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Matthieu Garcin

De Vinci Research Center


Matthieu Garcin

Matthieu Garcin is a lecturer and a researcher in quantitative finance in ESILV. His research focus on the application of nonlinear and nonparametric models and methods to finance, as well as on econophysics, signal processing, and statistics. Formerly, he has worked for a decade as a quantitative analyst in the financial industry, in particular in asset management. He graduated from the École Polytechnique and holds a PhD in mathematics from Université Paris 1 Panthéon-Sorbonne.

matthieu.garcin@devinci.fr

Publications


Journal Articles

Matej ?apina; Chandan Karmakar; Karolina Kramari?; Marcin Kosmider; Matthieu Garcin; Dario Brdari?; Kre?imir Milas; John Yearwood

Lempel-Ziv complexity of the pNNx statistics - an application to neonatal stress Journal Article

In: Chaos Solitons & Fractals, vol. 146, no. 1, pp. 110703, 2021.

Abstract | Links | BibTeX

Matthieu Garcin; Clément Goulet

Non-parametric new impact curve: a variational approach Journal Article

In: Soft Computing, vol. 24, no. 18, pp. 13797-13812, 2020.

Abstract | Links | BibTeX

Matej ?apina; Matthieu Garcin; Karolina Kramari?; Kre?imir Milas; Dario Brdari?; Marko Piri?

The Hurst Exponent of Heart Rate Variability in Neonatal Stress, Based on a Mean-Reverting Fractional Lévy Stable Motion Journal Article

In: Fluctuation And Noise Letters, vol. 19, no. 3, pp. 2050026, 2020.

Abstract | Links | BibTeX

Matthieu Garcin

Fractal analysis of the multifractality of foreign exchange rates Journal Article

In: Mathematical Methods in Economics and Finance, vol. 13-14, no. 1, pp. 49-73, 2020.

Abstract | Links | BibTeX

Matthieu Garcin

Hurst Exponents and Delampertized Fractional Brownian Motions Journal Article

In: International Journal of Theoretical and Applied Finance, vol. 22, no. 5, pp. 1950024, 2019.

Abstract | Links | BibTeX

Karolina Kramari?; Matej ?apina; Matthieu Garcin; Kre?imir Milas; Marko Piri?; Dario Brdari?; Gordana Luki?; Vesna Milas; Silvija Pu?elji?

Heart rate asymmetry as a new marker for neonatal stress Journal Article

In: Biomedical Signal Processing And Control, vol. 47, pp. 219-223, 2019.

Abstract | Links | BibTeX

Matthieu Garcin

Estimation of time-dependent Hurst exponents with variational smoothing and application to forecasting foreign exchange rates Journal Article

In: Physica A-Statistical Mechanics And Its Applications, vol. 483, no. 1, pp. 462-479, 2017.

Abstract | Links | BibTeX

Matthieu Garcin; Dominique Guégan

Wavelet shrinkage of a noisy dynamical system with non-linear noise impact Journal Article

In: Physica D-Nonlinear Phenomena, vol. 325, no. 1, pp. 126-145, 2016.

Abstract | Links | BibTeX

Matthieu Garcin; Dominique Guégan

Probability density of the empirical wavelet coefficients of a noisy chaos Journal Article

In: Physica D-Nonlinear Phenomena, vol. 276, no. 1, pp. 28-47, 2014.

Abstract | Links | BibTeX

Matthieu Garcin; Dominique Guégan

Extreme values of random or chaotic discretization steps and connected networks Journal Article

In: Applied Mathematical Sciences, vol. 6, no. 119, pp. 5901 - 5926, 2012.

Abstract | Links | BibTeX

Conferences

Matthieu Garcin

Forecasting with fractional Brownian motion: a financial perspective Conference

10th General AMaMeF, virtual, 2021.

Links | BibTeX

Matthieu Garcin

From non-parametric estimation of tail dependence coefficients to portfolio diversification Conference

4th International Conference on Econometrics and Statistics, Virtual, 2021.

Abstract | Links | BibTeX

Matthieu Garcin

Fractional models: estimation, forecast, and market efficiency Conference

Financial modelling seminar, Université Paris 1 Panthéon-Sorbonne, Virtual, 2021.

Abstract | Links | BibTeX

Matthieu Garcin

Selection and estimation of fractional and multifractional models Conference

9th International Conference on Mathematical and statistical methods for Actuarial sciences and Finance, virtual, 2020.

BibTeX

Matthieu Garcin

Selection and estimation of fractional and multifractional models Conference

Computational and financial econometrics, London, UK, 2019.

BibTeX

Matthieu Garcin

Selfsimilarity and stationarity in financial time series: estimating Hurst exponents and making predictions Conference

9th General AMaMeF Conference, Paris, France, 2019.

Links | BibTeX

Matthieu Garcin

Estimation d'exposants de Hurst dans un cadre stationaire Conference

51è Journées de Statistique, Nancy, France, 2019.

BibTeX




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