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Endogenous Liquidity Crises
Antoine Fosset, Jean-Philippe Bouchaud, Michael Benzaquen
Empirical data reveals that the liquidity flow into the order book (depositions, cancellations andmarket orders) is influenced by past price changes. In particular, we show that li…
Beauty and structural complexity
Samy Lakhal, Alexandre Darmon, Jean-Philippe Bouchaud +1
We revisit the long-standing question of the relation between image appreciation and its statistical properties. We generate two different sets of random images well distributed al…
Confidence Collapse in a Multi-Household, Self-Reflexive DSGE Model
Federico Guglielmo Morelli, Michael Benzaquen, Marco Tarzia +1
We investigate a multi-household DSGE model in which past aggregate consumption impacts the confidence, and therefore consumption propensity, of individual households. We find that…
The Case for Long-Only Agnostic Allocation Portfolios
Pierre-Alain Reigneron, Vincent Nguyen, Stefano Ciliberti +2
We advocate the use of Agnostic Allocation for the construction of long-only portfolios of stocks. We show that Agnostic Allocation Portfolios (AAPs) are a special member of a fami…
Self-planting: digging holes in rough landscapes
Dhruv Sharma, Jean-Philippe Bouchaud, Marco Tarzia +1
Motivated by a potential application in economics, we investigate a simple dynamical scheme to produce planted solutions in optimization problems with continuous variables. We cons…
Impact is not just volatility
Frédéric Bucci, Iacopo Mastromatteo, Michael Benzaquen +1
The notion of market impact is subtle and sometimes misinterpreted. Here we argue that impact should not be misconstrued as volatility. In particular, the so-called ``square-root i…