Sébastien Lleo

712 total citations
53 papers, 337 citations indexed

About

Sébastien Lleo is a scholar working on Finance, Management Science and Operations Research and Economics and Econometrics. According to data from OpenAlex, Sébastien Lleo has authored 53 papers receiving a total of 337 indexed citations (citations by other indexed papers that have themselves been cited), including 39 papers in Finance, 20 papers in Management Science and Operations Research and 18 papers in Economics and Econometrics. Recurrent topics in Sébastien Lleo's work include Financial Markets and Investment Strategies (26 papers), Stochastic processes and financial applications (13 papers) and Stock Market Forecasting Methods (11 papers). Sébastien Lleo is often cited by papers focused on Financial Markets and Investment Strategies (26 papers), Stochastic processes and financial applications (13 papers) and Stock Market Forecasting Methods (11 papers). Sébastien Lleo collaborates with scholars based in France, United Kingdom and Canada. Sébastien Lleo's co-authors include Mark H. Davis, William T. Ziemba, Jessica Li, Leonard C. MacLean, Wolfgang J. Runggaldier and Mark A. Davis and has published in prestigious journals such as SHILAP Revista de lepidopterología, European Journal of Operational Research and Journal of Banking & Finance.

In The Last Decade

Sébastien Lleo

49 papers receiving 326 citations

Peers — A (Enhanced Table)

Peers by citation overlap · career bar shows stage (early→late) cites · hero ref

Name	h						Papers	Cites
Sébastien Lleo France	10	195	118	101	32	20	53	337
Carmen López-Martín Spain	9	143 0.7×	156 1.3×	41 0.4×	39 1.2×	8 0.4×	20	274
Amit Kothiyal Germany	9	57 0.3×	111 0.9×	75 0.7×	9 0.3×	34 1.7×	14	248
Hanqing Jin United Kingdom	12	348 1.8×	299 2.5×	290 2.9×	18 0.6×	16 0.8×	29	611
Yong Bao United States	12	285 1.5×	336 2.8×	63 0.6×	158 4.9×	23 1.1×	50	608
Patrizia Semeraro Italy	11	247 1.3×	185 1.6×	92 0.9×	10 0.3×	16 0.8×	46	441
Gregory Gurevich Israel	9	66 0.3×	67 0.6×	63 0.6×	9 0.3×	12 0.6×	41	310
Chor-yiu Sin Taiwan	10	147 0.8×	222 1.9×	45 0.4×	161 5.0×	39 1.9×	19	428
Demián Pouzo United States	10	129 0.7×	203 1.7×	48 0.5×	144 4.5×	38 1.9×	27	487
Alessio Emanuele Biondo Italy	10	63 0.3×	148 1.3×	72 0.7×	4 0.1×	11 0.6×	43	300

Countries citing papers authored by Sébastien Lleo

Since Specialization

Citations

This map shows the geographic impact of Sébastien Lleo's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Sébastien Lleo with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Sébastien Lleo more than expected).

Fields of papers citing papers by Sébastien Lleo

Since Specialization

Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by Sébastien Lleo. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Sébastien Lleo. The network helps show where Sébastien Lleo may publish in the future.

Co-authorship network of co-authors of Sébastien Lleo

This figure shows the co-authorship network connecting the top 25 collaborators of Sébastien Lleo. A scholar is included among the top collaborators of Sébastien Lleo based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with Sébastien Lleo. Sébastien Lleo is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

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20 of 20 papers shown

Lleo, Sébastien, William T. Ziemba, & Jessica Li. (2023). Changepoint Detection in the Cross-Section of Stock Returns. SSRN Electronic Journal. 1 indexed citations

Lleo, Sébastien, et al.. (2022). Using a Mean-Changing Stochastic Processes Exit–Entry Model for Stock Market Long–Short Prediction. The Journal of Portfolio Management. 49(1). 172–197. 1 indexed citations

Lleo, Sébastien, William T. Ziemba, & Jessica Li. (2020). Exploring Breaks in the Distribution of Stock Returns: Empirical Evidence from Apple Inc.. SSRN Electronic Journal. 2 indexed citations

Lleo, Sébastien & Mark H. Davis. (2020). Behavioral Benchmarked Investment Management with Expert Forecasts. SSRN Electronic Journal. 1 indexed citations

Lleo, Sébastien. (2019). The Art of Statistics: Learning from Data. Quantitative Finance. 19(8). 1267–1268. 58 indexed citations

Lleo, Sébastien. (2019). Gods and Robots: Myths, Machines, and Ancient Dreams of Technology. Quantitative Finance. 19(4). 545–546. 18 indexed citations

Ziemba, William T., et al.. (2017). Stock Market Crashes. 5 indexed citations

Davis, Mark H., et al.. (2016). Risk-sensitive investment in a finite-factor model. Stochastics. 89(1). 89–114. 5 indexed citations

Lleo, Sébastien & William T. Ziemba. (2016). The bond-stock earnings yield differential model: additional applications and other models for stock market crash prediction. 4(1). 26–34. 5 indexed citations

10.

Davis, Mark H. & Sébastien Lleo. (2016). A Simple Procedure for Combining Expert Opinion with Statistical Estimates to Achieve Superior Portfolio Performance. The Journal of Portfolio Management. 42(4). 49–58. 6 indexed citations

11.

Davis, Mark H. & Sébastien Lleo. (2015). A Simple Procedure for Merging Expert Opinions to Achieve Superior Portfolio Performance. SSRN Electronic Journal. 1 indexed citations

12.

Lleo, Sébastien & William T. Ziemba. (2015). Predicting Chinese Stock Market Crashes. SSRN Electronic Journal. 3 indexed citations

13.

Lleo, Sébastien & William T. Ziemba. (2015). A Tale of Two Indexes: Predicting Equity Market Downturns in China. SSRN Electronic Journal. 2 indexed citations

14.

Lleo, Sébastien & William T. Ziemba. (2015). Can Warren Buffett Also Predict Equity Market Downturns?. SSRN Electronic Journal. 3 indexed citations

15.

Davis, Mark H., et al.. (2014). Estimating animal spirits: conservative risk calculation. 2(1). 14–21. 1 indexed citations

16.

Lleo, Sébastien & Jessica Li. (2014). Crossing Paths: A Perspective on Mathematics and Finance. SSRN Electronic Journal. 1 indexed citations

17.

Lleo, Sébastien & William T. Ziemba. (2014). How to Lose Money in Derivatives: Examples from Hedge Funds and Bank Trading Departments. SSRN Electronic Journal. 4 indexed citations

18.

Davis, Mark H. & Sébastien Lleo. (2013). Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model. SIAM Journal on Control and Optimization. 51(2). 1441–1480. 17 indexed citations

19.

Davis, Mark H. & Sébastien Lleo. (2011). Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model. SIAM Journal on Financial Mathematics. 2(1). 22–54. 25 indexed citations

20.

Davis, Mark H. & Sébastien Lleo. (2010). Risk-Sensitive Asset Management in a Jump-Diffusion Factor Model. arXiv (Cornell University). 1 indexed citations

Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.

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