Michael Benzaquen

Capital Fund Management

23 rue de l'Université

Paris, 75007

France

Ecole Polytechnique, Palaiseau

Route de Saclay

Palaiseau, 91128

France

SCHOLARLY PAPERS

39

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7,948

SSRN CITATIONS
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Top 11,395

in Total Papers Citations

115

CROSSREF CITATIONS

27

Scholarly Papers (39)

1.

Zooming In on Equity Factor Crowding

Number of pages: 7 Posted: 05 Feb 2020
Capital Fund Management, Capital Fund ManagementEcole Polytechnique, Palaiseau, Imperial College London - Department of Mathematics, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 1,331 (28,802)
Citation 1

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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 829 (56,336)
Citation 5

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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 468 (116,268)
Citation 1

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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 461 (118,340)
Citation 3

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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, Macrocosm, Capital Fund ManagementEcole Polytechnique, Palaiseau and Capital Fund Management
Downloads 325 (175,227)
Citation 6

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6.

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 322 (177,022)

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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, Imperial College London - Department of Mathematics and Capital Fund Management
Downloads 294 (194,738)
Citation 11

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8.

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 284 (201,818)
Citation 4

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9.

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 250 (229,333)
Citation 1

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

10.

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 247 (232,008)
Citation 7

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11.

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 195 (289,662)
Citation 2

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

12.

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, Imperial College London - Department of Mathematics and Capital Fund Management
Downloads 184 (304,997)
Citation 19

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Market impact

13.

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 182 (308,087)
Citation 1

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Macroeconomics, Agent-based Modelling, Phases, Computational Economics

14.

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 182 (308,087)
Citation 3

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market microstructure, trading invariance, volatility

15.

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 163 (339,177)

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

16.

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
Ecole Polytechnique, Palaiseau, Capital Fund ManagementEcole Polytechnique, Palaiseau and Université Paris VI Pierre et Marie Curie - College de France
Downloads 160 (344,610)
Citation 1

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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 160 (344,610)

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18.

When Is Cross Impact Relevant?

Le Coz, Victor, Iacopo Mastromatteo, Damien Challet, and Michael Benzaquen. “When Is Cross Impact Relevant?” Quantitative Finance 24, no. 2 (February 2024): 265–79. https://doi.org/10.1080/14697688.2024.2302827.
Number of pages: 18 Posted: 31 May 2023 Last Revised: 27 Mar 2024
Victor Le Coz, Iacopo Mastromatteo, Damien Challet, Michael Benzaquen and Michael Benzaquen
Ecole Polytechnique, Palaiseau, Capital Fund Management, CentraleSupélec and Capital Fund ManagementEcole Polytechnique, Palaiseau
Downloads 150 (363,538)

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19.

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 149 (365,445)

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20.

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 149 (365,445)
Citation 2

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21.

Socioeconomic Agents As Active Matter in Nonequilibrium Sakoda-Schelling Models

Number of pages: 18 Posted: 29 Jul 2023
Ruben Zakine, Jerome Garnier-Brun, Antoine-Cyrus Becharat, Michael Benzaquen and Michael Benzaquen
Ecole Polytechnique, Palaiseau, Ecole polytechnique, Ecole Polytechnique, Palaiseau and Capital Fund ManagementEcole Polytechnique, Palaiseau
Downloads 135 (395,180)

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agent-based model, decision rules, non equilibrium, occupation model, sociophysics, Schelling, active matter

22.

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 119 (435,049)
Citation 5

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23.

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 116 (443,368)

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24.

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 98 (499,948)

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25.

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 94 (513,651)
Citation 5

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26.

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 92 (520,656)
Citation 1

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Macroeconomics, Business Cycles, Confidence, Behavioral Economics, DSGE

27.

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 87 (539,162)
Citation 1

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28.

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 82 (558,903)
Citation 5

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29.

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 78 (575,626)
Citation 1

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30.

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 74 (592,992)
Citation 2

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

31.

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
Macrocosm, University of Paris-Saclay - Ecole Polytechnique, University of Paris-Saclay - Ecole Polytechnique, Capital Fund Management and Capital Fund ManagementEcole Polytechnique, Palaiseau
Downloads 72 (601,978)
Citation 7

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32.

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
Macrocosm, University of Paris-Saclay - Ecole Polytechnique, Capital Fund ManagementEcole Polytechnique, Palaiseau and Capital Fund Management
Downloads 68 (620,742)
Citation 6

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33.

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
Macrocosm, 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 64 (640,674)
Citation 1

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34.

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 63 (645,764)
Citation 1

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35.

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 60 (661,552)
Citation 2

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36.

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 59 (667,060)
Citation 1

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37.

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
Ecole Polytechnique, Palaiseau, Capital Fund ManagementEcole Polytechnique, Palaiseau and Université Paris VI Pierre et Marie Curie - College de France
Downloads 39 (795,162)
Citation 1

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Hawkes processes, Endogeneity ratio, Stationarity, QHawkes, ZHawkes

38.

Riding Wavelets: A Method to Discover New Classes of Price Jumps

Number of pages: 23 Posted: 26 Apr 2024
Cecilia Aubrun, Rudy Morel, Michael Benzaquen, Michael Benzaquen and Jean-Philippe Bouchaud
Ecole Polytechnique, Palaiseau, Sorbonne University - École Normale Supérieure, Capital Fund ManagementEcole Polytechnique, Palaiseau and Université Paris VI Pierre et Marie Curie - College de France
Downloads 37 (810,347)

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price jumps, classification, reflexivity, mean-reversion, trend, wavelets, co-jumps

39.

Unlearnable Games and “Satisficing” Decisions: A Simple Model for a Complex World

Number of pages: 35 Posted: 20 Dec 2023
Jerome Garnier-Brun, Michael Benzaquen, Michael Benzaquen and Jean-Philippe Bouchaud
Ecole polytechnique, Capital Fund ManagementEcole Polytechnique, Palaiseau and Capital Fund Management
Downloads 26 (903,950)

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Radical complexity, Learning, Decision making, Bounded rationality, Rational expectations, Satisficing, Disorder, Non-reciprocity