62 citations
- Capital Fund Management (France)FR11 papers
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- Laboratoire d'Hydrodynamique de l'École polytechniqueFR4 papers
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- Structure et Instabilité des GénomesFR4 papers
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q-fin.TR2025
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…
q-fin.TR2025
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…