Matthieu Garcin
Scholar

Matthieu Garcin

Google Scholar ID: YD4qCEwAAAAJ
De Vinci Research Center, Paris la Défense
FractalsStatisticsQuantitative financeEconophysicsStatistical finance
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Citations & Impact
All-time
Citations
424
 
H-index
11
 
i10-index
11
 
Publications
20
 
Co-authors
0
 
Publications
5 items
Composite likelihood inference of fractional Gaussian processes with sequentially optimal subset selection
2026
Cited
0
Directional Dependence of Extreme Events
2026
Cited
0
Asymptotic and finite-sample distributions of one- and two-sample empirical relative entropy, with application to change-point detection
2025
Cited
0
Prediction of linear fractional stable motions using codifference
2025
Cited
0
Market information of the fractional stochastic regularity model
2024
Cited
0
Resume
Academic Achievements
  • Published 49 papers with 465 citations. Some of the research works include:
  • - Estimation of time-dependent Hurst exponents with variational smoothing and application to forecasting foreign exchange rates
  • - Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics
  • - Long versus short time scales: the rough dilemma and beyond
  • - Forecasting with fractional Brownian motion: a financial perspective
  • - A statistical test of market efficiency based on information theory
Research Experience
  • Currently an Assistant Professor at the Department of Finance, Pôle Universitaire Léonard de Vinci, and working in Dominique Guegan's Lab.
Background
  • Research interests include Signal Processing, Statistical Signal Processing, Probability, Applied Probability, Finance, Forecasting, Financial Econometrics, Portfolio Management, Time Series Analysis, and Financial Risk Management.