1.3k citations · 18.6k across the 289 of their papers we have counts for
10 papers · 1 filter
Direct experimental evidence of a growing length scale accompanying the glass transition
Ludovic Berthier, Giulio Biroli, Jean-Philippe Bouchaud +5
Understanding glass formation is a challenge because the existence of a true glass state, distinct from liquid and solid, remains elusive: Glasses are liquids that have become too…
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…
On a multi-timescale statistical feedback model for volatility fluctuations
L. Borland, J. -Ph. Bouchaud
We study, both analytically and numerically, an ARCH-like, multiscale model of volatility, which assumes that the volatility is governed by the observed past price changes on diffe…
Disorder chaos in spin glasses
Florent Krzakala, Jean-Philippe Bouchaud
We investigate numerically disorder chaos in spin glasses, i.e. the sensitivity of the ground state to small changes of the random couplings. Our study focuses on the Edwards-Ander…
Theory of collective opinion shifts: from smooth trends to abrupt swings
Quentin Michard, Jean-Philippe Bouchaud
We unveil collective effects induced by imitation and social pressure by analyzing data from three different sources: birth rates, sales of cell phones and the drop of applause in…
Non-linear susceptibility in glassy systems: a probe for cooperative dynamical length scales
Jean-Philippe Bouchaud, Giulio Biroli
We argue that for generic systems close to a critical point, an extended Fluctuation-Dissipation relation connects the low frequency non-linear (cubic) susceptibility to the four-p…
The Dynamics of Financial Markets -- Mandelbrot's multifractal cascades, and beyond
Lisa Borland, Jean-Philippe Bouchaud, Jean-Francois Muzy +1
This is a short review in honor of B. Mandelbrot's 80st birthday, to appear in W ilmott magazine. We discuss how multiplicative cascades and related multifractal ideas might be rel…
Subdiffusion and dynamical heterogeneities in a lattice glass model
Eric Bertin, Jean-Philippe Bouchaud, Francois Lequeux
We study a kinetically constrained lattice glass model in which continuous local densities are randomly redistributed on neighbouring sites with a kinetic constraint that inhibits…