5 citations · 7 across the 2 of their papers we have counts for
6 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…
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…
Theory of Financial Risk: Basic notions in probability
Jean-Philippe Bouchaud, Marc Potters
Risk control has become one of the major concern of financial institutions. The need for adequate statistical tools to measure and anticipate the amplitude of the potential moves o…
Comment on ``Turbulent cascades in foreign exchange markets''
Alain Arneodo, Jean-Philippe Bouchaud, Rama Cont +4
Recently, Ghashghaie et al. have shown that some statistical aspects of fully developed turbulence and exchange rate fluctuations exhibit striking similarities (Nature 381, 767 (19…