1.3k citations · 18.6k across the 289 of their papers we have counts for
11 papers · 1 filter
Invariant -Wishart ensembles, crossover densities and asymptotic corrections to the Marchenko-Pastur law
Romain Allez, Jean-Philippe Bouchaud, Satya N. Majumdar +1
We construct a diffusive matrix model for the -Wishart (or Laguerre) ensemble for general continuous , which preserves invariance under the orthogonal/unitary group…
Evidence of growing spatial correlations during the aging of glassy glycerol
C. Brun, F. Ladieu, L'Hôte +2
We have measured, as a function of the age , the aging of the nonlinear dielectric susceptibility of glycerol below the glass transition. Whereas the linear susceptibili…
Crises and collective socio-economic phenomena: simple models and challenges
Jean-Philippe Bouchaud
Financial and economic history is strewn with bubbles and crashes, booms and busts, crises and upheavals of all sorts. Understanding the origin of these events is arguably one of t…
Weighted Kolmogorov-Smirnov test: Accounting for the tails
Rémy Chicheportiche, Jean-Philippe Bouchaud
Accurate goodness-of-fit tests for the extreme tails of empirical distributions is a very important issue, relevant in many contexts, including geophysics, insurance, and finance.…
The fine-structure of volatility feedback I: multi-scale self-reflexivity
Rémy Chicheportiche, Jean-Philippe Bouchaud
We attempt to unveil the fine structure of volatility feedback effects in the context of general quadratic autoregressive (QARCH) models, which assume that today's volatility can b…
Invariant -ensembles and the Gauss-Wigner crossover
Romain Allez, Jean-Philippe Bouchaud, Alice Guionnet
We define a new diffusive matrix model converging towards the -Dyson Brownian motion for all that provides an explicit construction of -ensembles of random matr…
We've walked a million miles for one of these smiles
L. De Leo, V. Vargas, S. Ciliberti +1
We derive a new, exact and transparent expansion for option smiles, which lends itself both to analytical approximation and, perhaps more importantly, to congenial numerical treatm…
A proposal for impact-adjusted valuation: Critical leverage and execution risk
Fabio Caccioli, Jean-Philippe Bouchaud, J. Doyne Farmer
The practice of valuation by marking-to-market with current trading prices is seriously flawed. Under leverage the problem is particularly dramatic: due to the concave form of mark…
Optimal Trading with Linear Costs
Joachim de Lataillade, Cyril Deremble, Marc Potters +1
We consider the problem of the optimal trading strategy in the presence of linear costs, and with a strict cap on the allowed position in the market. Using Bellman's backward recur…
Eigenvector dynamics: general 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…
Election turnout statistics in many countries: similarities, differences, and a diffusive field model for decision-making
Christian Borghesi, Jean-Claude Raynal, Jean-Philippe Bouchaud
We study in details the turnout rate statistics for 77 elections in 11 different countries. We show that the empirical results established in a previous paper for French elections…