Jean-Philippe Bouchaud

Université Paris VI Pierre et Marie Curie - College de France

11 Place Marcellin Berthelot

Paris, 75005

France

SCHOLARLY PAPERS

3

DOWNLOADS

66

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

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 44 (580,391)

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Self-Fulfilling Prophecies, Quasi Non-Ergodicity & Wealth Inequality

CEPR Discussion Paper No. DP15573
Number of pages: 52 Posted: 23 Dec 2020 Last Revised: 27 May 2022
Roger E. A. Farmer and Jean-Philippe Bouchaud
University of Warwick and Université Paris VI Pierre et Marie Curie - College de France
Downloads 1 (982,052)
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3.

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 21 (730,642)

Abstract:

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Hawkes processes, Endogeneity ratio, Stationarity, QHawkes, ZHawkes