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19932026
most citedNoise Dressing of Financial Correlation Matrices

1.3k citations · 18.6k across the 289 of their papers we have counts for

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8 papers · 1 filter

cond-mat.stat-mech2006★ 77 cited

Critical fluctuations and breakdown of Stokes-Einstein relation in the Mode-Coupling Theory of glasses

Giulio Biroli, Jean-Philippe Bouchaud

We argue that the critical dynamical fluctuations predicted by the mode-coupling theory (MCT) of glasses provide a natural mechanism to explain the breakdown of the Stokes-Einstein…

cond-mat.stat-mech2006★ 109 cited

On the top eigenvalue of heavy-tailed random matrices

Giulio Biroli, Jean-Philippe Bouchaud, Marc Potters

We study the statistics of the largest eigenvalue lambda_max of N x N random matrices with unit variance, but power-law distributed entries, P(M_{ij})~ |M_{ij}|^{-1-mu}. When mu >…

cond-mat.stat-mech2006★ 178 cited

Spontaneous and induced dynamic correlations in glass-formers II: Model calculations and comparison to numerical simulations

Ludovic Berthier, Giulio Biroli, Jean-Philippe Bouchaud +3

We study in detail the predictions of various theoretical approaches, in particular mode-coupling theory (MCT) and kinetically constrained models (KCMs), concerning the time, tempe…

cond-mat.stat-mech2006★ 253 cited

Spontaneous and induced dynamic fluctuations in glass-formers I: General results and dependence on ensemble and dynamics

Ludovic Berthier, Giulio Biroli, Jean-Philippe Bouchaud +3

We study theoretically and numerically a family of multi-point dynamic susceptibilities that quantify the strength and characteristic lengthscales of dynamic heterogeneities in gla…

physics.data-an2006★ 3 cited

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…

cond-mat.stat-mech2006★ 313 cited

Inhomogeneous Mode-Coupling Theory and Growing Dynamic Length in Supercooled Liquids

Giulio Biroli, Jean-Philippe Bouchaud, Kunimasa Miyazaki +1

We extend Mode-Coupling Theory (MCT) to inhomogeneous situations, relevant for supercooled liquid in pores, close to a surface, or in an external field. We compute the response of…

physics.data-an2006★ 16 cited

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…

cond-mat.stat-mech2006★ 44 cited

Field theories and exact stochastic equations for interacting particle systems

Alexei Andreanov, Giulio Biroli, Jean-Philippe Bouchaud +1

We present a new approach to the dynamics of interacting particles with reaction and diffusion. Starting from the underlying discrete stochastic jump process we derive a general fi…