Jean-Philippe Bouchaud

Capital Fund Management

23 rue de l'Université

Paris, 75007

France

SCHOLARLY PAPERS

95

DOWNLOADS
Rank 775

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Top 775

in Total Papers Downloads

36,720

SSRN CITATIONS
Rank 2,438

SSRN RANKINGS

Top 2,438

in Total Papers Citations

328

CROSSREF CITATIONS

206

Scholarly Papers (95)

1.

Theory of Financial Risk: Basic Notions in Probability

Number of pages: 51 Posted: 04 Jul 1999
Jean-Philippe Bouchaud and Marc Potters
Capital Fund Management and Capital Fund Management
Downloads 3,000 (4,676)

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2.

Tail Protection for Long Investors: Trend Convexity at Work

Number of pages: 26 Posted: 09 May 2016 Last Revised: 07 Jul 2016
Millennium Capital Management, France branch, Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 2,299 (7,258)
Citation 4

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Trend Following, Convexity, Volatility, Option Hedging, Variance Swap, CTA, Risk Parity, Tail Risk, Protection

3.
Downloads 2,286 ( 7,331)
Citation 34

Sticky Expectations and the Profitability Anomaly

Journal of Finance, Forthcoming, HEC Paris Research Paper No. FIN-2016-1136, Swiss Finance Institute Research Paper No. 16-60
Number of pages: 45 Posted: 07 Mar 2016 Last Revised: 03 May 2018
Jean-Philippe Bouchaud, Philipp Krueger, Augustin Landier and David Thesmar
Capital Fund Management, University of Geneva - Geneva Finance Research Institute (GFRI), HEC and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 2,285 (7,215)
Citation 11

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Stock market anomalies, Sticky expectations

Sticky Expectations and the Profitability Anomaly

CEPR Discussion Paper No. DP12528
Number of pages: 46 Posted: 02 Jan 2018
Jean-Philippe Bouchaud, Philipp Krueger, Augustin Landier and David Thesmar
Capital Fund Management, University of Geneva - Geneva Finance Research Institute (GFRI), HEC and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1 (792,858)
Citation 23
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profitability anomaly, Sticky expectations

4.

Statistical Properties of Stock Order Books: Empirical Results and Models

Number of pages: 12 Posted: 27 Feb 2004
Jean-Philippe Bouchaud, Marc Mezard and Marc Potters
Capital Fund Management, Université Paris XI Sud - LPSMS and Capital Fund Management
Downloads 1,781 (10,986)
Citation 23

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Financial markets, order book, market microstructure

5.

The Excess Returns of 'Quality' Stocks: A Behavioral Anomaly

HEC Paris Research Paper No. FIN-2016-1134
Number of pages: 11 Posted: 18 Jan 2016 Last Revised: 27 Nov 2017
Capital Fund Management, Capital Fund Management, HEC, Capital Fund Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,519 (14,163)
Citation 4

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Quality anomaly, financial analysts misplaced focus, behavioral biases

6.

How Markets Slowly Digest Changes in Supply and Demand

Number of pages: 111 Posted: 15 Sep 2008
Jean-Philippe Bouchaud, J. Doyne Farmer and Fabrizio Lillo
Capital Fund Management, University of Oxford - Institute for New Economic Thinking at the Oxford Martin School and Università di Bologna
Downloads 1,430 (15,572)
Citation 70

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Financial markets, Market microstructure, Market impact, Order flow

7.

Phenomenology of the Interest Curve: A Statistical Analysis of Term Structure Deformations

Number of pages: 32 Posted: 10 Feb 1998
Jean-Philippe Bouchaud, Nicholas Sagna, Rama Cont, Nicole El Karoui and Marc Potters
Capital Fund Management, Credit Suisse First Boston Fixed Income Research, University of Oxford, Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Capital Fund Management
Downloads 1,316 (17,695)
Citation 2

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8.

The Price Impact of Order Book Events: Market Orders, Limit Orders and Cancellations

Number of pages: 29 Posted: 06 Apr 2009
Zoltan Eisler, Jean-Philippe Bouchaud and Julien Kockelkoren
Capital Fund Management, Capital Fund Management and affiliation not provided to SSRN
Downloads 1,200 (20,336)
Citation 29

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price impact, market orders, limit orders, cancellations, market microstructure, order flow

9.

Herd Behavior and Aggregate Fluctuations in Financial Markets

Number of pages: 30 Posted: 10 Feb 1998
Rama Cont and Jean-Philippe Bouchaud
University of Oxford and Capital Fund Management
Downloads 1,137 (22,070)
Citation 7

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10.

Risk Premia: Asymmetric Tail Risks and Excess Returns

Number of pages: 25 Posted: 30 Sep 2014
Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 1,115 (22,685)
Citation 7

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Risk Premium, skewness, equity, carry trade

11.

Scaling in Stock Market Data: Stable Laws and Beyond

Number of pages: 11 Posted: 28 Nov 1997
Rama Cont, Marc Potters and Jean-Philippe Bouchaud
University of Oxford, Capital Fund Management and Capital Fund Management
Downloads 1,011 (26,131)
Citation 11

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12.

Zooming In on Equity Factor Crowding

Number of pages: 7 Posted: 05 Feb 2020
Capital Fund Management, Ecole Polytechnique, Palaiseau, Capital Fund Management, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 963 (28,107)
Citation 1

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13.

Fluctuations and Response in Financial Markets: The Subtle Nature of 'Random' Price Changes

Number of pages: 26 Posted: 27 Feb 2004
Jean-Philippe Bouchaud, Yuval Gefen, Marc Potters and Matthieu Wyart
Capital Fund Management, Weizmann Institute of Science - Condensed Matter Physics Department, Capital Fund Management and Centre d'Etudes de Saclay (CEA) - Service de Physique de l'Etat Condense (SPEC)
Downloads 938 (29,148)
Citation 62

Abstract:

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Financial markets, order book, market microstructure

14.

More Statistical Properties of Order Books and Price Impact

Number of pages: 9 Posted: 27 Feb 2004
Marc Potters and Jean-Philippe Bouchaud
Capital Fund Management and Capital Fund Management
Downloads 878 (31,999)
Citation 24

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Financial markets, order book, market microstructure

15.

The Leverage Effect in Financial Markets: Retarded Volatility And Market Panic

Number of pages: 12 Posted: 04 Feb 2001
Jean-Philippe Bouchaud, Andrew Matacz and Marc Potters
Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 865 (32,680)
Citation 9

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16.

Why Do Markets Crash? Bitcoin Data Offers Unprecedented Insights

Number of pages: 13 Posted: 24 Mar 2015 Last Revised: 15 Oct 2015
Jonathan Donier and Jean-Philippe Bouchaud
Université Paris VI Pierre et Marie Curie and Capital Fund Management
Downloads 856 (33,171)
Citation 10

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econophysics, financial markets, market stability, bubbles, crashes, market microstructure, market impact

17.

Hedged Monte-Carlo: Low Variance Derivative Pricing with Objective Probabilities

Number of pages: 11 Posted: 12 Sep 2000
Marc Potters, Jean-Philippe Bouchaud and Dragan Sestovic
Capital Fund Management, Capital Fund Management and Multifactor Analytics and Consulting
Downloads 809 (35,788)
Citation 7

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18.

Power-Laws in Economy and Finance: Some Ideas from Physics

AFA 2001 New Orleans Meetings
Number of pages: 16 Posted: 06 Oct 2000
Jean-Philippe Bouchaud
Capital Fund Management
Downloads 739 (40,518)
Citation 4

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19.

Black Was Right: Price Is Within a Factor 2 of Value

Number of pages: 9 Posted: 16 Nov 2017 Last Revised: 19 Nov 2017
Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 737 (40,666)
Citation 7

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Trend Following, Mean-Reversion, Market Anomalies, Behavioral Biases

20.

Correlation Structure of Extreme Stock Returns

Number of pages: 14 Posted: 20 Jul 2000
Pierre Cizeau, Marc Potters and Jean-Philippe Bouchaud
Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 607 (52,702)
Citation 1

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21.

Explaining the Forward Interest Rate Term Structure

Number of pages: 12 Posted: 15 Nov 1999
Andrew Matacz and Jean-Philippe Bouchaud
Capital Fund Management and Capital Fund Management
Downloads 556 (58,787)

Abstract:

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22.

An Empirical Investigation of the Forward Interest Rate Term Structure

Number of pages: 34 Posted: 12 Aug 1999
Jean-Philippe Bouchaud and Andrew Matacz
Capital Fund Management and Capital Fund Management
Downloads 529 (62,626)
Citation 1

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23.

Worst Fluctuation Method for Fast Value-at-Risk Estimates

Number of pages: 8 Posted: 21 Oct 1999
Jean-Philippe Bouchaud and Marc Potters
Capital Fund Management and Capital Fund Management
Downloads 518 (64,277)
Citation 2

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24.

Apparent Multifractality in Financial Time Series

Working Paper No. 9906347
Number of pages: 9 Posted: 19 Oct 1999
Jean-Philippe Bouchaud, Marc Potters and Martin Meyer
Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 499 (67,365)
Citation 10

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25.

How to Improve the Financial Architecture and Its Resilience

Number of pages: 22 Posted: 21 Jun 2014
ETH Zürich - Department of Humanities, Social and Political Sciences (GESS), London School of Economics & Political Science (LSE), Capital Fund Management, University College London, University of Oxford, University of Western Sydney - School of Economics & Finance, Columbia University School of Law, University of Kiel - Institute for World Economics (IfW), Independent, University of St. Gallen, Independent and University of the West of England (UWE)
Downloads 482 (70,349)

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financial architecture, resilience, financial crisis, banking crisis, economic crisis, new economic thinking

26.

Option Pricing and Hedging with Temporal Correlations

Number of pages: 16 Posted: 04 Feb 2001
Lorenzo Cornalba, Jean-Philippe Bouchaud and Marc Potters
École Normale Supérieure (ENS) - Laboratoire de Physique Theorique, Capital Fund Management and Capital Fund Management
Downloads 368 (96,656)
Citation 1

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27.

Self Referential Behaviour, Overreaction and Conventions in Financial Markets

Number of pages: 16 Posted: 18 Jun 2003
Matthieu Wyart and Jean-Philippe Bouchaud
Centre d'Etudes de Saclay (CEA) - Service de Physique de l'Etat Condense (SPEC) and Capital Fund Management
Downloads 363 (98,183)
Citation 4

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Self referential behaviour, overreaction, conventions, excess volatility, excess correlations, regime shift

28.

Agnostic Risk Parity: Taming Known and Unknown-Unknowns

Number of pages: 12 Posted: 29 Oct 2016
Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 349 (102,617)
Citation 1

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Quantitative Portfolio Management, Portfolio Construction, Asset Allocation, Risk Parity, Risk Budgeting, Diversification, Markowitz, Alternative Beta

29.

On a Skewed Multifractal Random Walk with Applications in Finance

Number of pages: 23 Posted: 12 Apr 2002
Benoit Pochart and Jean-Philippe Bouchaud
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Capital Fund Management
Downloads 336 (107,089)

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skewness, kurtosis, multifractal, smile

30.

A Fully Consistent, Minimal Model for Non-Linear Market Impact

Number of pages: 17 Posted: 30 Nov 2014 Last Revised: 02 Dec 2014
Jonathan Donier, Julius Bonart, Iacopo Mastromatteo and Jean-Philippe Bouchaud
Université Paris VI Pierre et Marie Curie, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 335 (107,445)
Citation 21

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market microstructure, price formation, market impact, reaction-diffusion, limit order book, non-arbitrage

31.

Option Pricing and Hedging with Minimum Local Expected Shortfall

Number of pages: 23 Posted: 28 Oct 2003
Benoit Pochart and Jean-Philippe Bouchaud
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Capital Fund Management
Downloads 326 (110,780)
Citation 1

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option, hedging, shortfall, incomplete market, transaction costs

32.

How Does the Market React to Your Order Flow?

Number of pages: 12 Posted: 06 Apr 2011
Capital Fund Management, Capital Fund Management, Università di Bologna, Capital Fund Management, Capital Fund Management and University of Oxford - Institute for New Economic Thinking at the Oxford Martin School
Downloads 312 (116,154)
Citation 8

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Financial markets, market microstructure, limit order book, order flow, behavioural economics

33.

Bubbles, Crashes and Intermittency in Agent Based Market Models

Number of pages: 39 Posted: 29 Jun 2002
Irene Giardina and Jean-Philippe Bouchaud
University of Rome I - Department of Physics and Capital Fund Management
Downloads 299 (121,506)
Citation 15

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34.

Equity Factors: To Short Or Not To Short, That is the Question

Number of pages: 9 Posted: 14 Apr 2020
Florent Benaych-Georges, Jean-Philippe Bouchaud and Stefano Ciliberti
affiliation not provided to SSRN, Capital Fund Management and Capital Fund Management
Downloads 294 (124,086)
Citation 1

Abstract:

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equity factors, asset pricing, factor investing, risk premia, equity market neutral, alternative beta

35.

Multiple Time Scales in Volatility and Leverage Correlations: An Stochastic Volatility Model

Applied Mathematical Finance, Vol. 11, 2004
Number of pages: 19 Posted: 14 Oct 2003 Last Revised: 16 Nov 2013
Josep Perelló, Jaume Masoliver and Jean-Philippe Bouchaud
University of Barcelona - Department of Physics, University of Barcelona - Department of Physics and Capital Fund Management
Downloads 288 (126,375)
Citation 4

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financial markets, stochastic volatility model, leverage correlation, volatility autocorrelation

36.

Models for the Impact of All Order Book Events

Number of pages: 12 Posted: 18 Jul 2011
Zoltan Eisler, Jean-Philippe Bouchaud and Julien Kockelkoren
Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 244 (149,669)
Citation 6

Abstract:

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price impact, market orders, limit orders, cancellations, market microstructure, order flow

37.

On a Universal Mechanism for Long Ranged Volatility Correlations

Number of pages: 14 Posted: 11 Jan 2001
Jean-Philippe Bouchaud, Irene Giardina and Marc Mezard
Capital Fund Management, University of Rome I - Department of Physics and Université Paris XI Sud - LPSMS
Downloads 238 (153,271)
Citation 6

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38.

V –, U –, L – Or W–Shaped Economic Recovery After COVID-19: Insights From an Agent Based Model

Number of pages: 20 Posted: 15 Jun 2020 Last Revised: 19 Feb 2021
École Normale Supérieure - PSL Research University - Laboratoire de Physique de l’École Normale Supérieure, Capital Fund Management, Capital Fund Management, Université Paris VI Pierre et Marie Curie and École Normale Supérieure (ENS)
Downloads 213 (171,171)
Citation 2

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agent-based model, COVID, coronavirus, policy

39.

Why does individual learning endure when crowds are wiser?

Number of pages: 11 Posted: 05 Jan 2021
Benoît de Courson, Léo Fitouchi, Jean-Philippe Bouchaud and Michael Benzaquen
affiliation not provided to SSRN, affiliation not provided to SSRN, Capital Fund Management and Ecole Polytechnique, Palaiseau
Downloads 189 (190,232)
Citation 1

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Cultural evolution, Wisdom of crowds, Complex systems, Network models

40.

Statistical Models for Company Growth

Number of pages: 10 Posted: 09 Nov 2003
Matthieu Wyart and Jean-Philippe Bouchaud
Centre d'Etudes de Saclay (CEA) - Service de Physique de l'Etat Condense (SPEC) and Capital Fund Management
Downloads 179 (199,659)
Citation 11

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Statistics of company growth, Sutton's model

41.

Instabilities in Large Economies: Aggregate Volatility Without Idiosyncratic Shocks

HEC Paris Research Paper No. FIN-2014-1052
Number of pages: 22 Posted: 21 Jun 2014 Last Revised: 17 Sep 2014
Julius Bonart, Jean-Philippe Bouchaud, Augustin Landier and David Thesmar
Capital Fund Management, Capital Fund Management, HEC and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 174 (204,603)
Citation 5

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volatility of aggregate output, network theory, rational expectations, general equilibrium

42.

The Joint Distribution of Stock Returns is Not Elliptical

International Journal of Theoretical and Applied Finance, Vol. 15, No. 3, 2012
Number of pages: 24 Posted: 03 Aug 2011 Last Revised: 12 Jun 2012
Rémy Chicheportiche and Jean-Philippe Bouchaud
Ecole Centrale Paris and Capital Fund Management
Downloads 174 (204,603)

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copulas, elliptical distributions, stock returns, multivariate data

43.

Sudden Trust Collapse in Networked Societies

Eur. Phys. J. B 88 (3) 55 (2015)
Number of pages: 15 Posted: 23 Sep 2014 Last Revised: 17 Mar 2015
João da Gama Batista, Jean-Philippe Bouchaud and Damien Challet
CentraleSupélec, Capital Fund Management and CentraleSupélec
Downloads 163 (216,243)
Citation 1

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trust, networks, sudden collapse, collective behavior, crisis, hysteresis, phase transition

44.

Anomalous Price Impact and the Critical Nature of Liquidity in Financial Markets

Number of pages: 13 Posted: 11 May 2011
Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 163 (216,243)
Citation 23

Abstract:

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45.

Trading Lightly: Cross-Impact and Optimal Portfolio Execution

Number of pages: 7 Posted: 10 Apr 2017
Iacopo Mastromatteo, Michael Benzaquen, Zoltan Eisler and Jean-Philippe Bouchaud
Capital Fund Management, Ecole Polytechnique, Palaiseau, Capital Fund Management and Capital Fund Management
Downloads 161 (218,523)
Citation 9

Abstract:

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46.

Optimal Inflation Target: Insights from an Agent-Based Model

Number of pages: 19 Posted: 19 Sep 2017 Last Revised: 09 Feb 2018
Jean-Philippe Bouchaud, Stanislao Gualdi, Marco Tarzia and Francesco Zamponi
Capital Fund Management, Capital Fund Management, Université Paris VI Pierre et Marie Curie and École Normale Supérieure (ENS)
Downloads 159 (220,864)
Citation 4

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agent-based computational economics, aggregative models, monetary policy, inflation target, macroeconomics

47.

The Short-Term Price Impact of Trades Is Universal

Number of pages: 9 Posted: 28 Feb 2017 Last Revised: 02 Jan 2018
Bence Toth, Zoltan Eisler and Jean-Philippe Bouchaud
Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 151 (230,563)

Abstract:

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financial markets, market microstructure, limit order book, order flow, behavioural economics

48.

Critical Reflexivity in Financial Markets: A Hawkes Process Analysis

Number of pages: 9 Posted: 21 Feb 2013
Stephen Hardiman, Nicolas Bercot and Jean-Philippe Bouchaud
Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 137 (249,495)
Citation 15

Abstract:

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Hawkes process, market events, long-memory, volatility

49.

Market Impact with Multi-Timescale Liquidity

Number of pages: 17 Posted: 11 Oct 2017 Last Revised: 18 Oct 2017
Michael Benzaquen and Jean-Philippe Bouchaud
Ecole Polytechnique, Palaiseau and Capital Fund Management
Downloads 133 (255,235)
Citation 2

Abstract:

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Market microstructure; price formation; limit order book; market impact

50.

Dissecting Cross-Impact on Stock Markets: An Empirical Analysis

Number of pages: 22 Posted: 10 Sep 2016 Last Revised: 03 Nov 2016
Michael Benzaquen, Iacopo Mastromatteo, Zoltan Eisler and Jean-Philippe Bouchaud
Ecole Polytechnique, Palaiseau, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 133 (255,235)
Citation 9

Abstract:

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Market impact

51.

Slow Decay of Impact in Equity Markets

Number of pages: 6 Posted: 27 Jul 2014
Xavier Brokmann, Emmanuel Sérié, Julien Kockelkoren and Jean-Philippe Bouchaud
Variance Capital LLP, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 131 (258,209)
Citation 8

Abstract:

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price impact, market microstructure

52.

Skew and Implied Leverage Effect: Smile Dynamics Revisited

Number of pages: 12 Posted: 09 Mar 2017
Vincent Vargas, Tung-Lam Dao and Jean-Philippe Bouchaud
Ecole Normale Superiéure (ENS), Millennium Capital Management, France branch and Capital Fund Management
Downloads 127 (264,340)
Citation 2

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skew, implied leverage effect, volatility smile, skew-stickiness ratio

53.

Unravelling the Trading Invariance Hypothesis

Number of pages: 11 Posted: 12 Feb 2016
Michael Benzaquen, Jonathan Donier and Jean-Philippe Bouchaud
Ecole Polytechnique, Palaiseau, Université Paris VI Pierre et Marie Curie and Capital Fund Management
Downloads 127 (264,340)
Citation 3

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market microstructure, trading invariance, volatility

54.

Co-Existence of Trend and Value in Financial Markets: Estimating an Extended Chiarella Model

Number of pages: 49 Posted: 07 Aug 2018
Adam Majewski, Stefano Ciliberti and Jean-Philippe Bouchaud
Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 114 (285,992)
Citation 3

Abstract:

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Trend Following, Value Investing, Market Anomalies, Agent-Based Models

55.

Linear Models for the Impact of Order Flow on Prices I. Propagators: Transient vs. History Dependent Impact

Number of pages: 22 Posted: 28 Apr 2016
Scuola Normale Superiore, University of Bologna - Department of Mathematics, Capital Fund Management, Università di Bologna and Capital Fund Management
Downloads 109 (295,114)
Citation 10

Abstract:

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Financial markets, market microstructure, market impact, liquidity

56.

Crossover from Linear to Square-Root Market Impact

Number of pages: 5 Posted: 06 Dec 2018
Frederic Bucci, Michael Benzaquen, Fabrizio Lillo and Jean-Philippe Bouchaud
Scuola Normale Superiore, Ecole Polytechnique, Palaiseau, Università di Bologna and Capital Fund Management
Downloads 99 (314,856)
Citation 7

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57.

Goodness-of-Fit Tests with Dependent Observations

Journal of Statistical Mechanics: Theory and Experiment, 2011
Number of pages: 25 Posted: 03 Aug 2011 Last Revised: 05 Sep 2011
Rémy Chicheportiche and Jean-Philippe Bouchaud
Ecole Centrale Paris and Capital Fund Management
Downloads 95 (323,359)
Citation 1

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extreme value statistics, stochastic processes, financial time series

58.

How Much Income Inequality Is Too Much?

Number of pages: 11 Posted: 13 May 2020
Jean-Philippe Bouchaud
Capital Fund Management
Downloads 94 (325,551)

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Income distribution, Wage inequalities, Gini coefficient, Involuntary unemployment

59.

The Fine-Structure of Volatility Feedback

Number of pages: 26 Posted: 11 Jun 2012
Rémy Chicheportiche and Jean-Philippe Bouchaud
Ecole Centrale Paris and Capital Fund Management
Downloads 92 (332,247)
Citation 2

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volatility dynamics, GARCH models, endogenous feedback, time reversal invariance, stock markets

60.

Co-Impact: Crowding Effects in Institutional Trading Activity

Number of pages: 29 Posted: 10 May 2018
Scuola Normale Superiore, Capital Fund Management, Capital Fund Management, Università di Bologna, Capital Fund Management and Capital Fund Management
Downloads 90 (334,615)
Citation 7

Abstract:

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61.

May's Instability in Large Economies

Number of pages: 35 Posted: 08 Feb 2019 Last Revised: 24 Sep 2019
José Moran and Jean-Philippe Bouchaud
University of Oxford - Institute for New Economic Thinking at the Oxford Martin School and Capital Fund Management
Downloads 89 (336,889)
Citation 9

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crises, networks, firms, leontief, shocks, supply chain

62.

Linear Models for the Impact of Order Flow on Prices II. The Mixture Transition Distribution Model

Number of pages: 23 Posted: 28 Apr 2016
Scuola Normale Superiore, University of Bologna - Department of Mathematics, Capital Fund Management, Università di Bologna and Capital Fund Management
Downloads 89 (336,889)
Citation 4

Abstract:

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Financial markets, market microstructure, market impact, liquidity, markov chain

63.

Smile Dynamics -- A Theory of the Implied Leverage Effect

Number of pages: 20 Posted: 27 Apr 2013
Stefano Ciliberti, Jean-Philippe Bouchaud and Marc Potters
Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 89 (336,889)

Abstract:

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64.

Price Impact Without Order Book: A Study of the OTC Credit Index Market

Number of pages: 15 Posted: 19 Sep 2016
Zoltan Eisler and Jean-Philippe Bouchaud
Capital Fund Management and Capital Fund Management
Downloads 86 (344,244)
Citation 1

Abstract:

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Price Impact, Market Microstructure, Credit, Order Flow

65.

Do Investors Trade Too Much? A Laboratory Experiment

Number of pages: 57 Posted: 11 Dec 2015
CentraleSupélec, Catholic University of Milan, Capital Fund Management, CentraleSupélec and University of Amsterdam - Amsterdam School of Economics (ASE)
Downloads 86 (344,244)

Abstract:

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66.

Slow Decay of Impact in Equity Markets: Insights From the ANcerno Database

Number of pages: 12 Posted: 28 Jan 2019
Frederic Bucci, Michael Benzaquen, Fabrizio Lillo and Jean-Philippe Bouchaud
Scuola Normale Superiore, Ecole Polytechnique, Palaiseau, Università di Bologna and Capital Fund Management
Downloads 84 (349,030)
Citation 4

Abstract:

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67.

Quadratic Hawkes Processes for Financial Prices

Number of pages: 24 Posted: 26 Sep 2015
Pierre Blanc, Jonathan Donier and Jean-Philippe Bouchaud
Ecole des Ponts ParisTech, Université Paris VI Pierre et Marie Curie and Capital Fund Management
Downloads 83 (351,512)
Citation 2

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Hawkes processes, financial prices, volatility modelling, time-reversal asymmetry, Pearsons diffusion, high frequency trading, order splitting, fat tails

68.

From Walras' Auctioneer to Continuous Time Double Auctions: A General Dynamic Theory of Supply and Demand

Number of pages: 25 Posted: 13 Jun 2015
Jonathan Donier and Jean-Philippe Bouchaud
Université Paris VI Pierre et Marie Curie and Capital Fund Management
Downloads 81 (356,636)
Citation 3

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Walras' law, Price formation, Supply, Demand, Economic dynamics, Market impact, Liquidity

69.

Impact Is Not Just Volatility

Number of pages: 5 Posted: 03 Jun 2019
Scuola Normale Superiore, Capital Fund Management, Ecole Polytechnique, Palaiseau and Capital Fund Management
Downloads 79 (361,881)

Abstract:

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70.

The Case for Long-Only Agnostic Allocation Portfolios

Number of pages: 20 Posted: 20 Jun 2019
Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 77 (370,033)

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portfolio construction, minimum variance, maximum diversification, sparsity

71.

A Nested Factor Model for Non-Linear Dependences in Stock Returns

Number of pages: 23 Posted: 14 Sep 2013
Rémy Chicheportiche and Jean-Philippe Bouchaud
Ecole Centrale Paris and Capital Fund Management
Downloads 77 (367,318)
Citation 1

Abstract:

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72.

Tipping Points in Macroeconomic Agent-Based Models

Number of pages: 42 Posted: 13 Jul 2013 Last Revised: 26 Aug 2014
Stanislao Gualdi, Marco Tarzia, Francesco Zamponi and Jean-Philippe Bouchaud
Capital Fund Management, Université Paris VI Pierre et Marie Curie, École Normale Supérieure (ENS) and Capital Fund Management
Downloads 73 (378,514)
Citation 12

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Agent-Based Computational Economics, Aggregative Models, Cycles

73.

Conditional Correlations and Principal Regression Analysis for Futures

Number of pages: 12 Posted: 04 Feb 2020
Armine Karami, Raphael Benichou, Michael Benzaquen and Jean-Philippe Bouchaud
University of Paris-Saclay - Ecole Polytechnique, Capital Fund Management, Ecole Polytechnique, Palaiseau and Capital Fund Management
Downloads 68 (393,407)

Abstract:

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74.

How Does Latent Liquidity Get Revealed in the Limit Order Book?

Number of pages: 18 Posted: 12 Sep 2018
Lorenzo Dall'Amico, Antoine Fosset, Jean-Philippe Bouchaud and Michael Benzaquen
University of Paris-Saclay - Ecole Polytechnique, University of Paris-Saclay - Ecole Polytechnique, Capital Fund Management and Ecole Polytechnique, Palaiseau
Downloads 65 (402,864)
Citation 1

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75.

Are Trading Invariants Really Invariant? Trading Costs Matter

Number of pages: 13 Posted: 27 Feb 2019
Frederic Bucci, Fabrizio Lillo, Jean-Philippe Bouchaud and Michael Benzaquen
Scuola Normale Superiore, Università di Bologna, Capital Fund Management and Ecole Polytechnique, Palaiseau
Downloads 55 (437,024)
Citation 3

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76.

Optimal Multi-Asset Trading With Linear Costs: A Mean-Field Approach

Number of pages: 14 Posted: 03 Jun 2019
Matt Emschwiller, Benjamin Petit and Jean-Philippe Bouchaud
Operations Research Center, Massachusetts Institute of Technology, Institute for Computational and Mathematical Engineering, Stanford University and Capital Fund Management
Downloads 49 (459,560)

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Optimal trading, Linear costs, Mean-field approximation

77.

A Fractional Reaction-Diffusion Description of Supply and Demand

Number of pages: 7 Posted: 10 Apr 2017
Michael Benzaquen and Jean-Philippe Bouchaud
Ecole Polytechnique, Palaiseau and Capital Fund Management
Downloads 48 (463,569)
Citation 1

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78.

Schrödinger’s Ants: A Continuous Description of Kirman’s Recruitment Model

Number of pages: 15 Posted: 08 May 2020
José Moran, Antoine Fosset, Michael Benzaquen and Jean-Philippe Bouchaud
University of Oxford - Institute for New Economic Thinking at the Oxford Martin School, University of Paris-Saclay - Ecole Polytechnique, Ecole Polytechnique, Palaiseau and Capital Fund Management
Downloads 44 (480,370)
Citation 4

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79.

Monetary Policy and Dark Corners in a Stylized Agent-Based Model

Number of pages: 21 Posted: 22 Jan 2015
Stanislao Gualdi, Marco Tarzia, Francesco Zamponi and Jean-Philippe Bouchaud
Capital Fund Management, Université Paris VI Pierre et Marie Curie, École Normale Supérieure (ENS) and Capital Fund Management
Downloads 44 (480,370)
Citation 5

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agent-based computational economics, aggregative models, monetary policy, macroeconomics, cycles

80.

Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events

Number of pages: 17 Posted: 08 Jun 2020
Antoine Fosset, Jean-Philippe Bouchaud and Michael Benzaquen
University of Paris-Saclay - Ecole Polytechnique, Capital Fund Management and Ecole Polytechnique, Palaiseau
Downloads 42 (489,117)

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81.

Confidence Collapse in a Multi-Household, Self-Reflexive DSGE Model

Number of pages: 6 Posted: 17 Jul 2019
Federico Morelli, Michael Benzaquen, Marco Tarzia and Jean-Philippe Bouchaud
Sorbonne University, Ecole Polytechnique, Palaiseau, Université Paris VI Pierre et Marie Curie and Capital Fund Management
Downloads 39 (502,689)

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82.

Endogenous Liquidity Crises

Number of pages: 21 Posted: 17 Dec 2019
Antoine Fosset, Jean-Philippe Bouchaud and Michael Benzaquen
University of Paris-Saclay - Ecole Polytechnique, Capital Fund Management and Ecole Polytechnique, Palaiseau
Downloads 36 (516,715)
Citation 2

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83.

The Multivariate Kyle Model: More is Different

Number of pages: 30 Posted: 08 Jul 2018 Last Revised: 19 Dec 2018
Capital Fund Management, Capital Fund Management, Ecole Polytechnique, Palaiseau and Capital Fund Management
Downloads 34 (531,982)
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84.

By Force of Habit: Self-Trapping in a Dynamical Utility Landscape

Number of pages: 7 Posted: 24 Apr 2020
University of Oxford - Institute for New Economic Thinking at the Oxford Martin School, University of Paris-Saclay - Ecole Polytechnique, University of Paris-Saclay - Ecole Polytechnique, Capital Fund Management and Ecole Polytechnique, Palaiseau
Downloads 31 (542,414)
Citation 2

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85.

Tâtonnement, Approach to Equilibrium and Excess Volatility in Firm Networks

Number of pages: 46 Posted: 05 Jan 2021
Théo Dessertaine, José Moran, Michael Benzaquen and Jean-Philippe Bouchaud
University of Paris-Saclay - Ecole Polytechnique, University of Oxford - Institute for New Economic Thinking at the Oxford Martin School, Ecole Polytechnique, Palaiseau and Capital Fund Management
Downloads 30 (547,811)
Citation 1

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86.

Endogenous Crisis Waves: A Stochastic Model with Synchronized Collective Behavior

Number of pages: 5 Posted: 13 Sep 2014
Capital Fund Management, Capital Fund Management, École Normale Supérieure (ENS), Université Paris VI Pierre et Marie Curie and École Normale Supérieure (ENS)
Downloads 29 (553,391)
Citation 3

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macroeconomic agent-based models, synchronization

87.

On Growth-Optimal Tax Rates and the Issue of Wealth Inequalities

Number of pages: 9 Posted: 09 Aug 2015 Last Revised: 28 Aug 2015
Jean-Philippe Bouchaud
Capital Fund Management
Downloads 23 (590,524)
Citation 2

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Wealth inequalities, optimal tax rate, multiplicative random growth, explore-exploit tradeoff

Self-Fulfilling Prophecies, Quasi Non-Ergodicity & Wealth Inequality

Number of pages: 36 Posted: 19 Feb 2021
Jean-Philippe Bouchaud and Roger E. A. Farmer
Capital Fund Management and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 21 (623,481)

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Self-Fulfilling Prophecies, Wealth Inequalities, Non-Ergodicity

89.

Good speciation and endogenous business cycles in a constraint satisfaction macroeconomic model

Number of pages: 14 Posted: 17 Jul 2020 Last Revised: 16 Nov 2020
Dhruv Sharma, Jean-Philippe Bouchaud, Marco Tarzia and Francesco Zamponi
École Normale Supérieure - PSL Research University - Laboratoire de Physique de l’École Normale Supérieure, Capital Fund Management, Université Paris VI Pierre et Marie Curie and École Normale Supérieure (ENS)
Downloads 17 (630,782)

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Agent-Based Modelling, Macroeconomics, Constraint-Satisfaction Problems, Perception, Phase Transitions

90.

Crisis Propagation in a Heterogeneous Self-Reflexive DSGE Model

Number of pages: 12 Posted: 04 Mar 2021
Federico Morelli, Michael Benzaquen, Jean-Philippe Bouchaud and Marco Tarzia
Sorbonne University, Ecole Polytechnique, Palaiseau, Capital Fund Management and Université Paris VI Pierre et Marie Curie
Downloads 12 (666,714)

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91.

A New Spin on Optimal Portfolios and Ecological Equilibria

Number of pages: 37 Posted: 14 Apr 2021 Last Revised: 16 Apr 2021
Ecole polytechnique, Ecole Polytechnique, Palaiseau, Capital Fund Management and Capital Fund Management
Downloads 11 (674,052)

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Spin-glasses, metastable states, cavity and replica method, quantitative finance, Markowitz portfolios, population dynamics

92.

Deconstructing the Low-Vol Anomaly

Posted: 22 May 2019
Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management and Capital Fund Management

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Market Anomalies, Dividend bias, Defensive Equities

93.

The 'Size Premium' in Equity Markets: Where Is the Risk?

https://jpm.pm-research.com/content/45/5/58
Posted: 15 Aug 2017 Last Revised: 05 Oct 2019
Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management and Capital Fund Management

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Small Minus Big, SMB, Size, Risk Premium, Equities, Cold Minus Hot, Beta Neutrality

94.

Large Dimension Forecasting Models and Random Singular Value Spectra

The European Physical Journal B, 55, 201-207, 2007
Posted: 29 Sep 2013 Last Revised: 30 Sep 2013
Jean-Philippe Bouchaud, Laurent Laloux, Maria-Augusta Miceli and Marc Potters
Capital Fund Management, Capital Fund Management, University of Rome Sapienza and Capital Fund Management

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random matrix theory, time series analysis, econophysics, financial markets, business and management, big data, machine learning

95.

Financial Markets as Adaptive Ecosystems

Posted: 17 Oct 1996
Marc Potters, Rama Cont and Jean-Philippe Bouchaud
Capital Fund Management, University of Oxford and Capital Fund Management

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