23 rue de l'Université
Paris, 75007
France
Capital Fund Management
SSRN RANKINGS
in Total Papers Downloads
in Total Papers Citations
Trend Following, Convexity, Volatility, Option Hedging, Variance Swap, CTA, Risk Parity, Tail Risk, Protection
Stock market anomalies, Sticky expectations
This is a CEPR Discussion Paper. CEPR charges a fee of $8.00 for this paper.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
profitability anomaly, Sticky expectations
Financial markets, order book, market microstructure
Quality anomaly, financial analysts misplaced focus, behavioral biases
Financial markets, Market microstructure, Market impact, Order flow
price impact, market orders, limit orders, cancellations, market microstructure, order flow
Risk Premium, skewness, equity, carry trade
econophysics, financial markets, market stability, bubbles, crashes, market microstructure, market impact
Trend Following, Mean-Reversion, Market Anomalies, Behavioral Biases
financial architecture, resilience, financial crisis, banking crisis, economic crisis, new economic thinking
Self referential behaviour, overreaction, conventions, excess volatility, excess correlations, regime shift
Quantitative Portfolio Management, Portfolio Construction, Asset Allocation, Risk Parity, Risk Budgeting, Diversification, Markowitz, Alternative Beta
skewness, kurtosis, multifractal, smile
market microstructure, price formation, market impact, reaction-diffusion, limit order book, non-arbitrage
option, hedging, shortfall, incomplete market, transaction costs
Financial markets, market microstructure, limit order book, order flow, behavioural economics
equity factors, asset pricing, factor investing, risk premia, equity market neutral, alternative beta
financial markets, stochastic volatility model, leverage correlation, volatility autocorrelation
agent-based model, COVID, coronavirus, policy
Cultural evolution, Wisdom of crowds, Complex systems, Network models
Statistics of company growth, Sutton's model
volatility of aggregate output, network theory, rational expectations, general equilibrium
copulas, elliptical distributions, stock returns, multivariate data
trust, networks, sudden collapse, collective behavior, crisis, hysteresis, phase transition
agent-based computational economics, aggregative models, monetary policy, inflation target, macroeconomics
financial markets, market microstructure, limit order book, order flow, behavioural economics
Hawkes process, market events, long-memory, volatility
Market microstructure; price formation; limit order book; market impact
Market impact
price impact, market microstructure
skew, implied leverage effect, volatility smile, skew-stickiness ratio
market microstructure, trading invariance, volatility
Trend Following, Value Investing, Market Anomalies, Agent-Based Models
Financial markets, market microstructure, market impact, liquidity
extreme value statistics, stochastic processes, financial time series
Income distribution, Wage inequalities, Gini coefficient, Involuntary unemployment
volatility dynamics, GARCH models, endogenous feedback, time reversal invariance, stock markets
crises, networks, firms, leontief, shocks, supply chain
Financial markets, market microstructure, market impact, liquidity, markov chain
Price Impact, Market Microstructure, Credit, Order Flow
Hawkes processes, financial prices, volatility modelling, time-reversal asymmetry, Pearsons diffusion, high frequency trading, order splitting, fat tails
Walras' law, Price formation, Supply, Demand, Economic dynamics, Market impact, Liquidity
portfolio construction, minimum variance, maximum diversification, sparsity
Agent-Based Computational Economics, Aggregative Models, Cycles
Optimal trading, Linear costs, Mean-field approximation
agent-based computational economics, aggregative models, monetary policy, macroeconomics, cycles
macroeconomic agent-based models, synchronization
Wealth inequalities, optimal tax rate, multiplicative random growth, explore-exploit tradeoff
Self-Fulfilling Prophecies, Wealth Inequalities, Non-Ergodicity
Agent-Based Modelling, Macroeconomics, Constraint-Satisfaction Problems, Perception, Phase Transitions
Spin-glasses, metastable states, cavity and replica method, quantitative finance, Markowitz portfolios, population dynamics
Market Anomalies, Dividend bias, Defensive Equities
Small Minus Big, SMB, Size, Risk Premium, Equities, Cold Minus Hot, Beta Neutrality
random matrix theory, time series analysis, econophysics, financial markets, business and management, big data, machine learning
