Jonathan Donier

Université Paris VI Pierre et Marie Curie

175 Rue du Chevaleret

Paris, 75013

France

  • Université Paris VI Pierre et Marie Curie

SCHOLARLY PAPERS

6

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Top 38,269

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2,549

SSRN CITATIONS
Rank 18,732

SSRN RANKINGS

Top 18,732

in Total Papers Citations

59

CROSSREF CITATIONS

16

Scholarly Papers (6)

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1.

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 1,003 (44,324)
Citation 11

Abstract:

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

2.

A Million Metaorder Analysis of Market Impact on the Bitcoin

Number of pages: 18 Posted: 10 Dec 2014 Last Revised: 22 Sep 2015
Jonathan Donier and Julius Bonart
Université Paris VI Pierre et Marie Curie and Capital Fund Management
Downloads 648 (79,425)
Citation 16

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price impact, bitcoin, market microstructure, price formation

3.

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 435 (129,550)
Citation 21

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

4.

Unravelling the Trading Invariance Hypothesis

Number of pages: 11 Posted: 12 Feb 2016
Michael Benzaquen, Jonathan Donier and Jean-Philippe Bouchaud
Ecole Polytechnique, PalaiseauCapital Fund Management, Université Paris VI Pierre et Marie Curie and Capital Fund Management
Downloads 183 (313,879)
Citation 3

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market microstructure, trading invariance, volatility

5.

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 141 (391,236)
Citation 28

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

6.

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 139 (395,636)
Citation 4

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