication scientifique halshs-00363383v2
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Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro area

Monica Billio , Laurent Ferrara , Dominique Guegan , Gian Luigi Mazzi
2009
Autre publication scientifique halshs-00423890v1