Jean-Philippe Bouchaud

Capital Fund Management

23 rue de l'Université

Paris, 75007

France

SCHOLARLY PAPERS

108

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Rank 710

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56,335

SSRN CITATIONS
Rank 1,762

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Top 1,762

in Total Papers Citations

761

CROSSREF CITATIONS

205

Scholarly Papers (108)

1.

Tail Protection for Long Investors: Trend Convexity at Work

Number of pages: 26 Posted: 09 May 2016 Last Revised: 07 Jul 2016
affiliation not provided to SSRN, Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management and Capital Fund ManagementCapital Fund Management
Downloads 4,846 (3,660)
Citation 4

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Trend Following, Convexity, Volatility, Option Hedging, Variance Swap, CTA, Risk Parity, Tail Risk, Protection

2.

Theory of Financial Risk: Basic Notions in Probability

Number of pages: 51 Posted: 04 Jul 1999
Jean-Philippe Bouchaud, Marc Potters and Marc Potters
Capital Fund Management and Capital Fund ManagementCapital Fund Management
Downloads 3,196 (7,308)

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3.

The Excess Returns of 'Quality' Stocks: A Behavioral Anomaly

HEC Paris Research Paper No. FIN-2016-1134
Number of pages: 11 Posted: 18 Jan 2016 Last Revised: 27 Nov 2017
Capital Fund Management, Capital Fund Management, HEC, Capital Fund Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 3,146 (7,495)
Citation 4

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Quality anomaly, financial analysts misplaced focus, behavioral biases

4.
Downloads 3,024 ( 7,953)
Citation 109

Sticky Expectations and the Profitability Anomaly

Journal of Finance, Forthcoming, HEC Paris Research Paper No. FIN-2016-1136, Swiss Finance Institute Research Paper No. 16-60
Number of pages: 45 Posted: 07 Mar 2016 Last Revised: 03 May 2018
Jean-Philippe Bouchaud, Philipp Krueger, Augustin Landier and David Thesmar
Capital Fund Management, University of Geneva - Geneva Finance Research Institute (GFRI), HEC and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 3,023 (7,815)
Citation 11

Abstract:

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Stock market anomalies, Sticky expectations

Sticky Expectations and the Profitability Anomaly

CEPR Discussion Paper No. DP12528
Number of pages: 46 Posted: 02 Jan 2018
Jean-Philippe Bouchaud, Philipp Krueger, Augustin Landier and David Thesmar
Capital Fund Management, University of Geneva - Geneva Finance Research Institute (GFRI), HEC and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1 (1,181,301)
Citation 90
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profitability anomaly, Sticky expectations

5.

The Inelastic Market Hypothesis: A Microstructural Interpretation

Number of pages: 15 Posted: 02 Aug 2021 Last Revised: 11 Jan 2022
Jean-Philippe Bouchaud
Capital Fund Management
Downloads 2,153 (13,716)
Citation 2

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Inelastic Markets, Microstructure, Price Impact

6.

Statistical Properties of Stock Order Books: Empirical Results and Models

Number of pages: 12 Posted: 27 Feb 2004
Jean-Philippe Bouchaud, Marc Mezard, Marc Potters and Marc Potters
Capital Fund Management, Université Paris XI Sud - LPSMS and Capital Fund ManagementCapital Fund Management
Downloads 1,991 (15,429)
Citation 23

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Financial markets, order book, market microstructure

7.

How Markets Slowly Digest Changes in Supply and Demand

Number of pages: 111 Posted: 15 Sep 2008
Jean-Philippe Bouchaud, J. Doyne Farmer and Fabrizio Lillo
Capital Fund Management, University of Oxford - Institute for New Economic Thinking at the Oxford Martin School and Università di Bologna
Downloads 1,617 (21,378)
Citation 87

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Financial markets, Market microstructure, Market impact, Order flow

8.

Risk Premia: Asymmetric Tail Risks and Excess Returns

Number of pages: 25 Posted: 30 Sep 2014
Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund ManagementCapital Fund Management and Capital Fund Management
Downloads 1,607 (21,585)
Citation 7

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Risk Premium, skewness, equity, carry trade

9.

The Cost of Misspecifying Price Impact

Number of pages: 14 Posted: 02 Jun 2023
École Polytechnique - Chair of Econophysics and Complex System, Capital Fund Management, Capital Fund Management, Imperial College London - Department of Mathematics and Columbia University
Downloads 1,583 (22,136)

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Nonlinear price impact, model misspecification, optimal trading

10.

Phenomenology of the Interest Curve: A Statistical Analysis of Term Structure Deformations

Number of pages: 32 Posted: 10 Feb 1998
Capital Fund Management, Credit Suisse First Boston Fixed Income Research, University of Oxford, Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Capital Fund ManagementCapital Fund Management
Downloads 1,418 (26,103)
Citation 3

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11.

The Price Impact of Order Book Events: Market Orders, Limit Orders and Cancellations

Number of pages: 29 Posted: 06 Apr 2009
Zoltan Eisler, Jean-Philippe Bouchaud and Julien Kockelkoren
Capital Fund Management, Capital Fund Management and affiliation not provided to SSRN
Downloads 1,377 (27,239)
Citation 29

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price impact, market orders, limit orders, cancellations, market microstructure, order flow

12.

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 1,320 (29,040)
Citation 1

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13.

Herd Behavior and Aggregate Fluctuations in Financial Markets

Number of pages: 30 Posted: 10 Feb 1998
Rama Cont and Jean-Philippe Bouchaud
University of Oxford and Capital Fund Management
Downloads 1,246 (31,567)
Citation 21

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14.

Scaling in Stock Market Data: Stable Laws and Beyond

Number of pages: 11 Posted: 28 Nov 1997
Rama Cont, Marc Potters, Marc Potters and Jean-Philippe Bouchaud
University of Oxford, Capital Fund ManagementCapital Fund Management and Capital Fund Management
Downloads 1,092 (38,099)
Citation 18

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15.

Fluctuations and Response in Financial Markets: The Subtle Nature of 'Random' Price Changes

Number of pages: 26 Posted: 27 Feb 2004
Jean-Philippe Bouchaud, Yuval Gefen, Marc Potters, Marc Potters and Matthieu Wyart
Capital Fund Management, Weizmann Institute of Science - Condensed Matter Physics Department, Capital Fund ManagementCapital Fund Management and Centre d'Etudes de Saclay (CEA) - Service de Physique de l'Etat Condense (SPEC)
Downloads 1,065 (39,527)
Citation 87

Abstract:

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Financial markets, order book, market microstructure

16.

Black Was Right: Price Is Within a Factor 2 of Value

Number of pages: 9 Posted: 16 Nov 2017 Last Revised: 19 Nov 2017
Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 1,038 (40,966)
Citation 7

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Trend Following, Mean-Reversion, Market Anomalies, Behavioral Biases

17.

More Statistical Properties of Order Books and Price Impact

Number of pages: 9 Posted: 27 Feb 2004
Marc Potters, Marc Potters and Jean-Philippe Bouchaud
Capital Fund ManagementCapital Fund Management and Capital Fund Management
Downloads 1,003 (43,086)
Citation 24

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Financial markets, order book, market microstructure

18.

Why Do Markets Crash? Bitcoin Data Offers Unprecedented Insights

Number of pages: 13 Posted: 24 Mar 2015 Last Revised: 15 Oct 2015
Jonathan Donier and Jean-Philippe Bouchaud
Université Paris VI Pierre et Marie Curie and Capital Fund Management
Downloads 985 (44,137)
Citation 11

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econophysics, financial markets, market stability, bubbles, crashes, market microstructure, market impact

19.

The Leverage Effect in Financial Markets: Retarded Volatility And Market Panic

Number of pages: 12 Posted: 04 Feb 2001
Jean-Philippe Bouchaud, Andrew Matacz, Marc Potters and Marc Potters
Capital Fund Management, Capital Fund Management and Capital Fund ManagementCapital Fund Management
Downloads 958 (45,888)
Citation 9

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20.

Hedged Monte-Carlo: Low Variance Derivative Pricing with Objective Probabilities

Number of pages: 11 Posted: 12 Sep 2000
Marc Potters, Marc Potters, Jean-Philippe Bouchaud and Dragan Sestovic
Capital Fund ManagementCapital Fund Management, Capital Fund Management and Multifactor Analytics and Consulting
Downloads 931 (47,728)
Citation 8

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21.

Exogenous and Endogenous Price Jumps Belong to Different Dynamical Classes

Number of pages: 17 Posted: 22 Jun 2021
University of Paris-Saclay - Ecole Polytechnique, Capital Fund Management and Capital Fund ManagementEcole Polytechnique, Palaiseau
Downloads 829 (55,947)
Citation 4

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22.

Revisiting Elastic String Models of Forward Interest Rates

Number of pages: 19 Posted: 16 Apr 2024
Victor Le Coz and Jean-Philippe Bouchaud
Ecole Polytechnique, Palaiseau and Capital Fund Management
Downloads 813 (57,412)

Abstract:

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interest rate curve, forward rate, random field theory, agent based, micro-founded, action, Epps effect, time scale, hyperbolic discounting

23.

Power-Laws in Economy and Finance: Some Ideas from Physics

AFA 2001 New Orleans Meetings
Number of pages: 16 Posted: 06 Oct 2000
Jean-Philippe Bouchaud
Capital Fund Management
Downloads 795 (59,223)
Citation 9

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24.

Agnostic Risk Parity: Taming Known and Unknown-Unknowns

Number of pages: 12 Posted: 29 Oct 2016
Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management and Capital Fund ManagementCapital Fund Management
Downloads 777 (61,441)
Citation 2

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Quantitative Portfolio Management, Portfolio Construction, Asset Allocation, Risk Parity, Risk Budgeting, Diversification, Markowitz, Alternative Beta

25.

Correlation Structure of Extreme Stock Returns

Number of pages: 14 Posted: 20 Jul 2000
Pierre Cizeau, Marc Potters, Marc Potters and Jean-Philippe Bouchaud
Capital Fund Management, Capital Fund ManagementCapital Fund Management and Capital Fund Management
Downloads 678 (72,937)
Citation 1

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26.

Equity Factors: To Short Or Not To Short, That is the Question

Number of pages: 9 Posted: 14 Apr 2020
Florent Benaych-Georges, Jean-Philippe Bouchaud and Stefano Ciliberti
affiliation not provided to SSRN, Capital Fund Management and Capital Fund Management
Downloads 626 (80,598)
Citation 1

Abstract:

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equity factors, asset pricing, factor investing, risk premia, equity market neutral, alternative beta

27.

How to Improve the Financial Architecture and Its Resilience

Number of pages: 22 Posted: 21 Jun 2014
ETH Zürich - Department of Humanities, Social and Political Sciences (GESS), London School of Economics & Political Science (LSE), Capital Fund Management, University College London, University of Oxford, University of Western Sydney - School of Economics & Finance, Columbia University School of Law, University of Kiel - Institute for World Economics (IfW), Independent, University of St. Gallen, Independent and University of the West of England (UWE)
Downloads 609 (83,419)

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financial architecture, resilience, financial crisis, banking crisis, economic crisis, new economic thinking

28.

Explaining the Forward Interest Rate Term Structure

Number of pages: 12 Posted: 15 Nov 1999
Andrew Matacz and Jean-Philippe Bouchaud
Capital Fund Management and Capital Fund Management
Downloads 605 (84,108)

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29.

An Empirical Investigation of the Forward Interest Rate Term Structure

Number of pages: 34 Posted: 12 Aug 1999
Jean-Philippe Bouchaud and Andrew Matacz
Capital Fund Management and Capital Fund Management
Downloads 573 (90,103)
Citation 1

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30.

Worst Fluctuation Method for Fast Value-at-Risk Estimates

Number of pages: 8 Posted: 21 Oct 1999
Jean-Philippe Bouchaud, Marc Potters and Marc Potters
Capital Fund Management and Capital Fund ManagementCapital Fund Management
Downloads 546 (95,796)
Citation 2

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31.

Apparent Multifractality in Financial Time Series

Working Paper No. 9906347
Number of pages: 9 Posted: 19 Oct 1999
Jean-Philippe Bouchaud, Marc Potters, Marc Potters and Martin Meyer
Capital Fund Management, Capital Fund ManagementCapital Fund Management and Capital Fund Management
Downloads 538 (97,602)
Citation 10

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32.

A New Spin on Optimal Portfolios and Ecological Equilibria

Number of pages: 37 Posted: 14 Apr 2021 Last Revised: 04 Nov 2021
Ecole polytechnique, Capital Fund ManagementEcole Polytechnique, Palaiseau, Capital Fund Management and Capital Fund Management
Downloads 467 (115,779)
Citation 1

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

33.

A Fully Consistent, Minimal Model for Non-Linear Market Impact

Number of pages: 17 Posted: 30 Nov 2014 Last Revised: 02 Dec 2014
Jonathan Donier, Julius Bonart, Iacopo Mastromatteo and Jean-Philippe Bouchaud
Université Paris VI Pierre et Marie Curie, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 424 (129,680)
Citation 21

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market microstructure, price formation, market impact, reaction-diffusion, limit order book, non-arbitrage

34.

Option Pricing and Hedging with Temporal Correlations

Number of pages: 16 Posted: 04 Feb 2001
Lorenzo Cornalba, Jean-Philippe Bouchaud, Marc Potters and Marc Potters
École Normale Supérieure (ENS) - Laboratoire de Physique Theorique, Capital Fund Management and Capital Fund ManagementCapital Fund Management
Downloads 421 (130,720)
Citation 1

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35.

Self Referential Behaviour, Overreaction and Conventions in Financial Markets

Number of pages: 16 Posted: 18 Jun 2003
Matthieu Wyart and Jean-Philippe Bouchaud
Centre d'Etudes de Saclay (CEA) - Service de Physique de l'Etat Condense (SPEC) and Capital Fund Management
Downloads 389 (143,080)
Citation 4

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Self referential behaviour, overreaction, conventions, excess volatility, excess correlations, regime shift

36.

Option Pricing and Hedging with Minimum Local Expected Shortfall

Number of pages: 23 Posted: 28 Oct 2003
Benoit Pochart and Jean-Philippe Bouchaud
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Capital Fund Management
Downloads 376 (148,602)
Citation 1

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option, hedging, shortfall, incomplete market, transaction costs

37.

On a Skewed Multifractal Random Walk with Applications in Finance

Number of pages: 23 Posted: 12 Apr 2002
Benoit Pochart and Jean-Philippe Bouchaud
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Capital Fund Management
Downloads 369 (151,772)

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skewness, kurtosis, multifractal, smile

38.

How Does the Market React to Your Order Flow?

Number of pages: 12 Posted: 06 Apr 2011
Capital Fund Management, Capital Fund Management, Università di Bologna, Capital Fund Management, Capital Fund Management and University of Oxford - Institute for New Economic Thinking at the Oxford Martin School
Downloads 368 (152,204)
Citation 8

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Financial markets, market microstructure, limit order book, order flow, behavioural economics

39.

Bubbles, Crashes and Intermittency in Agent Based Market Models

Number of pages: 39 Posted: 29 Jun 2002
Irene Giardina and Jean-Philippe Bouchaud
Sapienza University of Rome - Department of Physics and Capital Fund Management
Downloads 342 (164,925)
Citation 15

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40.

Anomalous Price Impact and the Critical Nature of Liquidity in Financial Markets

Number of pages: 13 Posted: 11 May 2011
Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 328 (172,434)
Citation 40

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41.

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

Number of pages: 59 Posted: 05 Jan 2021 Last Revised: 03 Nov 2021
University of Paris-Saclay - Ecole Polytechnique, Macrocosm, Capital Fund ManagementEcole Polytechnique, Palaiseau and Capital Fund Management
Downloads 324 (174,688)
Citation 6

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42.

Multiple Time Scales in Volatility and Leverage Correlations: An Stochastic Volatility Model

Applied Mathematical Finance, Vol. 11, 2004
Number of pages: 19 Posted: 14 Oct 2003 Last Revised: 16 Nov 2013
Josep Perelló, Jaume Masoliver and Jean-Philippe Bouchaud
University of Barcelona - Department of Physics, University of Barcelona - Department of Physics and Capital Fund Management
Downloads 323 (175,295)
Citation 4

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financial markets, stochastic volatility model, leverage correlation, volatility autocorrelation

43.

The Short-Term Price Impact of Trades Is Universal

Number of pages: 9 Posted: 28 Feb 2017 Last Revised: 02 Jan 2018
Bence Toth, Zoltan Eisler and Jean-Philippe Bouchaud
Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 300 (189,483)
Citation 3

Abstract:

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financial markets, market microstructure, limit order book, order flow, behavioural economics

44.

Trading Lightly: Cross-Impact and Optimal Portfolio Execution

Number of pages: 7 Posted: 10 Apr 2017
Capital Fund Management, Capital Fund ManagementEcole Polytechnique, Palaiseau, Capital Fund Management and Capital Fund Management
Downloads 293 (194,198)
Citation 11

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45.

Models for the Impact of All Order Book Events

Number of pages: 12 Posted: 18 Jul 2011
Zoltan Eisler, Jean-Philippe Bouchaud and Julien Kockelkoren
Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 293 (194,198)
Citation 6

Abstract:

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price impact, market orders, limit orders, cancellations, market microstructure, order flow

46.

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

Number of pages: 12 Posted: 28 Jan 2019
Scuola Normale Superiore, Capital Fund ManagementEcole Polytechnique, Palaiseau, Università di Bologna and Capital Fund Management
Downloads 283 (201,251)
Citation 4

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47.

Skew and Implied Leverage Effect: Smile Dynamics Revisited

Number of pages: 12 Posted: 09 Mar 2017
Vincent Vargas, Tung-Lam Dao and Jean-Philippe Bouchaud
Ecole Normale Superiéure (ENS), affiliation not provided to SSRN and Capital Fund Management
Downloads 276 (206,452)
Citation 2

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skew, implied leverage effect, volatility smile, skew-stickiness ratio

48.

V –, U –, L – Or W–Shaped Economic Recovery After COVID-19: Insights From an Agent Based Model

https://journals.plos.org/plosone/article?id=10.1371/journal.pone.0247823
Number of pages: 20 Posted: 15 Jun 2020 Last Revised: 01 Nov 2023
Fabric RQ, Capital Fund Management, Capital Fund Management, Université Paris VI Pierre et Marie Curie and École Normale Supérieure (ENS)
Downloads 274 (207,956)
Citation 7

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agent-based model, COVID, coronavirus, policy

49.

On a Universal Mechanism for Long Ranged Volatility Correlations

Number of pages: 14 Posted: 11 Jan 2001
Jean-Philippe Bouchaud, Irene Giardina and Marc Mezard
Capital Fund Management, Sapienza University of Rome - Department of Physics and Université Paris XI Sud - LPSMS
Downloads 273 (208,772)
Citation 6

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50.

The Joint Distribution of Stock Returns is Not Elliptical

International Journal of Theoretical and Applied Finance, Vol. 15, No. 3, 2012
Number of pages: 24 Posted: 03 Aug 2011 Last Revised: 12 Jun 2012
Rémy Chicheportiche and Jean-Philippe Bouchaud
Ecole Centrale Paris and Capital Fund Management
Downloads 252 (226,131)
Citation 2

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copulas, elliptical distributions, stock returns, multivariate data

51.

The Case for Long-Only Agnostic Allocation Portfolios

Number of pages: 20 Posted: 20 Jun 2019
Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 251 (227,011)
Citation 1

Abstract:

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portfolio construction, minimum variance, maximum diversification, sparsity

52.

Why does individual learning endure when crowds are wiser?

Number of pages: 11 Posted: 05 Jan 2021
affiliation not provided to SSRN, affiliation not provided to SSRN, Capital Fund Management and Capital Fund ManagementEcole Polytechnique, Palaiseau
Downloads 249 (228,852)
Citation 1

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

53.

Crossover from Linear to Square-Root Market Impact

Number of pages: 5 Posted: 06 Dec 2018
Scuola Normale Superiore, Capital Fund ManagementEcole Polytechnique, Palaiseau, Università di Bologna and Capital Fund Management
Downloads 243 (234,267)
Citation 7

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54.

Instabilities in Large Economies: Aggregate Volatility Without Idiosyncratic Shocks

HEC Paris Research Paper No. FIN-2014-1052
Number of pages: 22 Posted: 21 Jun 2014 Last Revised: 17 Sep 2014
Julius Bonart, Jean-Philippe Bouchaud, Augustin Landier and David Thesmar
Capital Fund Management, Capital Fund Management, HEC and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 237 (240,155)
Citation 5

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volatility of aggregate output, network theory, rational expectations, general equilibrium

55.

Statistical Models for Company Growth

Number of pages: 10 Posted: 09 Nov 2003
Matthieu Wyart and Jean-Philippe Bouchaud
Centre d'Etudes de Saclay (CEA) - Service de Physique de l'Etat Condense (SPEC) and Capital Fund Management
Downloads 221 (256,648)
Citation 14

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Statistics of company growth, Sutton's model

56.

Slow Decay of Impact in Equity Markets

Number of pages: 6 Posted: 27 Jul 2014
Xavier Brokmann, Emmanuel Sérié, Julien Kockelkoren and Jean-Philippe Bouchaud
Qube Research & Technologies, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 212 (266,786)
Citation 10

Abstract:

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price impact, market microstructure

57.

Co-Existence of Trend and Value in Financial Markets: Estimating an Extended Chiarella Model

Number of pages: 49 Posted: 07 Aug 2018
Adam Majewski, Stefano Ciliberti and Jean-Philippe Bouchaud
Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 208 (271,517)
Citation 5

Abstract:

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Trend Following, Value Investing, Market Anomalies, Agent-Based Models

58.

Optimal Inflation Target: Insights from an Agent-Based Model

Number of pages: 19 Posted: 19 Sep 2017 Last Revised: 09 Feb 2018
Jean-Philippe Bouchaud, Stanislao Gualdi, Marco Tarzia and Francesco Zamponi
Capital Fund Management, Capital Fund Management, Université Paris VI Pierre et Marie Curie and École Normale Supérieure (ENS)
Downloads 207 (272,711)
Citation 7

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agent-based computational economics, aggregative models, monetary policy, inflation target, macroeconomics

59.

Linear Models for the Impact of Order Flow on Prices I. Propagators: Transient vs. History Dependent Impact

Number of pages: 22 Posted: 28 Apr 2016
Scuola Normale Superiore, University of Bologna - Department of Mathematics, Capital Fund Management, Università di Bologna and Capital Fund Management
Downloads 196 (286,605)
Citation 12

Abstract:

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Financial markets, market microstructure, market impact, liquidity

60.

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 194 (289,271)
Citation 2

Abstract:

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

61.

Ponzi Funds

Number of pages: 48 Posted: 20 May 2024 Last Revised: 21 May 2024
Philippe van der Beck, Jean-Philippe Bouchaud and Dario Villamaina
Harvard Business School, Capital Fund Management and Capital Fund Management
Downloads 185 (317,078)

Abstract:

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Flows, Impact, Exchange traded funds, Bubbles, Demand-based asset pricing, Price pressure

62.

Exploration of the Parameter Space in Macroeconomic Agent-Based Models

Number of pages: 20 Posted: 18 Nov 2021 Last Revised: 05 Aug 2022
Ecole Polytechnique, Palaiseau, Chair of EconophysiX and Complex Systems, Capital Fund ManagementEcole Polytechnique, Palaiseau and Capital Fund Management
Downloads 182 (306,171)
Citation 1

Abstract:

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Macroeconomics, Agent-based Modelling, Phases, Computational Economics

63.

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 (306,171)
Citation 3

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market microstructure, trading invariance, volatility

64.

Dissecting Cross-Impact on Stock Markets: An Empirical Analysis

Number of pages: 22 Posted: 10 Sep 2016 Last Revised: 03 Nov 2016
Capital Fund ManagementEcole Polytechnique, Palaiseau, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 181 (307,674)
Citation 18

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Market impact

65.

Critical Reflexivity in Financial Markets: A Hawkes Process Analysis

Number of pages: 9 Posted: 21 Feb 2013
Stephen Hardiman, Nicolas Bercot and Jean-Philippe Bouchaud
Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 178 (312,277)
Citation 28

Abstract:

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Hawkes process, market events, long-memory, volatility

66.

How Much Income Inequality Is Too Much?

Number of pages: 11 Posted: 13 May 2020
Jean-Philippe Bouchaud
Capital Fund Management
Downloads 175 (317,078)
Citation 1

Abstract:

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Income distribution, Wage inequalities, Gini coefficient, Involuntary unemployment

67.

Sudden Trust Collapse in Networked Societies

Eur. Phys. J. B 88 (3) 55 (2015)
Number of pages: 15 Posted: 23 Sep 2014 Last Revised: 17 Mar 2015
João da Gama Batista, Jean-Philippe Bouchaud and Damien Challet
CentraleSupélec, Capital Fund Management and CentraleSupélec
Downloads 168 (328,452)
Citation 1

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trust, networks, sudden collapse, collective behavior, crisis, hysteresis, phase transition

68.

Impact Is Not Just Volatility

Number of pages: 5 Posted: 03 Jun 2019
Scuola Normale Superiore, Capital Fund Management, Capital Fund ManagementEcole Polytechnique, Palaiseau and Capital Fund Management
Downloads 155 (351,775)

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69.

Co-Impact: Crowding Effects in Institutional Trading Activity

Number of pages: 29 Posted: 10 May 2018
Scuola Normale Superiore, Capital Fund Management, Capital Fund Management, Università di Bologna, Capital Fund Management and Capital Fund Management
Downloads 155 (351,775)
Citation 9

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70.

Conditional Correlations and Principal Regression Analysis for Futures

Number of pages: 12 Posted: 04 Feb 2020
University of Paris-Saclay - Ecole Polytechnique, Capital Fund Management, Capital Fund ManagementEcole Polytechnique, Palaiseau and Capital Fund Management
Downloads 148 (365,260)

Abstract:

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71.

How Does Latent Liquidity Get Revealed in the Limit Order Book?

Number of pages: 18 Posted: 12 Sep 2018
University of Paris-Saclay - Ecole Polytechnique, University of Paris-Saclay - Ecole Polytechnique, Capital Fund Management and Capital Fund ManagementEcole Polytechnique, Palaiseau
Downloads 147 (367,319)
Citation 2

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72.

Smile Dynamics -- A Theory of the Implied Leverage Effect

Number of pages: 20 Posted: 27 Apr 2013
Stefano Ciliberti, Jean-Philippe Bouchaud, Marc Potters and Marc Potters
Capital Fund Management, Capital Fund Management and Capital Fund ManagementCapital Fund Management
Downloads 145 (371,415)

Abstract:

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73.

May's Instability in Large Economies

Number of pages: 35 Posted: 08 Feb 2019 Last Revised: 24 Sep 2019
José Moran and Jean-Philippe Bouchaud
Macrocosm and Capital Fund Management
Downloads 138 (385,974)
Citation 13

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crises, networks, firms, leontief, shocks, supply chain

74.

Quadratic Hawkes Processes for Financial Prices

Number of pages: 24 Posted: 26 Sep 2015
Pierre Blanc, Jonathan Donier and Jean-Philippe Bouchaud
Ecole des Ponts ParisTech, Université Paris VI Pierre et Marie Curie and Capital Fund Management
Downloads 138 (385,974)
Citation 12

Abstract:

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Hawkes processes, financial prices, volatility modelling, time-reversal asymmetry, Pearsons diffusion, high frequency trading, order splitting, fat tails

75.

Price Impact Without Order Book: A Study of the OTC Credit Index Market

Number of pages: 15 Posted: 19 Sep 2016
Zoltan Eisler and Jean-Philippe Bouchaud
Capital Fund Management and Capital Fund Management
Downloads 137 (392,765)
Citation 1

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Price Impact, Market Microstructure, Credit, Order Flow

76.

Do Investors Trade Too Much? A Laboratory Experiment

Number of pages: 57 Posted: 11 Dec 2015
CentraleSupélec, Catholic University of Milan, Capital Fund Management, CentraleSupélec and Government of Canada - Bank of Canada
Downloads 136 (390,475)
Citation 3

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77.

From Walras' Auctioneer to Continuous Time Double Auctions: A General Dynamic Theory of Supply and Demand

Number of pages: 25 Posted: 13 Jun 2015
Jonathan Donier and Jean-Philippe Bouchaud
Université Paris VI Pierre et Marie Curie and Capital Fund Management
Downloads 134 (395,066)
Citation 4

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Walras' law, Price formation, Supply, Demand, Economic dynamics, Market impact, Liquidity

78.

Linear Models for the Impact of Order Flow on Prices II. The Mixture Transition Distribution Model

Number of pages: 23 Posted: 28 Apr 2016
Scuola Normale Superiore, University of Bologna - Department of Mathematics, Capital Fund Management, Università di Bologna and Capital Fund Management
Downloads 129 (406,986)
Citation 4

Abstract:

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Financial markets, market microstructure, market impact, liquidity, markov chain

79.

The Fine-Structure of Volatility Feedback

Number of pages: 26 Posted: 11 Jun 2012
Rémy Chicheportiche and Jean-Philippe Bouchaud
Ecole Centrale Paris and Capital Fund Management
Downloads 123 (421,676)
Citation 3

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volatility dynamics, GARCH models, endogenous feedback, time reversal invariance, stock markets

80.

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 (432,328)
Citation 4

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81.

Goodness-of-Fit Tests with Dependent Observations

Journal of Statistical Mechanics: Theory and Experiment, 2011
Number of pages: 25 Posted: 03 Aug 2011 Last Revised: 05 Sep 2011
Rémy Chicheportiche and Jean-Philippe Bouchaud
Ecole Centrale Paris and Capital Fund Management
Downloads 117 (437,936)
Citation 1

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extreme value statistics, stochastic processes, financial time series

82.

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 113 (449,409)

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83.

Tipping Points in Macroeconomic Agent-Based Models

Number of pages: 42 Posted: 13 Jul 2013 Last Revised: 26 Aug 2014
Stanislao Gualdi, Marco Tarzia, Francesco Zamponi and Jean-Philippe Bouchaud
Capital Fund Management, Université Paris VI Pierre et Marie Curie, École Normale Supérieure (ENS) and Capital Fund Management
Downloads 113 (449,409)
Citation 18

Abstract:

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Agent-Based Computational Economics, Aggregative Models, Cycles

84.

A Nested Factor Model for Non-Linear Dependences in Stock Returns

Number of pages: 23 Posted: 14 Sep 2013
Rémy Chicheportiche and Jean-Philippe Bouchaud
Ecole Centrale Paris and Capital Fund Management
Downloads 108 (464,479)
Citation 1

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85.

Optimal Multi-Asset Trading With Linear Costs: A Mean-Field Approach

Number of pages: 14 Posted: 03 Jun 2019
Matt Emschwiller, Benjamin Petit and Jean-Philippe Bouchaud
Operations Research Center, Massachusetts Institute of Technology, Institute for Computational and Mathematical Engineering, Stanford University and Capital Fund Management
Downloads 97 (500,277)

Abstract:

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Optimal trading, Linear costs, Mean-field approximation

86.

Are Trading Invariants Really Invariant? Trading Costs Matter

Number of pages: 13 Posted: 27 Feb 2019
Scuola Normale Superiore, Università di Bologna, Capital Fund Management and Capital Fund ManagementEcole Polytechnique, Palaiseau
Downloads 94 (510,587)
Citation 5

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87.

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

Number of pages: 17 Posted: 24 Sep 2021
Sorbonne University, Ecole Polytechnique, Palaiseau, Capital Fund ManagementEcole Polytechnique, Palaiseau, Université Paris VI Pierre et Marie Curie and Capital Fund Management
Downloads 92 (517,591)
Citation 1

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Macroeconomics, Business Cycles, Confidence, Behavioral Economics, DSGE

88.

Path Shadowing Monte-Carlo

Number of pages: 15 Posted: 07 Aug 2023
Rudy Morel, Stéphane Mallat and Jean-Philippe Bouchaud
Sorbonne University - École Normale Supérieure, Sorbonne University - École Normale Supérieure and Capital Fund Management
Downloads 89 (528,471)

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Volatility prediction, option pricing, wavelets

89.

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 (535,861)
Citation 1

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90.

The Multivariate Kyle Model: More is Different

Number of pages: 30 Posted: 08 Jul 2018 Last Revised: 19 Dec 2018
Capital Fund Management, Capital Fund Management, Capital Fund ManagementEcole Polytechnique, Palaiseau and Capital Fund Management
Downloads 81 (559,697)
Citation 5

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91.

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

Number of pages: 6 Posted: 17 Jul 2019
Sorbonne University, Capital Fund ManagementEcole Polytechnique, Palaiseau, Université Paris VI Pierre et Marie Curie and Capital Fund Management
Downloads 78 (572,047)
Citation 1

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92.

Monetary Policy and Dark Corners in a Stylized Agent-Based Model

Number of pages: 21 Posted: 22 Jan 2015
Stanislao Gualdi, Marco Tarzia, Francesco Zamponi and Jean-Philippe Bouchaud
Capital Fund Management, Université Paris VI Pierre et Marie Curie, École Normale Supérieure (ENS) and Capital Fund Management
Downloads 72 (598,440)
Citation 5

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agent-based computational economics, aggregative models, monetary policy, macroeconomics, cycles

93.

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

Number of pages: 7 Posted: 24 Apr 2020
Macrocosm, University of Paris-Saclay - Ecole Polytechnique, University of Paris-Saclay - Ecole Polytechnique, Capital Fund Management and Capital Fund ManagementEcole Polytechnique, Palaiseau
Downloads 71 (603,025)
Citation 7

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94.

Schrödinger’s Ants: A Continuous Description of Kirman’s Recruitment Model

Number of pages: 15 Posted: 08 May 2020
Macrocosm, University of Paris-Saclay - Ecole Polytechnique, Capital Fund ManagementEcole Polytechnique, Palaiseau and Capital Fund Management
Downloads 68 (617,080)
Citation 6

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95.

Endogenous Crisis Waves: A Stochastic Model with Synchronized Collective Behavior

Number of pages: 5 Posted: 13 Sep 2014
Capital Fund Management, Capital Fund Management, École Normale Supérieure (ENS), Université Paris VI Pierre et Marie Curie and École Normale Supérieure (ENS)
Downloads 67 (621,860)
Citation 5

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macroeconomic agent-based models, synchronization

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

Number of pages: 36 Posted: 19 Feb 2021
Jean-Philippe Bouchaud and Roger E. A. Farmer
Capital Fund Management and University of Warwick
Downloads 63 (653,192)
Citation 2

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Self-Fulfilling Prophecies, Wealth Inequalities, Non-Ergodicity

97.

Crisis Propagation in a Heterogeneous Self-Reflexive DSGE Model

Number of pages: 12 Posted: 04 Mar 2021
Sorbonne University, Capital Fund ManagementEcole Polytechnique, Palaiseau, Capital Fund Management and Université Paris VI Pierre et Marie Curie
Downloads 63 (641,931)
Citation 1

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98.

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

Number of pages: 25 Posted: 20 Jun 2022
Ecole polytechnique, Capital Fund Management and Capital Fund ManagementEcole Polytechnique, Palaiseau
Downloads 59 (663,073)
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99.

Good speciation and endogenous business cycles in a constraint satisfaction macroeconomic model

Journal of Statistical Mechanics: Theory and Experiment (2021) 063403 https://doi.org/10.1088/1742-5468/ac014a
Number of pages: 14 Posted: 17 Jul 2020 Last Revised: 11 Jun 2021
Dhruv Sharma, Jean-Philippe Bouchaud, Marco Tarzia and Francesco Zamponi
Fabric RQ, Capital Fund Management, Université Paris VI Pierre et Marie Curie and École Normale Supérieure (ENS)
Downloads 52 (702,993)
Citation 2

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Agent-Based Modelling, Macroeconomics, Constraint-Satisfaction Problems, Perception, Phase Transitions

100.

On Growth-Optimal Tax Rates and the Issue of Wealth Inequalities

Number of pages: 9 Posted: 09 Aug 2015 Last Revised: 28 Aug 2015
Jean-Philippe Bouchaud
Capital Fund Management
Downloads 48 (728,120)
Citation 3

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Wealth inequalities, optimal tax rate, multiplicative random growth, explore-exploit tradeoff

101.

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

Number of pages: 35 Posted: 20 Dec 2023
Ecole polytechnique, Capital Fund ManagementEcole Polytechnique, Palaiseau and Capital Fund Management
Downloads 25 (907,556)

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

102.

Microstructure Modes -- Disentangling the Joint Dynamics of Prices & Order Flow

Number of pages: 19 Posted: 18 May 2024
Ladhyx UMR CNRS 7646, Ladhyx UMR CNRS 7646, Capital Fund Management and Capital Fund Management
Downloads 19 (966,747)

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Order Flow, Market Microstructure, Price Impact

103.

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

NBER Working Paper No. w28261
Number of pages: 51 Posted: 20 Sep 2021 Last Revised: 22 Mar 2023
Roger E. A. Farmer and Jean-Philippe Bouchaud
University of Warwick and Capital Fund Management
Downloads 15 (1,008,342)
Citation 2

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104.

Revisiting Granular Models of Firm Growth

Number of pages: 40 Posted: 30 Apr 2024
José Moran, Angelo Secchi and Jean-Philippe Bouchaud
Macrocosm, Université Paris I Panthéon-Sorbonne and Capital Fund Management
Downloads 11 (1,048,877)

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firm growth, granularity, gibrat process, statistics

105.

Deconstructing the Low-Vol Anomaly

Posted: 22 May 2019
Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund ManagementCapital Fund Management and Capital Fund Management

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Market Anomalies, Dividend bias, Defensive Equities

106.

The 'Size Premium' in Equity Markets: Where Is the Risk?

https://jpm.pm-research.com/content/45/5/58
Posted: 15 Aug 2017 Last Revised: 05 Oct 2019
Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management and Capital Fund Management

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Small Minus Big, SMB, Size, Risk Premium, Equities, Cold Minus Hot, Beta Neutrality

107.

Large Dimension Forecasting Models and Random Singular Value Spectra

The European Physical Journal B, 55, 201-207, 2007
Posted: 29 Sep 2013 Last Revised: 30 Sep 2013
Capital Fund Management, Capital Fund Management, Sapienza University of Rome - Faculty of Economics and Capital Fund ManagementCapital Fund Management

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random matrix theory, time series analysis, econophysics, financial markets, business and management, big data, machine learning

108.

Financial Markets as Adaptive Ecosystems

Posted: 17 Oct 1996
Marc Potters, Marc Potters, Rama Cont and Jean-Philippe Bouchaud
Capital Fund ManagementCapital Fund Management, University of Oxford and Capital Fund Management

Abstract:

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