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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
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profitability anomaly, Sticky expectations
Inelastic Markets, Microstructure, Price Impact
Financial markets, order book, market microstructure
Risk Premium, skewness, equity, carry trade
Financial markets, Market microstructure, Market impact, Order flow
Nonlinear price impact, model misspecification, optimal trading
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
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
option, hedging, shortfall, incomplete market, transaction costs
skewness, kurtosis, multifractal, smile
Financial markets, market microstructure, limit order book, order flow, behavioural economics
financial markets, stochastic volatility model, leverage correlation, volatility autocorrelation
financial markets, market microstructure, limit order book, order flow, behavioural economics
agent-based model, COVID, coronavirus, policy
skew, implied leverage effect, volatility smile, skew-stickiness ratio
copulas, elliptical distributions, stock returns, multivariate data
Cultural evolution, Wisdom of crowds, Complex systems, Network models
portfolio construction, minimum variance, maximum diversification, sparsity
volatility of aggregate output, network theory, rational expectations, general equilibrium
Statistics of company growth, Sutton's model
agent-based computational economics, aggregative models, monetary policy, inflation target, macroeconomics
price impact, market microstructure
Trend Following, Value Investing, Market Anomalies, Agent-Based Models
Market microstructure; price formation; limit order book; market impact
Financial markets, market microstructure, market impact, liquidity
market microstructure, trading invariance, volatility
Macroeconomics, Agent-based Modelling, Phases, Computational Economics
Hawkes process, market events, long-memory, volatility
Market impact
Income distribution, Wage inequalities, Gini coefficient, Involuntary unemployment
trust, networks, sudden collapse, collective behavior, crisis, hysteresis, phase transition
Hawkes processes, financial prices, volatility modelling, time-reversal asymmetry, Pearsons diffusion, high frequency trading, order splitting, fat tails
crises, networks, firms, leontief, shocks, supply chain
Price Impact, Market Microstructure, Credit, Order Flow
Walras' law, Price formation, Supply, Demand, Economic dynamics, Market impact, Liquidity
Financial markets, market microstructure, market impact, liquidity, markov chain
volatility dynamics, GARCH models, endogenous feedback, time reversal invariance, stock markets
extreme value statistics, stochastic processes, financial time series
Agent-Based Computational Economics, Aggregative Models, Cycles
Optimal trading, Linear costs, Mean-field approximation
Macroeconomics, Business Cycles, Confidence, Behavioral Economics, DSGE
Volatility prediction, option pricing, wavelets
agent-based computational economics, aggregative models, monetary policy, macroeconomics, cycles
macroeconomic agent-based models, synchronization
Self-Fulfilling Prophecies, Wealth Inequalities, Non-Ergodicity
Agent-Based Modelling, Macroeconomics, Constraint-Satisfaction Problems, Perception, Phase Transitions
Wealth inequalities, optimal tax rate, multiplicative random growth, explore-exploit tradeoff
Radical complexity, Learning, Decision making, Bounded rationality, Rational expectations, Satisficing, Disorder, Non-reciprocity
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