3 citations · 3 across the 2 of their papers we have counts for
2 papers
cond-mat.dis-nn2000
Correlation structure of extreme stock returns
Pierre Cizeau, Marc Potters, Jean-Philippe Bouchaud
It is commonly believed that the correlations between stock returns increase in high volatility periods. We investigate how much of these correlations can be explained within a sim…
cond-mat1999★ 3 cited
Worse fluctuation method for fast Value-at-Risk estimates
Jean-Philippe Bouchaud, Marc Potters
We show how one can actually take advantage of the strongly non-Gaussian nature of the fluctuations of financial assets to simplify the calculation of the Value-at-Risk of complex…