Marc Potters

Capital Fund Management

23 rue de l'Université

Paris, 75007

France

http://www.cfm.fr

SCHOLARLY PAPERS

19

DOWNLOADS
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Top 2,175

in Total Papers Downloads

15,478

SSRN CITATIONS
Rank 8,784

SSRN RANKINGS

Top 8,784

in Total Papers Citations

77

CROSSREF CITATIONS

37

Scholarly Papers (19)

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 2,911 (3,962)

Abstract:

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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
Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 1,855 (8,475)
Citation 3

Abstract:

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

3.

Statistical Properties of Stock Order Books: Empirical Results and Models

Number of pages: 12 Posted: 27 Feb 2004
Capital Fund Management, Université Paris XI Sud - LPSMS and Capital Fund Management
Downloads 1,745 (9,336)
Citation 19

Abstract:

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Financial markets, order book, market microstructure

4.

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

Number of pages: 32 Posted: 10 Feb 1998
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 1,298 (14,970)
Citation 1

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5.

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 997 (22,262)
Citation 10

Abstract:

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6.

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

Number of pages: 26 Posted: 27 Feb 2004
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 928 (24,736)
Citation 51

Abstract:

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Financial markets, order book, market microstructure

7.

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 906 (25,617)
Citation 5

Abstract:

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Risk Premium, skewness, equity, carry trade

8.

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 864 (27,376)
Citation 16

Abstract:

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Financial markets, order book, market microstructure

9.

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

Number of pages: 12 Posted: 04 Feb 2001
Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 845 (28,238)
Citation 8

Abstract:

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10.

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

Number of pages: 11 Posted: 12 Sep 2000
Capital Fund Management, Capital Fund Management and Multifactor Analytics and Consulting
Downloads 794 (30,843)
Citation 5

Abstract:

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11.

Correlation Structure of Extreme Stock Returns

Number of pages: 14 Posted: 20 Jul 2000
Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 597 (45,296)

Abstract:

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12.

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 514 (54,801)
Citation 2

Abstract:

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13.

Apparent Multifractality in Financial Time Series

Working Paper No. 9906347
Number of pages: 9 Posted: 19 Oct 1999
Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 491 (58,150)
Citation 8

Abstract:

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14.

Option Pricing and Hedging with Temporal Correlations

Number of pages: 16 Posted: 04 Feb 2001
École Normale Supérieure (ENS) - Laboratoire de Physique Theorique, Capital Fund Management and Capital Fund Management
Downloads 361 (83,940)

Abstract:

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15.

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 293 (105,811)

Abstract:

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

16.

Smile Dynamics -- A Theory of the Implied Leverage Effect

Number of pages: 20 Posted: 27 Apr 2013
Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 79 (314,255)

Abstract:

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17.

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

Abstract:

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Market Anomalies, Dividend bias, Defensive Equities

18.

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
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

19.

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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