62 citations
- Capital Fund Management (France)FR11 papers
- Centre National de la Recherche ScientifiqueFR11 papers
- École PolytechniqueFR9 papers
- Académie des sciencesFR6 papers
- École Normale Supérieure de LyonFR4 papers
- Laboratoire de Géologie de Lyon : Terre, Planètes et EnvironnementFR4 papers
- Laboratoire d'Hydrodynamique de l'École polytechniqueFR4 papers
- Laboratoire d'Informatique de l'École PolytechniqueFR4 papers
- Lyon 1 UniversitéFR4 papers
- Structure et Instabilité des GénomesFR4 papers
- Université Jean MonnetFR4 papers
- Géosciences RennesFR2 papers
6 papers · 1 filter
On Hawkes Processes with Infinite Mean Intensity
Cecilia Aubrun, Michael Benzaquen, Jean-Philippe Bouchaud
The stability condition for Hawkes processes and their non-linear extensions usually relies on the condition that the mean intensity is a finite constant. It follows that the total…
The eXtreme Mesh deformation approach (X-MESH) for the Stefan phase-change model
Nicolas Moes, Jean-Francois Remacle, Jonathan Lambrechts +2
The eXtreme Mesh deformation approach (X-MESH) is a new paradigm to follow sharp interfaces without remeshing and without changing the mesh topology. Even though the mesh does not…
Artin-Schreier extensions and combinatorial complexity in henselian valued fields
Blaise Boissonneau
We give explicit formulas witnessing IP, \IPn or TP2 in fields with Artin-Schreier extensions. We use them to control -extensions of mixed characteristic henselian valued fields…
Exogenous and Endogenous Price Jumps Belong to Different Dynamical Classes
Riccardo Marcaccioli, Jean-Philippe Bouchaud, Michael Benzaquen
Synchronising a database of stock specific news with 5 years worth of order book data on 300 stocks, we show that abnormal price movements following news releases (exogenous) exhib…
A new spin on optimal portfolios and ecological equilibria
Jerome Garnier-Brun, Michael Benzaquen, Stefano Ciliberti +1
We consider the classical problem of optimal portfolio construction with the constraint that no short position is allowed, or equivalently the valid equilibria of multispecies Lotk…
Radical Complexity
Jean-Philippe Bouchaud
This is an informal and sketchy review of six topical, somewhat unrelated subjects in quantitative finance: rough volatility models; random covariance matrix theory; copulas; crowd…