About
I am an Assistant Professor in Economics & Finance at University College London.
My research specializes in financial econometrics, focusing on systemic risk, tail risk
contagion, and risk premia across interconnected financial systems. I am also an active
educator leading modules in economics, finance and quantitative methods.
Working Papers
Garcin, M., & Nicolas, M. L. (2025). Directional Dependence of Extreme Events.
Nicolas, M. L., Sicard, F., Rodriguez M. A., & Zixin, S. (2025). Is Bitcoin A Hedge Against Central Banking? Evidence from an AI-Driven Monetary Policy Expectations.
Code & Data: github.com/maximenc/Bitcoin-Monetary-Policy-Expectations
Nicolas, M. L., Rodriguez M. A., & Caccioli, F. (2025). Do ETFs increase systemic risk?
Aste, T., Barucci, E., Nicolas, M. L. D., & Stocco, D. (2024). Resilience of Market Returns around ESG Controversies: Insights from the S&P 100.
ssrn.com/abstract=5031012
Levy, S., & Nicolas, M. L. (2024). Modern Portfolio Diversification with Arte-Blue Chip Index.
arxiv.org/abs/2409.18816
Nicolas, M. L. (2022). pycop: a Python package for dependence modeling with copulas.
Zenodo Software Package.
Software
10.5281/zenodo.7030034
Articles
Nicolas, M. L. (2025). Tail risk exposure and the cross section of expected stock returns.
Journal of Banking & Finance.
ssrn.com/abstract=4956412
Code & Data: github.com/maximenc/Tail-Risk-Exposure-Cross-Section
Garcin, M., & Nicolas, M. L. (2024). Nonparametric estimator of the tail dependence coefficient: balancing bias and variance.
Statistical Papers.
10.48550/arXiv.2111.11128
Code & Data: github.com/maximenc/pycop
Nicolas, M. L., Desroziers, A., Caccioli, F., & Aste, T. (2024). ESG reputation risk matters: An event study based on social media data.
Finance Research Letters.
10.1016/j.frl.2023.104712
Code & Data: available upon request
Nicolas, M. L. (2022). Estimating a model of herding behavior on social networks.
Physica A: Statistical Mechanics and its Applications.
10.1016/j.physa.2022.127884
Code & Data: available upon request
Boulu-Reshef, B., Bruneau, C., Nicolas, M., & Renault, T. (2022). An Experimental Analysis of Investor Sentiment.
In Behavioral Finance and Asset Prices: The Influence of Investors' Emotions. Springer.
10.1007/978-3-031-24486-5_6