38 citations · 74 across the 6 of their papers we have counts for
4 papers · 1 filter
Trap Model and Slow Dynamics in Supercooled Liquids
R. Aldrin Denny, David R. Reichman, Jean-Philippe Bouchaud
The predictions of a class of phenomenological trap models of supercooled liquids are tested via computer simulation of a model glass-forming liquid. It is found that a model with…
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…