1.3k citations · 18.6k across the 289 of their papers we have counts for
8 papers · 1 filter
Phenomenology of the Interest Rate Curve
J. -P. Bouchaud, N. Sagna, R. Cont +2
This paper contains a phenomenological description of the whole U.S. forward rate curve (FRC), based on an data in the period 1990-1996. We find that the average FRC (measured from…
Models of stress propagation in granular media
J. -P. Bouchaud, P. Claudin, M. E. Cates +1
Stress patterns in static granular media exhibit unusual features when compared to either liquids or elastic solids. Qualitatively, we attribute these features to the presence of `…
A Scalar Arching Model
P. Claudin, J. -P. Bouchaud
In this paper we propose an extension of the model of Liu, Coppersmith et al., in order to allow for arch formation. This extended model qualitatively captures interesting properti…
Models of stress fluctuations in granular media
P. Claudin, J. -P. Bouchaud, M. E. Cates +1
We investigate in detail two models describing how stresses propagate and fluctuate in granular media. The first one is a scalar model where only the vertical component of the stre…
Universality Classes for Extreme Value Statistics
J. P. Bouchaud, M. Mezard
The low temperature physics of disordered systems is governed by the statistics of extremely low energy states. It is thus rather important to discuss the possible universality cla…
Missing Information and Asset Allocation
Jean-Philippe Bouchaud, Marc Potters, Jean-Pierre Aguilar
When the available statistical information is imperfect, it is dangerous to follow standard optimisation procedures to construct an optimal portfolio, which usually leads to a stro…
Scaling in stock market data: stable laws and beyond
Rama Cont, Marc Potters, Jean-Philippe Bouchaud
The concepts of scale invariance, self-similarity and scaling have been fruitfully applied to the study of price fluctuations in financial markets. After a brief review of the prop…
Out of equilibrium dynamics in spin-glasses and other glassy systems
Jean-Philippe Bouchaud, Leticia F. Cugliandolo, Jorge Kurchan +1
We review recent theoretical progress on glassy dynamics, with special emphasis on the importance and universality of the ``aging regime'', which is relevant to many experimental s…