Michael Benzaquen

Capital Fund Management

23 rue de l'Université

Paris, 75007

France

Ecole Polytechnique, Palaiseau

Route de Saclay

Palaiseau, 91128

France

SCHOLARLY PAPERS

35

DOWNLOADS
Rank 12,509

SSRN RANKINGS

Top 12,509

in Total Papers Downloads

5,703

SSRN CITATIONS
Rank 15,336

SSRN RANKINGS

Top 15,336

in Total Papers Citations

50

CROSSREF CITATIONS

23

Scholarly Papers (35)

1.

Zooming In on Equity Factor Crowding

Number of pages: 7 Posted: 05 Feb 2020
Capital Fund Management, Capital Fund ManagementEcole Polytechnique, Palaiseau, Capital Fund Management, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 1,135 (27,286)
Citation 1

Abstract:

Loading...

2.

Exogenous and Endogenous Price Jumps Belong to Different Dynamical Classes

Number of pages: 17 Posted: 22 Jun 2021
Riccardo Marcaccioli, Jean-Philippe Bouchaud, Michael Benzaquen and Michael Benzaquen
University of Paris-Saclay - Ecole Polytechnique, Capital Fund Management and Capital Fund ManagementEcole Polytechnique, Palaiseau
Downloads 707 (52,610)
Citation 2

Abstract:

Loading...

3.

A New Spin on Optimal Portfolios and Ecological Equilibria

Number of pages: 37 Posted: 14 Apr 2021 Last Revised: 04 Nov 2021
Jerome Garnier-Brun, Michael Benzaquen, Michael Benzaquen, Stefano Ciliberti and Jean-Philippe Bouchaud
Ecole polytechnique, Capital Fund ManagementEcole Polytechnique, Palaiseau, Capital Fund Management and Capital Fund Management
Downloads 419 (100,394)

Abstract:

Loading...

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

4.

How to Build a Cross-Impact Model from First Principles: Theoretical Requirements and Empirical Results

Number of pages: 24 Posted: 29 Apr 2020 Last Revised: 04 Feb 2021
Mehdi Tomas, Iacopo Mastromatteo, Michael Benzaquen and Michael Benzaquen
Ecole Polytechnique, Capital Fund Management and Capital Fund ManagementEcole Polytechnique, Palaiseau
Downloads 345 (125,031)
Citation 3

Abstract:

Loading...

5.

Out-of-Equilibrium Dynamics and Excess Volatility in Firm Networks

Number of pages: 59 Posted: 05 Jan 2021 Last Revised: 03 Nov 2021
Théo Dessertaine, José Moran, Michael Benzaquen, 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, Capital Fund ManagementEcole Polytechnique, Palaiseau and Capital Fund Management
Downloads 266 (163,899)
Citation 3

Abstract:

Loading...

6.

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, Michael Benzaquen and Michael Benzaquen
affiliation not provided to SSRN, affiliation not provided to SSRN, Capital Fund Management and Capital Fund ManagementEcole Polytechnique, Palaiseau
Downloads 230 (188,741)
Citation 1

Abstract:

Loading...

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

7.

Trading Lightly: Cross-Impact and Optimal Portfolio Execution

Number of pages: 7 Posted: 10 Apr 2017
Iacopo Mastromatteo, Michael Benzaquen, Michael Benzaquen, Zoltan Eisler and Jean-Philippe Bouchaud
Capital Fund Management, Capital Fund ManagementEcole Polytechnique, Palaiseau, Capital Fund Management and Capital Fund Management
Downloads 224 (193,589)
Citation 10

Abstract:

Loading...

8.

Cross Impact in Derivative Markets

Number of pages: 17 Posted: 18 Feb 2021
Mehdi Tomas, Iacopo Mastromatteo, Michael Benzaquen and Michael Benzaquen
Ecole Polytechnique, Capital Fund Management and Capital Fund ManagementEcole Polytechnique, Palaiseau
Downloads 202 (213,102)

Abstract:

Loading...

9.

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

Number of pages: 12 Posted: 28 Jan 2019
Frederic Bucci, Michael Benzaquen, Michael Benzaquen, Fabrizio Lillo and Jean-Philippe Bouchaud
Scuola Normale Superiore, Capital Fund ManagementEcole Polytechnique, Palaiseau, Università di Bologna and Capital Fund Management
Downloads 184 (231,310)
Citation 4

Abstract:

Loading...

10.

Market Impact with Multi-Timescale Liquidity

Number of pages: 17 Posted: 11 Oct 2017 Last Revised: 18 Oct 2017
Michael Benzaquen, Michael Benzaquen and Jean-Philippe Bouchaud
Capital Fund ManagementEcole Polytechnique, Palaiseau and Capital Fund Management
Downloads 163 (256,380)
Citation 2

Abstract:

Loading...

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

11.

Crossover from Linear to Square-Root Market Impact

Number of pages: 5 Posted: 06 Dec 2018
Frederic Bucci, Michael Benzaquen, Michael Benzaquen, Fabrizio Lillo and Jean-Philippe Bouchaud
Scuola Normale Superiore, Capital Fund ManagementEcole Polytechnique, Palaiseau, Università di Bologna and Capital Fund Management
Downloads 159 (261,772)
Citation 7

Abstract:

Loading...

12.

Unravelling the Trading Invariance Hypothesis

Number of pages: 11 Posted: 12 Feb 2016
Michael Benzaquen, Michael Benzaquen, Jonathan Donier and Jean-Philippe Bouchaud
Capital Fund ManagementEcole Polytechnique, Palaiseau, Université Paris VI Pierre et Marie Curie and Capital Fund Management
Downloads 152 (271,470)
Citation 3

Abstract:

Loading...

market microstructure, trading invariance, volatility

13.

Dissecting Cross-Impact on Stock Markets: An Empirical Analysis

Number of pages: 22 Posted: 10 Sep 2016 Last Revised: 03 Nov 2016
Michael Benzaquen, Michael Benzaquen, Iacopo Mastromatteo, Zoltan Eisler and Jean-Philippe Bouchaud
Capital Fund ManagementEcole Polytechnique, Palaiseau, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 145 (281,937)
Citation 12

Abstract:

Loading...

Market impact

14.

Capital Demand Driven Business Cycles: Mechanism and Effects

Review of Behavioral Economics, Forthcoming
Number of pages: 51 Posted: 01 Oct 2021 Last Revised: 07 Sep 2022
Karl Naumann-Woleske, Michael Benzaquen, Michael Benzaquen, Maxim Gusev and Dimitri Kroujiline
Ecole Polytechnique, Palaiseau, Capital Fund ManagementEcole Polytechnique, Palaiseau, IBC Quantitative Strategies and LGT Capital Partners
Downloads 122 (321,426)

Abstract:

Loading...

Business Cycles, Economic Growth, Interactions-Based Models, Dynamical Systems, Limit Cycle, Coherence Resonance

15.

Exploration of the Parameter Space in Macroeconomic Agent-Based Models

Number of pages: 20 Posted: 18 Nov 2021 Last Revised: 05 Aug 2022
Karl Naumann-Woleske, Max Sina Knicker, Michael Benzaquen, Michael Benzaquen and Jean-Philippe Bouchaud
Ecole Polytechnique, Palaiseau, Chair of EconophysiX and Complex Systems, Capital Fund ManagementEcole Polytechnique, Palaiseau and Capital Fund Management
Downloads 111 (343,595)

Abstract:

Loading...

Macroeconomics, Agent-based Modelling, Phases, Computational Economics

16.

Conditional Correlations and Principal Regression Analysis for Futures

Number of pages: 12 Posted: 04 Feb 2020
Armine Karami, Raphael Benichou, Michael Benzaquen, Michael Benzaquen and Jean-Philippe Bouchaud
University of Paris-Saclay - Ecole Polytechnique, Capital Fund Management, Capital Fund ManagementEcole Polytechnique, Palaiseau and Capital Fund Management
Downloads 102 (363,718)

Abstract:

Loading...

17.

Impact Is Not Just Volatility

Number of pages: 5 Posted: 03 Jun 2019
Frederic Bucci, Iacopo Mastromatteo, Michael Benzaquen, Michael Benzaquen and Jean-Philippe Bouchaud
Scuola Normale Superiore, Capital Fund Management, Capital Fund ManagementEcole Polytechnique, Palaiseau and Capital Fund Management
Downloads 100 (368,505)

Abstract:

Loading...

18.

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, Michael Benzaquen and Michael Benzaquen
University of Paris-Saclay - Ecole Polytechnique, University of Paris-Saclay - Ecole Polytechnique, Capital Fund Management and Capital Fund ManagementEcole Polytechnique, Palaiseau
Downloads 91 (390,943)
Citation 1

Abstract:

Loading...

19.

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

Number of pages: 17 Posted: 08 Jun 2020
Antoine Fosset, Jean-Philippe Bouchaud, Michael Benzaquen and Michael Benzaquen
University of Paris-Saclay - Ecole Polytechnique, Capital Fund Management and Capital Fund ManagementEcole Polytechnique, Palaiseau
Downloads 78 (428,505)

Abstract:

Loading...

20.

Economic Crises in a Model with Capital Scarcity and Self-Reflexive Confidence

Number of pages: 17 Posted: 24 Sep 2021
Federico Morelli, Karl Naumann-Woleske, Michael Benzaquen, Michael Benzaquen, Marco Tarzia and Jean-Philippe Bouchaud
Sorbonne University, Ecole Polytechnique, Palaiseau, Capital Fund ManagementEcole Polytechnique, Palaiseau, Université Paris VI Pierre et Marie Curie and Capital Fund Management
Downloads 72 (447,698)

Abstract:

Loading...

Macroeconomics, Business Cycles, Confidence, Behavioral Economics, DSGE

21.

Endogenous Liquidity Crises

Number of pages: 21 Posted: 17 Dec 2019
Antoine Fosset, Jean-Philippe Bouchaud, Michael Benzaquen and Michael Benzaquen
University of Paris-Saclay - Ecole Polytechnique, Capital Fund Management and Capital Fund ManagementEcole Polytechnique, Palaiseau
Downloads 72 (447,698)
Citation 3

Abstract:

Loading...

22.

Are Trading Invariants Really Invariant? Trading Costs Matter

Number of pages: 13 Posted: 27 Feb 2019
Frederic Bucci, Fabrizio Lillo, Jean-Philippe Bouchaud, Michael Benzaquen and Michael Benzaquen
Scuola Normale Superiore, Università di Bologna, Capital Fund Management and Capital Fund ManagementEcole Polytechnique, Palaiseau
Downloads 68 (461,441)
Citation 3

Abstract:

Loading...

23.

A Fractional Reaction-Diffusion Description of Supply and Demand

Number of pages: 7 Posted: 10 Apr 2017
Michael Benzaquen, Michael Benzaquen and Jean-Philippe Bouchaud
Capital Fund ManagementEcole Polytechnique, Palaiseau and Capital Fund Management
Downloads 60 (491,354)
Citation 1

Abstract:

Loading...

24.

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, 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, Capital Fund ManagementEcole Polytechnique, Palaiseau and Capital Fund Management
Downloads 57 (503,211)
Citation 4

Abstract:

Loading...

25.

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

Number of pages: 6 Posted: 17 Jul 2019
Federico Morelli, Michael Benzaquen, Michael Benzaquen, Marco Tarzia and Jean-Philippe Bouchaud
Sorbonne University, Capital Fund ManagementEcole Polytechnique, Palaiseau, Université Paris VI Pierre et Marie Curie and Capital Fund Management
Downloads 56 (507,317)

Abstract:

Loading...

26.

The Multivariate Kyle Model: More is Different

Number of pages: 30 Posted: 08 Jul 2018 Last Revised: 19 Dec 2018
Luis Carlos Garcia del Molino, Iacopo Mastromatteo, Michael Benzaquen, Michael Benzaquen and Jean-Philippe Bouchaud
Capital Fund Management, Capital Fund Management, Capital Fund ManagementEcole Polytechnique, Palaiseau and Capital Fund Management
Downloads 56 (507,317)
Citation 5

Abstract:

Loading...

27.

Do fundamentals shape the price response? A critical assessment of linear impact models

Number of pages: 20 Posted: 14 Dec 2021
Michele Vodret, Iacopo Mastromatteo, Bence Toth, Michael Benzaquen and Michael Benzaquen
Ecole Polytechnique, Palaiseau, Capital Fund Management, Capital Fund Management and Capital Fund ManagementEcole Polytechnique, Palaiseau
Downloads 47 (547,232)

Abstract:

Loading...

Market microstructure, price impact, calibration, multi-scale analysis.

28.

Crisis Propagation in a Heterogeneous Self-Reflexive DSGE Model

Number of pages: 12 Posted: 04 Mar 2021
Federico Morelli, Michael Benzaquen, Michael Benzaquen, Jean-Philippe Bouchaud and Marco Tarzia
Sorbonne University, Capital Fund ManagementEcole Polytechnique, Palaiseau, Capital Fund Management and Université Paris VI Pierre et Marie Curie
Downloads 45 (556,931)

Abstract:

Loading...

29.

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

Number of pages: 7 Posted: 24 Apr 2020
José Moran, Antoine Fosset, Davide Luzzati, Jean-Philippe Bouchaud, Michael Benzaquen and Michael Benzaquen
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 Capital Fund ManagementEcole Polytechnique, Palaiseau
Downloads 44 (561,805)
Citation 2

Abstract:

Loading...

30.

A Stationary Kyle Setup: Microfounding Propagator Models

Number of pages: 25 Posted: 05 Jan 2021
Michele Vodret, Iacopo Mastromatteo, Bence Toth, Michael Benzaquen and Michael Benzaquen
Ecole Polytechnique, Palaiseau, Capital Fund Management, Capital Fund Management and Capital Fund ManagementEcole Polytechnique, Palaiseau
Downloads 42 (571,971)

Abstract:

Loading...

31.

From Ants to Fishing Vessels: A Simple Model for Herding and Exploitation of Finite Resources

Number of pages: 18 Posted: 12 Nov 2020
José Moran, Antoine Fosset, Alan P. Kirman, Alan P. Kirman, Michael Benzaquen and Michael Benzaquen
University of Oxford - Institute for New Economic Thinking at the Oxford Martin School, University of Paris-Saclay - Ecole Polytechnique, CAMS EHESSAix Marseile University and Ecole des Hautes Etudes en Sciences Sociales and Capital Fund ManagementEcole Polytechnique, Palaiseau
Downloads 42 (571,971)

Abstract:

Loading...

32.

Microfounding GARCH Models and Beyond: A Kyle-inspired Model with Adaptive Agents

Number of pages: 20 Posted: 23 Jun 2022
Michele Vodret, Iacopo Mastromatteo, Bence Toth, Michael Benzaquen and Michael Benzaquen
Ecole Polytechnique, Palaiseau, Capital Fund Management, Capital Fund Management and Capital Fund ManagementEcole Polytechnique, Palaiseau
Downloads 31 (634,537)

Abstract:

Loading...

33.

Bounded Rationality and Animal Spirits: A Fluctuation-Response Approach to Slutsky Matrices

Number of pages: 25 Posted: 20 Jun 2022
Jerome Garnier-Brun, Jean-Philippe Bouchaud, Michael Benzaquen and Michael Benzaquen
Ecole polytechnique, Capital Fund Management and Capital Fund ManagementEcole Polytechnique, Palaiseau
Downloads 30 (641,018)

Abstract:

Loading...

34.

Multivariate Quadratic Hawkes Processes – Part I: Theoretical Analysis

Number of pages: 22 Posted: 06 Jul 2022
Cecilia Aubrun, Michael Benzaquen, Michael Benzaquen and Jean-Philippe Bouchaud
Polytech'Savoie, Capital Fund ManagementEcole Polytechnique, Palaiseau and Université Paris VI Pierre et Marie Curie - College de France
Downloads 26 (668,715)

Abstract:

Loading...

35.

On Hawkes Processes with Infinite Mean Intensity

Number of pages: 5 Posted: 09 Feb 2022
Cecilia Aubrun, Michael Benzaquen, Michael Benzaquen and Jean-Philippe Bouchaud
Polytech'Savoie, Capital Fund ManagementEcole Polytechnique, Palaiseau and Université Paris VI Pierre et Marie Curie - College de France
Downloads 20 (715,319)

Abstract:

Loading...

Hawkes processes, Endogeneity ratio, Stationarity, QHawkes, ZHawkes