1.3k citations · 3.3k across the 48 of their papers we have counts for
14 papers · 1 filter
Comment on: "Two-phase behaviour of financial markets"
M. Potters, J-P Bouchaud
In a recent article [Nature 421, 130 (2003)], Plerou, Gopikrishnan and Stanley report some evidence for an intriguing two-phase behavior of financial markets when studying the dist…
More statistical properties of order books and price impact
Marc Potters, Jean-Philippe Bouchaud
We investigate present some new statistical properties of order books. We analyse data from the Nasdaq and investigate (a) the statistics of incoming limit order prices, (b) the sh…
Reply to Johansen's comment
Laurent Laloux, Marc Potters, Jean-Pierre Aguilar +1
This is a reply to Johansen's comment on `Are Financial Crashes Predictable?', by L. Laloux, M. Potters, R. Cont, J.P. Aguilar, J.P. Bouchaud, Europhys. Lett. 45, p. 1 (1999).
Statistical properties of stock order books: empirical results and models
J. -P. Bouchaud, M. Mezard, M. Potters
We investigate several statistical properties of the order book of three liquid stocks of the Paris Bourse. The results are to a large degree independent of the stock studied. The…
Hedged Monte-Carlo: low variance derivative pricing with objective probabilities
Marc Potters, Jean-Philippe Bouchaud, Dragan Sestovic
We propose a new `hedged' Monte-Carlo (HMC) method to price financial derivatives, which allows to determine simultaneously the optimal hedge. The inclusion of the optimal hedging…
Apparent multifractality in financial time series
Jean-Philippe Bouchaud, Marc Potters, Martin Meyer
We present a exactly soluble model for financial time series that mimics the long range volatility correlations known to be present in financial data. Although our model is `monofr…