1.3k citations · 18.6k across the 289 of their papers we have counts for
6 papers · 1 filter
Eigenvector dynamics: theory and some applications
Romain Allez, Jean-Philippe Bouchaud
We propose a general framework to study the stability of the subspace spanned by consecutive eigenvectors of a generic symmetric matrix , when a small perturbation i…
Models for the impact of all order book events
Zoltan Eisler, Jean-Philippe Bouchaud, Julien Kockelkoren
We propose a general framework to describe the impact of different events in the order book, that generalizes previous work on the impact of market orders. Two different modeling r…
Goodness-of-Fit tests with Dependent Observations
Remy Chicheportiche, Jean-Philippe Bouchaud
We revisit the Kolmogorov-Smirnov and Cramér-von Mises goodness-of-fit (GoF) tests and propose a generalisation to identically distributed, but dependent univariate random variable…
Erratum for: Smile dynamics -- a theory of the implied leverage effect
Stefano Ciliberti, Jean-Philippe Bouchaud, Marc Potters
We correct a mistake in the published version of our paper. Our new conclusion is that the "implied leverage effect" for single stocks is underestimated by option markets for short…
Anomalous price impact and the critical nature of liquidity in financial markets
Bence Toth, Yves Lemperiere, Cyril Deremble +3
We propose a dynamical theory of market liquidity that predicts that the average supply/demand profile is V-shaped and {\it vanishes} around the current price. This result is gener…
How does the market react to your order flow?
Bence Toth, Zoltan Eisler, Fabrizio Lillo +3
We present an empirical study of the intertwined behaviour of members in a financial market. Exploiting a database where the broker that initiates an order book event can be identi…