Michel M. Dacorogna

ORCID: 0000-0003-2176-9751
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About
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Research Areas
  • Financial Risk and Volatility Modeling
  • Complex Systems and Time Series Analysis
  • Market Dynamics and Volatility
  • Insurance and Financial Risk Management
  • Financial Markets and Investment Strategies
  • Insurance, Mortality, Demography, Risk Management
  • Monetary Policy and Economic Impact
  • Risk and Portfolio Optimization
  • Stochastic processes and financial applications
  • Global Health Care Issues
  • Stock Market Forecasting Methods
  • High-pressure geophysics and materials
  • Advanced Chemical Physics Studies
  • Surface and Thin Film Phenomena
  • Credit Risk and Financial Regulations
  • Superconductivity in MgB2 and Alloys
  • Physics of Superconductivity and Magnetism
  • Financial Distress and Bankruptcy Prediction
  • Probability and Risk Models
  • Rare-earth and actinide compounds
  • International Science and Diplomacy
  • Risk Management in Financial Firms
  • Information and Cyber Security
  • Economic theories and models
  • Health disparities and outcomes

Prime Solutions Group (United States)
2025

University of Zurich
2022

Berlin School of Economics and Law
2020

Coastal Carolina University
2020

Conway School of Landscape Design
2020

CY Cergy Paris Université
2020

École Supérieure des Sciences Économiques et Commerciales
2020

Université de Sherbrooke
2020

University of KwaZulu-Natal
2020

Michelin (United States)
2017

10.1016/s0378-4371(02)01996-9 article EN Physica A Statistical Mechanics and its Applications 2003-05-01

Superconductivity in the simple hexagonal phase of silicon is predicted on basis an electron-phonon-coupling calculation and measured experimentally up to a pressure 25 GPa Bridgman-type opposed-anvil device. The highest superconducting transition temperature 8.2 K at 15 for phase.

10.1103/physrevlett.54.2375 article EN Physical Review Letters 1985-05-27

A new approach is developed to calculate electron-phonon interactions in metals. The method fully self-consistent and does not assume the rigid-ion or rigid-muffin-tin approximation. Application made aluminum compute wave-vector---dependent coupling. results are good agreement with experimental estimates of average coupling $\ensuremath{\lambda}$ some previous calculations this quantity.

10.1103/physrevlett.55.837 article EN Physical Review Letters 1985-08-19

The structural properties of lithium, sodium, and potassium are studied with use an ab initio pseudopotential method to calculate the total energies these systems as a function volume. results show very small energy differences between bcc, fcc, hcp phases in materials good agreement measured crystal structures for all three metals. lattice constants computed within 2% experiment except sodium where calculation gives constant 3% smaller than experiment.

10.1103/physrevb.34.4996 article EN Physical review. B, Condensed matter 1986-10-15

Estimates of daily volatility are investigated. Realized can be computed from returns observed over time intervals different sizes. For simple statistical reasons, estimators based on high‐frequency have been proposed, but such found to strongly biased as compared volatilities returns. This bias originates microstructure effects in the price formation. foreign exchange, relevant effect is incoherent formation, which leads a strong negative first‐order autocorrelation ρ(1)≃40 per cent for...

10.1111/j.0391-5026.2001.00053.x article EN Economic Notes 2001-07-01

The elastic constants of bcc Nb-Zr alloys are measured over a composition range between 100 and 30 at.% Nb temperatures zero the melting point, using new technique for high-temperature measurements. Anomalous behavior is found ${C}_{44}$. anomaly band-structure effect which corroborated by theoretical calculations electron-lattice coupling derived from tight-binding parametrization scheme. calculation type similar to phonon dispersion ones, having further complication temperature effects...

10.1103/physrevb.18.4120 article EN Physical review. B, Condensed matter 1978-10-15

In this paper we present both a new formulation of the HARCH process and study forecasting accuracy ARCH-type models for predicting short-term volatility. Using high frequency data, market volatility is expressed in terms partial volatilities which are formally exponential moving averages squared returns measured at different frequencies. This shown to produce more accurate fits data and, same time, be easier compute than earlier version process. obtained without losing nice property...

10.2139/ssrn.36960 article EN SSRN Electronic Journal 1997-01-01

Download This Paper Open PDF in Browser Add to My Library Share: Permalink Using these links will ensure access this page indefinitely Copy URL DOI

10.2139/ssrn.939 article EN SSRN Electronic Journal 1997-01-01

Not a day goes by without news about cyber attack. Fear spreads out and lots of wrong ideas circulate. This survey aims at showing how all these uncertainties can be transformed into manageable risk. After reviewing the main characteristics risk, we consider three layers space: hardware, software psycho-cognitive layer. We ask ourselves is this risk different from others, modelling has been tackled needs to evolve, what are multi-facetted aspects management. wide exploration pictures science...

10.1080/03461238.2023.2191869 article EN Scandinavian Actuarial Journal 2023-04-25

An approach is described in which the electron-phonon coupling evaluated by using change self-consistent crystal potential caused a ``frozen-phonon'' distortion of lattice. Both vibrational and electronic properties solid are computed directly used for calculation. The method can be to examine interactions without any empirical information about or states material. Recent applications include successful prediction superconductivity highly compressed silicon.

10.1103/physrevb.34.5065 article EN Physical review. B, Condensed matter 1986-10-15

The elastic moduli of a single crystal rhodium are measured between 4.2 and 300 K. value the tetragonal shear modulus extrapolated to 0 K is in agreement with result calculated previously by new theoretical method. This represents first correct prediction transition metal, based on an ab initio calculation.

10.1103/physrevb.24.2254 article EN Physical review. B, Condensed matter 1981-08-15

Abstract Michel Dacorogna, Ulrich Müller, Richard Olsen and Olivier Pictet offer a new definition of efficient markets that takes into account heterogeneity varying time scales.

10.1080/713665666 article EN Quantitative Finance 2001-02-01

A new approach for ground-state-energy calculations, based on the density-functional formalism, is proposed. It enables us to express a shear modulus as sum of two simple terms, one-electron "band term," "frozen-potential" condition, and "Madelung term" an effective ionic charge. This method applied tetragonal moduli thirteen nonferromagnetic cubic transition metals, using linear muffin-tin orbital---atomic sphere approximation band method. The results agree fairly well with experiment. To...

10.1103/physrevb.26.1527 article EN Physical review. B, Condensed matter 1982-08-15

The foreign exchange (FX) market is worldwide, but the dealers differ in their geographical locations (time zones), working hours, time horizons, home currencies, access to information,transaction costs, and other institutional constraints. variety of horizones large: from intra-day dealers, who close positions every evening, long-term investors central banks. Depending on constraints, different participats need strategies reach goal, which usually maximizing profit, or rather a utility...

10.1080/13518479500000026 article EN European Journal of Finance 1995-12-01
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