1.3k citations · 18.6k across the 289 of their papers we have counts for
11 papers · 1 filter
Do investors trade too much? A laboratory experiment
Joao da Gama Batista, Domenico Massaro, Jean-Philippe Bouchaud +2
We run experimental asset markets to investigate the emergence of excess trading and the occurrence of synchronised trading activity leading to crashes in the artificial markets. T…
Optimal Trading with Linear and (small) Non-Linear Costs
A. Rej, R. Benichou, J. de Lataillade +2
We reconsider the problem of optimal trading in the presence of linear and quadratic costs, for arbitrary linear costs but in the limit where quadratic costs are small. Using match…
Deconstructing the Low-Vol Anomaly
S. Ciliberti, Y. Lempérière, A. Beveratos +4
We study several aspects of the so-called low-vol and low-beta anomalies, some already documented (such as the universality of the effect over different geographical zones), others…
Quadratic Hawkes processes for financial prices
Pierre Blanc, Jonathan Donier, Jean-Philippe Bouchaud
We introduce and establish the main properties of QHawkes ("Quadratic" Hawkes) models. QHawkes models generalize the Hawkes price models introduced in E. Bacry et al. (2014), by al…
On growth-optimal tax rates and the issue of wealth inequalities
Jean-Philippe Bouchaud
We introduce a highly stylized, yet non trivial model of the economy, with a public and private sector coupled through a wealth tax and a redistribution policy. The model can be fu…
Spontaneous instabilities and stick-slip motion in a generalized Hebraud-Lequeux model
Jean-Philippe Bouchaud, Stanislao Gualdi, Marco Tarzia +1
We revisit the Hébraud-Lequeux (HL) model for the rheology of jammed materials and argue that a possibly important time scale is missing from HL's initial specification. We show th…