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The Random First-Order Transition Theory of Glasses: a critical assessment
G. Biroli, J. P. Bouchaud
The aim of this paper is to summarise the basic arguments and the intuition bolstering the RFOT picture for glasses, based on a finite dimensional extension of mean-field models wi…
Financial Applications of Random Matrix Theory: a short review
J. P. Bouchaud, M. Potters
We discuss the applications of Random Matrix Theory in the context of financial markets and econometric models, a topic about which a considerable number of papers have been devote…
Predictive power of MCT: Numerics and Finite size scaling for a mean field spin glass
Thomas Sarlat, Alain Billoire, Giulio Biroli +1
The aim of this paper is to test numerically the predictions of the Mode Coupling Theory (MCT) of the glass transition and study its finite size scaling properties in a model with…
The (unfortunate) complexity of the economy
Jean-Philippe Bouchaud
This article is a follow-up of a short essay that appeared in Nature 455, 1181 (2008) [arXiv:0810.5306]. It has become increasingly clear that the erratic dynamics of markets is mo…
Mode-Coupling as a Landau Theory of the Glass Transition
A. Andreanov, G. Biroli, J. -P. Bouchaud
We derive the Mode Coupling Theory (MCT) of the glass transition as a Landau theory, formulated as an expansion of the exact dynamical equations in the difference between the corre…
The price impact of order book events: market orders, limit orders and cancellations
Zoltan Eisler, Jean-Philippe Bouchaud, Julien Kockelkoren
While the long-ranged correlation of market orders and their impact on prices has been relatively well studied in the literature, the corresponding studies of limit orders and canc…
Price Impact
J. P. Bouchaud
We define what "Price Impact" means, and how it is measured and modelled in the recent literature. Although this notion seems to convey the idea of a forceful and intuitive mechani…