6 papers
Do Venture Capitalists Beat Random Allocation?
Max Sina Knicker, Jean-Philippe Bouchaud, Michael Benzaquen
Venture capital outcomes are dominated by a small number of extreme successes, making it difficult to distinguish investor skill from favorable realizations in a highly skewed retu…
Multivariate Quadratic Hawkes Processes -- Part II: Non-Parametric Empirical Calibration
Cecilia Aubrun, Michael Benzaquen, Jean-Philippe Bouchaud
This is the second part of our work on Multivariate Quadratic Hawkes (MQHawkes) Processes, devoted to the calibration of the model defined and studied analytically in Aubrun, C., B…
The Diffusive Nature of Housing Prices
Antoine-Cyrus Becharat, Michael Benzaquen, Jean-Philippe Bouchaud
We analyze the French housing market prices in the period 1970-2022, with high-resolution data from 2018 to 2022. The spatial correlation of the observed price field exhibits logar…
The Structure of Occupational Mobility in France
Max Sina Knicker, Karl Naumann-Woleske, Michael Benzaquen
In an era of rapid technological advancements and macroeconomic shifts, worker reallocation is necessary, yet responses to labor market shocks remain sluggish, making it crucial to…
A minimal model of money creation under regulatory constraints
Victor Le Coz, Michael Benzaquen, Damien Challet
We propose a minimal model of the secured interbank network able to shed light on recent money markets puzzles. We find that excess liquidity emerges due to the interactions betwee…
Stylized facts in money markets: an empirical analysis of the eurozone data
Victor Le Coz, Nolwenn Allaire, Michael Benzaquen +1
Using the secured transactions recorded within the Money Markets Statistical Reporting database of the European Central Bank, we test several stylized facts regarding interbank mar…