1.3k citations · 18.6k across the 289 of their papers we have counts for
13 papers · 1 filter
Turbulent fracture surfaces: A footprint of damage percolation?
Stephane Vernede, Laurent Ponson, Jean-Philippe Bouchaud
We show that a length scale xi can be extracted from the spatial correlations of the "steep cliffs" that appear on fracture surface. Above xi, the slope amplitudes are uncorrelated…
A fully consistent, minimal model for non-linear market impact
Jonathan Donier, Julius Bonart, Iacopo Mastromatteo +1
We propose a minimal theory of non-linear price impact based on a linear (latent) order book approximation, inspired by diffusion-reaction models and general arguments. Our framewo…
Revisiting Directed Polymers with heavy-tailed disorder
Thomas Gueudré, Pierre Le Doussal, Jean-Philippe Bouchaud +1
In this mostly numerical study, we revisit the statistical properties of the ground state of a directed polymer in a "hilly" disorder landscape, i.e. when the quenched diso…
Endogenous crisis waves: a stochastic model with synchronized collective behavior
Stanislao Gualdi, Jean-Philippe Bouchaud, Giulia Cencetti +2
We propose a simple framework to understand commonly observed crisis waves in macroeconomic Agent Based models, that is also relevant to a variety of other physical or biological s…
Sudden Trust Collapse in Networked Societies
João da Gama Batista, Jean-Philippe Bouchaud, Damien Challet
Trust is a collective, self-fulfilling phenomenon that suggests analogies with phase transitions. We introduce a stylized model for the build-up and collapse of trust in networks,…
Risk Premia: Asymmetric Tail Risks and Excess Returns
Y. Lempérière, C. Deremble, T. T. Nguyen +3
We present extensive evidence that ``risk premium'' is strongly correlated with tail-risk skewness but very little with volatility. We introduce a new, intuitive definition of skew…