output
20052022
most citedHalf polarized U(1) symmetric vacuum spacetimes with AVTD behavior

55 citations

researchers with a paper here

Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.

collaborating institutions
Showing 2021Show all

5 papers · 1 filter

q-fin.TR2021★ 3 cited

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…

cs.CE2021★ 13 cited

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…

q-fin.TR2021★ 23 cited

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…

cond-mat.stat-mech2021★ 8 cited

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…

q-fin.GN2021

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…