Publications

 


JOURNAL PAPERS


Statistical Modeling


  1. Badescu, A., Cui, Z., and Ortega, J.-P. [2017] Non-affine GARCH option pricing models, variance dependent kernels, and diffusion limits. To appear in the Journal of Financial EconometricsPaper


  1. Grigoryeva, L., Ortega, J.-P., and Peresetsky, A. [2017] Volatility forecasting using global stochastic financial trends extracted from non-synchronous data. To appear in Econometrics and Statistics. Paper


  1. Grigoryeva, L., Henriques, J., Larger, L., and Ortega, J.-P. [2016] Nonlinear memory capacity of parallel time-delay reservoir computers in the processing of multidimensional signals. Neural Computation, 28, 1411-1451; doi:10.1162/NECO_a_00845. Paper.


  1. Bauwens, L., Grigoryeva, L., and Ortega, J.-P. [2016] Estimation and empirical performance of non-scalar dynamic conditional correlation models. Computational Statistics and Data Analysis, 100, 17-36. doi:10.1016/j.csda.2015.02.013. Paper. Poster. Matlab Code.


  1. Grigoryeva, L., Henriques, J., and Ortega, J.-P. [2016] Reservoir computing: information processing of stationary signals. Proceedings of the IEEE International Conference on Computational Science and Engineering.  doi 10.1109/CSE-EUC-DCABES.2016.231. Paper presented with the Best Paper Award. Paper. Award.


  1. Grigoryeva, L., Henriques, J., Larger, L., and Ortega, J.-P. [2016] Time-delay reservoir computers and high-speed information processing capacity. Proceedings of the IEEE International Conference on Computational Science and Engineering. doi 10.1109/CSE-EUC-DCABES.2016.230. Paper.


  1. Badescu, A., Cui, Z., and Ortega, J.-P. [2016] A note on the Wang transform for stochastic volatility pricing models. Finance Research Letters, 19, 189-196. Paper.


  1. Badescu, A., Del Castillo, J., and Ortega, J.-P. [2016] Hedging of time discrete auto-regressive stochastic volatility options. To appear in Annals of Economics and Statistics. Paper.


  1. Grigoryeva, L., Henriques, J., Larger, L., and Ortega, J.-P. [2015] Optimal nonlinear information processing capacity in delay-based reservoir computers. Scientific Reports, 5(12858), 1-11; doi: 10.1038/srep12858. Nature Publishing Group. Paper. Supplementary material (24 pp). Poster.


  1. Badescu, A., Elliott, R. J., and Ortega, J.-P. [2015] Non-Gaussian GARCH option pricing models and their diffusion limits. European Journal of Operational Research, 247, 820-830. Paper.


  1. Grigoryeva, L. and Ortega, J.-P. [2015] Asymptotic forecasting error evaluation for estimated temporally aggregated linear processes. International Journal of Computational Economics and Econometrics, 5(3), 289-318. Paper. Matlab code.


  1. Grigoryeva, L. and Ortega, J.-P. [2014] Hybrid forecasting with estimated temporally aggregated linear processes. Journal of Forecasting, 33, 577-595. Paper.


  1. Grigoryeva, L., Henriques, J., Larger, L., and Ortega, J.-P. [2014] Stochastic nonlinear time series forecasting using time-delay reservoir computers: performance and universality. Neural Networks, 55C, 59-71. Included in the “Best of Computing” 2014 list of Computing Reviews. PaperPoster.


  1. Badescu, A., Elliott, R. J., and Ortega, J.-P. [2014] Quadratic hedging schemes for non-Gaussian GARCH models. Journal of Economic Dynamics and Control, 42, 13-32.  Paper.


  1. Ferrara, L., Marsilli, C., and Ortega, J.-P. [2014] Forecasting growth during the Great Recession: is financial volatility the missing ingredient? Economic Modelling, 36, 44-50. Paper.


  1. Henriques, J. and Ortega, J.-P. [2014] Construction, management, and performance of sparse Markowitz portfolios. Studies in Nonlinear Dynamics and Econometrics, 18(4), 383-402. Paper. Matlab code and data.


  1. Chrétien, S. and Ortega, J.-P. [2014] Multivariate GARCH estimation via a Bregman-proximal trust-region method. Computational Statistics and Data Analysis, 76, 210-236. Paper.


  1. Chevassu, F. and Ortega, J.-P. [2013] Maximum likelihood estimation of state-space models. InterStat, paper 1, January 2013.  Paper.


  1. Ortega, J.-P. [2012] GARCH options via local risk minimization. Quantitative Finance, 12(7), 1095-1110. PaperMatlab code.



Physiological signal treatment and analysis


  1. Gabriel, D., Muzard, E., Henriques, J., Mignot, C., Pazart, L., André-Obadia, N., Ortega, J.-P., and Moulin, T. [2016] Replicability and impact of statistics in the detection of neural responses of conciousness. Brain. DOI: 10.1093/brain/aww065. Paper.


  1. Gabriel, D., Muzard, E., Henriques, J., Mignot, C., Pazart, L., André-Obadia, N., Ortega, J.-P., and Moulin, T. [2016] L’emploi de méthodes mathématiques pour détecter la présence de potentiels évoqués dans le coma : un aide ou un fardeau ? Neurophysiologie Clinique/Clinical Neurophysiology, 46(2), 84-85.


  1. Henriques, J., Pazart, L., Grigoryeva, L., Muzart, E., Beaussant, Y., Haffen, E.,  Moulin, T., Aubry, R., Ortega, J.-P., and Gabriel, D. [2016] Bedside evaluation of the functional organization of the auditory cortex in patients with disorders of conciousness. PLOS ONE. DOI: 10.1371/journal.pone.0146788. Paper.


  1. Gabriel, D., Henriques, J., Comte, A., Grigoryeva, L., Ortega, J.-P., Cretin, E.,  Haffen, E.,  Moulin, T., Pazart, L., and Aubry, R. [2015] Substitute or complement? Defining the relative place of EEG and fMRI in the detection of voluntary brain reactions. Neuroscience, 290, 435-444. Paper.


  1. Henriques, J., Gabriel, D., Grigoryeva, L., Haffen, E.,  Moulin, T., Aubry, R., Pazart, L., and Ortega, J.-P. [2014] Protocol design challenges in the detection of awareness in aware subjects using EEG signals. To appear in Clinical EEG and Neuroscience. Paper.


  1. Gabriel, D., Comte, A., Henriques, J., Magnin, E., Grigoryeva, L., Ortega, J.-P., Haffen, E., Moulin, T., Pazart, L., and Aubry, R. [2013] EEG- and fMRI-based communication tools in disorders of consciousness: which is the most reliable method? Clinical EEG and Neuroscience, 44(4), E111. DOI: 10.1177/1550059413507209. Poster.



Geometric Mechanics


  1. Grigoryeva, L., Ortega, J.-P., and Zub, S. [2014] Stability of Hamiltonian relative equilibria in symmetric magnetically confined rigid bodies. Journal of Geometric Mechanics, 6(3), 373-415. Paper


  1. Lázaro-Camí, J.-A. and Ortega, J.-P [2009] Superposition rules and stochastic Lie-Scheffers systems. Annales de l’Institut Henri Poincaré, Probabilité, 45(4), 910-931. Paper


  1. Lázaro-Camí, J.-A. and Ortega, J.-P [2009] The stochastic Hamilton-Jacobi equation. Journal of Geometric Mechanics, 1(3), 295-315. Paper


  1. Lázaro-Camí, J.-A. and Ortega, J.-P [2009] Reduction, reconstruction, and skew-product decomposition of symmetric stochastic differential equations. Stochastics and Dynamics, 9(1), 1-46. Paper


  1. Montaldi, J. and Ortega, J.-P [2009] Symplectic Group Actions and Covering Spaces. Differential Geometry and its Applications, 27, 598-604. Paper


  1. Loja Fernandes, R., Ortega, J.-P., and Ratiu, T. S. [2009] The momentum map in Poisson geometry. American Journal of Mathematics, 131(5), 1261-1310. Paper


  1. Birtea, P., Ortega, J.-P., and Ratiu, T. S. [2009] Openness and convexity for momentum maps. Transactions of the American Mathematical Society, 361(2), 603–630. Paper


  1. Lázaro-Camí, J.-A. and Ortega, J.-P [2008] Variational principles for stochastic Hamiltonian systems. Oberwolfach Reports, 5(3), 1896-1899.


  1. Lázaro-Camí, J.-A., and Ortega, J.-P [2008] Stochastic Hamiltonian dynamical systems. Reports on Mathematical Physics, 61(1), 65-122. Paper


  1. Birtea, P., Ortega, J.-P., and Ratiu, T. S. [2008] Metric convexity in the symplectic category. Journal of Lie Theory, 18(2), 445-469. Paper


  1. Ortega, J.-P. and Ratiu, T. S. [2006] The reduced spaces of a symplectic Lie group action. Annals of Global Analysis and Geometry, 30(4), 335-381. Paper


  1. Ortega, J.-P. and Ratiu, T. S. [2006] The stratified spaces of a symplectic Lie group action. Reports on Mathematical Physics, volume 58, 51-75. Paper


  1. Ortega, J.-P. and Ratiu, T. S. [2006] Cotangent bundle reduction. In the Encyclopedia of Mathematical Physics, volume 1, 658-667. J.-P. Françoise, G.L. Naber and Tsou S.T. (editors) Oxford: Elsevier. Paper


  1. Ortega, J.-P. and Ratiu, T. S. [2006] Poisson reduction. In the Encyclopedia of Mathematical Physics, volume 4, 79-83. J.-P. Françoise, G.L. Naber and Tsou S.T. (editors) Oxford: Elsevier. Paper


  1. Ortega, J.-P. and Ratiu, T. S. [2006] Symmetry and symplectic reduction. In the Encyclopedia of Mathematical Physics, volume 5, 190-197. J.-P. Françoise, G.L. Naber and Tsou S.T. (editors) Oxford: Elsevier. Paper


  1. Ortega, J.-P., Planas-Bielsa, V., and Ratiu, T. S. [2005] Asymptotic and Lyapunov stability of constrained and Poisson equilibria. Journal of Differential Equations, 214, 92-127. Paper


  1. Ortega, J.-P. and Ratiu, T. S. [2004] Symmetry reduction in symplectic and Poisson geometry. Letters in Mathematical Physics, 69, 11-60. Paper


  1. Ortega, J.-P. and Ratiu, T. S. [2004] The universal covering and covered spaces of a symplectic Lie algebra action. In The Breadth of Symplectic and Poisson Geometry: Festschrift in Honor of Alan Weinstein (J.E. Marsden and T.S. Ratiu, eds.), Progress in Mathematics, 232, 571-581. Birkhauser-Verlag, Boston. Paper 


  1. Montaldi, J., Ortega, J.-P., Ratiu, T. S. [2004] The relation between local and global dual pairs. Mathematical Research Letters, 11, no. 2-3, 355-363. Paper


  1. Grabsi, F., Montaldi, J., Ortega, J.-P. [2004] Bifurcation and forced symmetry breaking in Hamiltonian systems. Comptes Rendus Mathématique Académie des Sciences. Paris, 338, no. 7, 565-570. Paper


  1. Ortega, J.-P. and Planas-Bielsa, V. [2004] Dynamics on Leibniz manifolds. Journal of Geometry and Physics, 52, 1-27. Paper 


  1. Ortega, J.-P. and Ratiu, T. S. [2004] Relative equilibria near stable and unstable Hamiltonian relative equilibria. Proceedings of the Royal Society London Ser. A Math. Phys. Eng. Sci., 460, no. 2045, 1407--1431. Paper


  1. Ortega, J.-P. [2003] Relative normal modes for nonlinear Hamiltonian systems. Proceedings of the Royal Society of Edinburgh, Sect. A, 133, 665-704. Paper


  1. Ortega, J.-P. [2003] Singular dual pairs. Differential Geometry and its Applications, 19, 61-95. Paper


  1. Chossat, P., Lewis, D., Ortega, J.-P., and Ratiu, T.S. [2003] Bifurcation of relative equilibria in mechanical systems with symmetry. Advances in Applied Mathematics, 31, 10-45. Paper


  1. Ortega, J.-P. and Ratiu, T. S. [2002] Some remarks about the geometry of Hamiltonian conservation laws. In Symmetry and Perturbation Theory, pages 162-170. S. Abenda, G. Gaeta, and S. Walcher, World Scientific. Paper


  1. Ortega, J.-P. and Ratiu, T. S. [2002] The optimal momentum map. In Geometry, Dynamics, and Mechanics: 60th Birthday Volume for J.E. Marsden, pages 329-362. P. Holmes, P. Newton, and A. Weinstein, eds., Springer-Verlag. Paper


  1. Ortega, J.-P. [2002] The symplectic reduced spaces of a Poisson action. Comptes Rendus Mathématique Académie des Sciences. Paris. 334, 999-1004. Paper


  1. Ortega, J.-P. and Ratiu, T. S. [2002] A symplectic slice theorem. Letters in Mathematical Physics, 59, 81-93. Paper


  1. Chossat, P., Ortega, J.-P., and Ratiu, T. S. [2002] Hamiltonian Hopf bifurcation with symmetry. Archive for Rational Mechanics and Analysis, 163, 1-33. Paper Correction in Archive for Rational Mechanics and Analysis, 167 (2003), no. 1, 83-84. Paper


  1. Ortega, J.-P. and Ratiu, T. S. [2001] Critical point theory and Hamiltonian dynamics around critical elements. In Symmetry and Perturbation Theory, pages 151-158. D. Bambusi, G. Gaeta, M. Cadoni, eds., World Scientific. Paper


  1. Ortega, J.-P. and Ratiu, T.S. [1999] Non-linear  stability of  singular relative periodic orbits in Hamiltonian systems with symmetry. Journal of Geometry and Physics, 32, 160-188. Paper


  1. Ortega, J.-P. and Ratiu, T.S. [1999] A Dirichlet criterion for the stability of periodic and relative periodic orbits in Hamiltonian systems. Journal of Geometry and Physics, 32, 131-159. Paper


  1. Ortega, J.-P. and Ratiu, T.S. [1999] Stability of Hamiltonian relative equilibria. Nonlinearity, 12(3), 693-720. Paper


  1. Ortega, J.-P. and Ratiu, T.S. [1998] Singular reduction of Poisson manifolds. Letters in Mathematical Physics, 46, 359-372. Paper


  1. Ortega, J.-P. and Ratiu, T.S. [1997] Persistence and smoothness of critical relative elements in Hamiltonian systems with symmetry. Comptes Rendus Mathématique Académie des Sciences. Paris. 325, 1107-1111. Paper



OTHER PUBLICATIONS


  1. Grigoryeva, Ortega, J.-P., and Silvestrini, A. [2016] Preface. Recent Developments in Forecasting and Macroeconometrics. Special Issue of the International Journal of Computational Economics and Econometrics, 7(1/2), 1-4. Preface. Contents.


  1. Ortega, J.-P. [2012] Book review: Change of Time and Change of Measure by O. E. Barndorff-Nielsen and A. Shiryaev. European Mathematical Society Newsletter, 86, 57-59. Paper


  1. Ortega, J.-P. [2011] Preface. Special issue dedicated to Tudor S. Ratiu on the occasion of his 60th birthday. Journal of Geometric Mechanics, 3(4), i-iv. Paper