313 citations · 2.8k across the 97 of their papers we have counts for
4 papers · 2 filters
Experts' earning forecasts: bias, herding and gossamer information
Olivier Guedj, Jean-Philippe Bouchaud
We study the statistics of earning forecasts of US, EU, UK and JP stocks during the period 1987-2004. We confirm, on this large data set, that financial analysts are on average ove…
Random walks, liquidity molasses and critical response in financial markets
J. -P. Bouchaud, J. Kockelkoren, M. Potters
Stock prices are observed to be random walks in time despite a strong, long term memory in the signs of trades (buys or sells). Lillo and Farmer have recently suggested that these…
"Stiff" Field Theory of Interest Rates and Psychological Future Time
Belal Baaquie, Jean-Philippe Bouchaud
The simplest field theory description of the multivariate statistics of forward rate variations over time and maturities, involves a quadratic action containing a gradient squared…
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…