1.3k citations · 3.3k across the 48 of their papers we have counts for
3 papers · 1 filter
Phenomenology of the Interest Rate Curve
J. -P. Bouchaud, N. Sagna, R. Cont +2
This paper contains a phenomenological description of the whole U.S. forward rate curve (FRC), based on an data in the period 1990-1996. We find that the average FRC (measured from…
Missing Information and Asset Allocation
Jean-Philippe Bouchaud, Marc Potters, Jean-Pierre Aguilar
When the available statistical information is imperfect, it is dangerous to follow standard optimisation procedures to construct an optimal portfolio, which usually leads to a stro…
Scaling in stock market data: stable laws and beyond
Rama Cont, Marc Potters, Jean-Philippe Bouchaud
The concepts of scale invariance, self-similarity and scaling have been fruitfully applied to the study of price fluctuations in financial markets. After a brief review of the prop…