1.3k citations · 18.6k across the 289 of their papers we have counts for
18 papers · 1 filter
Noise Dressing of Financial Correlation Matrices
Laurent Laloux, Pierre Cizeau, Jean-Philippe Bouchaud +1
We show that results from the theory of random matrices are potentially of great interest to understand the statistical structure of the empirical correlation matrices appearing in…
Comment on ``Roughening Transition of Interfaces in Disordered Media''
Anusha Hazareesing, Jean-Philippe Bouchaud
Emig and Nattermann (Phys. Rev. Lett. 81, 1469 (1998)) have recently investigated the competition between lattice pinning and impurity pinning using a Renormalisation Group (RG) ap…
Back to basics: historical option pricing revisited
Jean-Philippe Bouchaud, Marc Potters
We reconsider the problem of option pricing using historical probability distributions. We first discuss how the risk-minimisation scheme proposed recently is an adequate starting…
Jamming and Stress Propagation in Particulate Matter
M. E. Cates, J. P. Wittmer, J. -P. Bouchaud +1
We present simple models of particulate materials whose mechanical integrity arises from a jamming process. We argue that such media are generically "fragile", that is, they are un…
Elements for a Theory of Financial Risks
Jean-Philippe Bouchaud
Estimating and controlling large risks has become one of the main concern of financial institutions. This requires the development of adequate statistical models and theoretical to…
Memory and Chaos Effects in Spin Glasses
K. Jonason, E. Vincent, J. Hammann +2
New low frequency ac susceptibility measurements on two different spin glasses show that cooling/heating the sample at a constant rate yields an essentially reversible (but rate de…
Generalized persistence exponents: an exactly soluble model
A. Baldassarri, J. P. Bouchaud, I. Dornic +1
It was recently realized that the persistence exponent appearing in the dynamics of nonequilibrium systems is a special member of a continuously varying family of exponents, descri…
Aging in KLiTa0: a domain growth interpretation
F. Alberici-Kious, J. -P. Bouchaud, L. F Cugliandolo +2
The aging behaviour of the a.c. susceptibility of randomly substituted KLiTa0 crystals reveals marked differences with spin-glasses in that cooling rate effects are…
Are Financial Crashes Predictable?
Laurent Laloux, Marc Potters, Rama Cont +2
We critically review recent claims that financial crashes can be predicted using the idea of log-periodic oscillations or by other methods inspired by the physics of critical pheno…
Development of Stresses in Cohesionless Poured Sand
M. E. Cates, J. Wittmer, J. P. Bouchaud +1
The pressure distribution beneath a conical sandpile, created by pouring sand from a point source onto a rough rigid support, shows a pronounced minimum below the apex (`the dip').…
Jamming, Force Chains and Fragile Matter
M. E. Cates, J. Wittmer, J. P. Bouchaud +1
We consider materials whose mechanical integrity is the result of a jamming process. We argue that such media are generically "fragile": unable to support certain types of incremen…
A Langevin Approach to Stock Market Fluctuations and Crashes
Jean-Philippe Bouchaud, Rama Cont
We propose a non linear Langevin equation as a model for stock market fluctuations and crashes. This equation is based on an identification of the different processes influencing t…
A model for ripple instabilities in granular media
Orestis Terzidis, Philippe Claudin, Jean-Philippe Bouchaud
We extend the model of surface granular flow proposed in \cite{bcre} to account for the effect of an external `wind', which acts as to dislodge particles from the static bed, such…
Rational Decisions, Random Matrices and Spin Glasses
Stefano Galluccio, Jean-Philippe Bouchaud, Marc Potters
We consider the problem of rational decision making in the presence of nonlinear constraints. By using tools borrowed from spin glass and random matrix theory, we focus on the port…
Localisation in 1D random random walks
Albert Compte, Jean-Philippe Bouchaud
Diffusion in a one dimensional random force field leads to interesting localisation effects, which we study using the equivalence with a directed walk model with traps. We show tha…
Triangular avalanches and uphill instabilities
Jean-Philippe Bouchaud, Michael Cates
Recent experiments show that an avalanche initiated from a point source propagates downwards by invading a triangular shaped region. The opening angle of this triangle appears to r…
Stick-slip Transition in the Scalar Arching Model
Philippe Claudin, Jean-Philippe Bouchaud
When some granular material contained into a silo is pushed upwards with a piston, an irregular stick-slip motion of the system of grains is observed. We show how one can adapt the…
Herd behavior and aggregate fluctuations in financial markets
Rama Cont, Jean-Philippe Bouchaud
We present a simple model of a stock market where a random communication structure between agents gives rise to a heavy tails in the distribution of stock price variations in the f…