1.3k citations · 18.6k across the 289 of their papers we have counts for
9 papers · 1 filter
Anomalous non-linear response of glassy liquids: general arguments and a Mode-Coupling approach
Marco Tarzia, Giulio Biroli, Jean-Philippe Bouchaud +1
We study theoretically the non-linear response properties of glass formers. We establish several general results which, together with the assumption of Time-Temperature Superpositi…
Economics need a scientific revolution
Jean-Philippe Bouchaud
I argue that the current financial crisis highlights the crucial need of a change of mindset in economics and financial engineering, that should move away from dogmatic axioms and…
Smile dynamics -- a theory of the implied leverage effect
Stefano Ciliberti, Jean-Philippe Bouchaud, Marc Potters
We study in details the skew of stock option smiles, which is induced by the so-called leverage effect on the underlying -- i.e. the correlation between past returns and future squ…
Optimal Time to Sell a Stock in Black-Scholes Model: Comment on "Thou shall buy and hold", by A. Shiryaev, Z. Xu and X.Y. Zhou
Satya N. Majumdar, Jean-Philippe Bouchaud
We reconsider the problem of optimal time to sell a stock studied recently by Shiryaev, Xu and Zhou using path integral methods. This method allows us to confirm the results obtain…
How markets slowly digest changes in supply and demand
Jean-Philippe Bouchaud, J. Doyne Farmer, Fabrizio Lillo
In this article we revisit the classic problem of tatonnement in price formation from a microstructure point of view, reviewing a recent body of theoretical and empirical work expl…
Thermodynamic signature of growing amorphous order in glass-forming liquids
G. Biroli, J. -P. Bouchaud, A. Cavagna +2
Although several theories relate the steep slowdown of glass formers to increasing spatial correlations of some sort, standard static correlation functions show no evidence for thi…
Freezing and extreme value statistics in a Random Energy Model with logarithmically correlated potential
Yan V Fyodorov, Jean-Philippe Bouchaud
We investigate some implications of the freezing scenario proposed by Carpentier and Le Doussal (CLD) for a random energy model (REM) with logarithmically correlated random potenti…
Stock price jumps: news and volume play a minor role
Armand Joulin, Augustin Lefevre, Daniel Grunberg +1
In order to understand the origin of stock price jumps, we cross-correlate high-frequency time series of stock returns with different news feeds. We find that neither idiosyncratic…
Spin glass behavior in an interacting gamma-Fe2O3 nanoparticle system
D. Parker, V. Dupuis, F. Ladieu +4
In this paper we investigate the superspin glass behavior of a concentrated assembly of interacting maghemite nanoparticles and compare it to that of canonical atomic spin glass sy…