23 rue de l'Université
Paris, 75007
France
Capital Fund Management
SSRN RANKINGS
in Total Papers Downloads
in Total Papers Citations
Trend Following, Convexity, Volatility, Option Hedging, Variance Swap, CTA, Risk Parity, Tail Risk, Protection
Quality anomaly, financial analysts misplaced focus, behavioral biases
Stock market anomalies, Sticky expectations
This is a CEPR Discussion Paper. CEPR charges a fee of $8.00 for this paper.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
profitability anomaly, Sticky expectations
Flows, Impact, Exchange traded funds, Bubbles, Demand-based asset pricing, Price pressure
Inelastic Markets, Microstructure, Price Impact
Financial markets, order book, market microstructure
Nonlinear price impact, model misspecification, optimal trading
Financial markets, Market microstructure, Market impact, Order flow
Risk Premium, skewness, equity, carry trade
price impact, market orders, limit orders, cancellations, market microstructure, order flow
Trend Following, Mean-Reversion, Market Anomalies, Behavioral Biases
econophysics, financial markets, market stability, bubbles, crashes, market microstructure, market impact
interest rate curve, forward rate, random field theory, agent based, micro-founded, action, Epps effect, time scale, hyperbolic discounting
Quantitative Portfolio Management, Portfolio Construction, Asset Allocation, Risk Parity, Risk Budgeting, Diversification, Markowitz, Alternative Beta
equity factors, asset pricing, factor investing, risk premia, equity market neutral, alternative beta
financial architecture, resilience, financial crisis, banking crisis, economic crisis, new economic thinking
Spin-glasses, metastable states, cavity and replica method, quantitative finance, Markowitz portfolios, population dynamics
market microstructure, price formation, market impact, reaction-diffusion, limit order book, non-arbitrage
Self referential behaviour, overreaction, conventions, excess volatility, excess correlations, regime shift
Financial markets, market microstructure, limit order book, order flow, behavioural economics
option, hedging, shortfall, incomplete market, transaction costs
skewness, kurtosis, multifractal, smile
financial markets, stochastic volatility model, leverage correlation, volatility autocorrelation
financial markets, market microstructure, limit order book, order flow, behavioural economics
skew, implied leverage effect, volatility smile, skew-stickiness ratio
copulas, elliptical distributions, stock returns, multivariate data
agent-based model, COVID, coronavirus, policy
portfolio construction, minimum variance, maximum diversification, sparsity
Cultural evolution, Wisdom of crowds, Complex systems, Network models
volatility of aggregate output, network theory, rational expectations, general equilibrium
price impact, market microstructure
Trend Following, Value Investing, Market Anomalies, Agent-Based Models
Statistics of company growth, Sutton's model
Market impact
agent-based computational economics, aggregative models, monetary policy, inflation target, macroeconomics
Financial markets, market microstructure, market impact, liquidity
Market microstructure; price formation; limit order book; market impact
Macroeconomics, Agent-based Modelling, Phases, Computational Economics
Hawkes process, market events, long-memory, volatility
market microstructure, trading invariance, volatility
Income distribution, Wage inequalities, Gini coefficient, Involuntary unemployment
Price Impact, Market Microstructure, Credit, Order Flow
trust, networks, sudden collapse, collective behavior, crisis, hysteresis, phase transition
crises, networks, firms, leontief, shocks, supply chain
Hawkes processes, financial prices, volatility modelling, time-reversal asymmetry, Pearsons diffusion, high frequency trading, order splitting, fat tails
Walras' law, Price formation, Supply, Demand, Economic dynamics, Market impact, Liquidity
Financial markets, market microstructure, market impact, liquidity, markov chain
Volatility prediction, option pricing, wavelets
volatility dynamics, GARCH models, endogenous feedback, time reversal invariance, stock markets
Agent-Based Computational Economics, Aggregative Models, Cycles
extreme value statistics, stochastic processes, financial time series
Optimal trading, Linear costs, Mean-field approximation
Order Flow, Market Microstructure, Price Impact
Macroeconomics, Business Cycles, Confidence, Behavioral Economics, DSGE
Self-Fulfilling Prophecies, Wealth Inequalities, Non-Ergodicity
agent-based computational economics, aggregative models, monetary policy, macroeconomics, cycles
Radical complexity, Learning, Decision making, Bounded rationality, Rational expectations, Satisficing, Disorder, Non-reciprocity
macroeconomic agent-based models, synchronization
Agent-Based Modelling, Macroeconomics, Constraint-Satisfaction Problems, Perception, Phase Transitions
Wealth inequalities, optimal tax rate, multiplicative random growth, explore-exploit tradeoff
firm growth, granularity, gibrat process, statistics
Market Microstructure, Price Impact
Market Anomalies, Dividend bias, Defensive Equities
Small Minus Big, SMB, Size, Risk Premium, Equities, Cold Minus Hot, Beta Neutrality
random matrix theory, time series analysis, econophysics, financial markets, business and management, big data, machine learning
