23 citations
- Académie de ParisFR6 papers
- Capital Fund Management (France)FR6 papers
- Centre National de la Recherche ScientifiqueFR5 papers
- École PolytechniqueFR4 papers
- Laboratoire d'Hydrodynamique de l'École polytechniqueFR3 papers
- École Centrale de NantesFR1 paper
- Institut de Recherche en Génie Civil et MécaniqueFR1 paper
- Institut Universitaire de FranceFR1 paper
- Laboratoire d'Informatique de l'École PolytechniqueFR1 paper
- Nantes UniversitéFR1 paper
- UCLouvainBE1 paper
7 papers
Bounded Rationality and Animal Spirits: A Fluctuation-Response Approach to Slutsky Matrices
Jerome Garnier-Brun, Jean-Philippe Bouchaud, Michael Benzaquen
The Slutsky equation, central in consumer choice theory, is derived from the usual hypotheses underlying most standard models in Economics, such as full rationality, homogeneity, a…
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…
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…