10 citations · 13 across the 2 of their papers we have counts for
7 papers
Market panic on different time-scales
Lisa Borland, Yoan Hassid
Cross-sectional signatures of market panic were recently discussed on daily time scales in [1], extended here to a study of cross-sectional properties of stocks on intra-day time s…
Statistical Signatures in Times of Panic: Markets as a Self-Organizing System
Lisa Borland
We study properties of the cross-sectional distribution of returns. A significant anti-correlation between dispersion and cross-sectional kurtosis is found such that dispersion is…
On a multi-timescale statistical feedback model for volatility fluctuations
L. Borland, J. -Ph. Bouchaud
We study, both analytically and numerically, an ARCH-like, multiscale model of volatility, which assumes that the volatility is governed by the observed past price changes on diffe…
A multi-time scale non-Gaussian model of stock returns
Lisa Borland
We propose a stochastic process for stock movements that, with just one source of Brownian noise, has an instantaneous volatility that rises from a type of statistical feedback acr…
The Dynamics of Financial Markets -- Mandelbrot's multifractal cascades, and beyond
Lisa Borland, Jean-Philippe Bouchaud, Jean-Francois Muzy +1
This is a short review in honor of B. Mandelbrot's 80st birthday, to appear in W ilmott magazine. We discuss how multiplicative cascades and related multifractal ideas might be rel…
A Non-Gaussian Option Pricing Model with Skew
L. Borland, J. P. Bouchaud
Closed form option pricing formulae explaining skew and smile are obtained within a parsimonious non-Gaussian framework. We extend the non-Gaussian option pricing model of L. Borla…