313 citations · 2.3k across the 30 of their papers we have counts for
5 papers · 1 filter
Of Songs and Men: a Model for Multiple Choice with Herding
Christian Borghesi, Jean-Philippe Bouchaud
We propose a generic model for multiple choice situations in the presence of herding and compare it with recent empirical results from a Web-based music market experiment. The mode…
Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets
Matthieu Wyart, Jean-Philippe Bouchaud, Julien Kockelkoren +2
We show that the cost of market orders and the profit of infinitesimal market-making or -taking strategies can be expressed in terms of directly observable quantities, namely the s…
Large dimension forecasting models and random singular value spectra
Jean-Philippe Bouchaud, Laurent Laloux, M. Augusta Miceli +1
We present a general method to detect and extract from a finite time sample statistically meaningful correlations between input and output variables of large dimensionality. Our ce…
Trend followers lose more often than they gain
Marc Potters, Jean-Philippe Bouchaud
We solve exactly a simple model of trend following strategy, and obtain the analytical shape of the profit per trade distribution. This distribution is non trivial and has an optio…
Financial Applications of Random Matrix Theory: Old Laces and New Pieces
M. Potters, J. P. Bouchaud, L. Laloux
This contribution to the proceedings of the Cracow meeting on `Applications of Random Matrix Theory' summarizes a series of studies, some old and others more recent on financial ap…