818 citations
- Centre National de la Recherche ScientifiqueFR53 papers
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162 papers
Self-organised structures in mixed active-passive suspensions due to hydrodynamic interactions
Alexander Chamolly, Takuji Ishikawa
Microswimmers in suspension exhibit collective swimming behaviour, forming various self-organised structures including ordered, aggregated, and turbulent-like structures. When mixe…
Stationary Distributions of the Mode-switching Chiarella Model
Jutta G. Kurth, Jean-Philippe Bouchaud
We derive the stationary distribution in various regimes of the extended Chiarella model of financial markets. This model is a stochastic nonlinear dynamical system that encompasse…
On the long-time behavior of mean field game systems with a common noise
Pierre Cardaliaguet, Raphaël Maillet, Wenbin Yan
In this paper, we study the long-time behavior of mean field game (MFG) systems influenced by a common noise. While classical results establish the convergence of deterministic MFG…
Revisiting the Excess Volatility Puzzle Through the Lens of the Chiarella Model
Jutta G. Kurth, Adam A. Majewski, Jean-Philippe Bouchaud
We amend and extend the Chiarella model of financial markets to deal with arbitrary long-term value drifts in a consistent way. This allows us to improve upon existing calibration…
A Nested Factor Model for Equity Markets: Reconciling Multifractal Stock Returns and Rough Index Volatilities
Othmane Zarhali, Cecilia Aubrun, Emmanuel Bacry +2
The Nested factor model was introduced by Chicheportiche et al. to represent non-linear correlations between stocks. Stock returns are explained by a standard factor model, but the…
A mean-field theory for heterogeneous random growth with redistribution
Maximilien Bernard, Jean-Philippe Bouchaud, Pierre Le Doussal
We study the competition between random multiplicative growth and redistribution/migration in the mean-field limit, when the number of sites is very large but finite. We find that…