24 papers
Spectra of high-dimensional Spearman correlation matrices under scale-mixture dependence
Jean-Philippe Bouchaud, Pierre Bousseyroux, Tomas Espana +1
We study the asymptotic spectral properties of high-dimensional Spearman correlation matrices for scale-mixture data. We consider observations of the form $x_t=Ï_t ξ_t \in \mathb…
Non-Equilibrium Economics: A Physicist's Point of View
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…
Resilient-to-Fragile Transition and Excess Volatility in Supply Chain Networks
David Martin, José Moran, Debabrata Panja +1
We study a production network in which firms use non-substitutable (Leontief) inputs, hold precautionary inventories and face idiosyncratic productivity shocks, with adjustment occ…
Is Trend Still Your Friend?: A Microstructural Account of the Demise of Short-Term Trend-Following
Jutta G. Kurth, Zoltan Eisler, Adam Rej +1
Systematic trend following has, on average, been profitable for at least two centuries; yet since approximately 2009, short-term trends have ceased to deliver reliable returns. Usi…
A Nested Factor Model for Equity Markets: Reconciling Multifractal Stock Returns and Rough Index Volatilities
Othmane Zarhali, Cecilia Aubrun, Emmanuel Bacry +2
The Nested factor model was introduced by Chicheportiche et al. to represent non-linear correlations between stocks. Stock returns are explained by a standard factor model, but the…
Revisiting the Excess Volatility Puzzle Through the Lens of the Chiarella Model
Jutta G. Kurth, Adam A. Majewski, Jean-Philippe Bouchaud
We amend and extend the Chiarella model of financial markets to deal with arbitrary long-term value drifts in a consistent way. This allows us to improve upon existing calibration…