313 citations · 2.8k across the 93 of their papers we have counts for
5 papers · 2 filters
Statistical models for company growth
Matthieu Wyart, Jean-Philippe Bouchaud
We study Sutton's `microcanonical' model for the internal organisation of firms, that leads to non trivial scaling properties for the statistics of growth rates. We show that the g…
More statistical properties of order books and price impact
Marc Potters, Jean-Philippe Bouchaud
We investigate present some new statistical properties of order books. We analyse data from the Nasdaq and investigate (a) the statistics of incoming limit order prices, (b) the sh…
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).
The skewed multifractal random walk with applications to option smiles
B. Pochart, J. -P. Bouchaud
We generalize the construction of the multifractal random walk (MRW) due to Bacry, Delour and Muzy to take into account the asymmetric character of the financial returns. We show h…
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…