250 citations · 1.3k across the 60 of their papers we have counts for
76 papers
Wrapping and unwrapping multifractal fields
Samy Lakhal, Laurent Ponson, Michael Benzaquen +1
We develop a powerful yet simple method that generates multifractal fields with fully controlled scaling properties. Adopting the Multifractal Random Walk (MRW) model of Bacry et a…
Socioeconomic agents as active matter in nonequilibrium Sakoda-Schelling models
Ruben Zakine, Jerome Garnier-Brun, Antoine-Cyrus Becharat +1
How robust are socioeconomic agent-based models with respect to the details of the agents' decision rule? We tackle this question by considering an occupation model in the spirit o…
When is cross impact relevant?
Victor Le Coz, Iacopo Mastromatteo, Damien Challet +1
Trading pressure from one asset can move the price of another, a phenomenon referred to as cross impact. Using tick-by-tick data spanning 5 years for 500 assets listed in the Unite…
Multiscale Relevance of Natural Images
Samy Lakhal, Alexandre Darmon, Iacopo Mastromatteo +2
We use an agnostic information-theoretic approach to investigate the statistical properties of natural images. We introduce the Multiscale Relevance (MSR) measure to assess the rob…
Microfounding GARCH Models and Beyond: A Kyle-inspired Model with Adaptive Agents
Michele Vodret, Iacopo Mastromatteo, Bence Toth +1
We relax the strong rationality assumption for the agents in the paradigmatic Kyle model of price formation, thereby reconciling the framework of asymmetrically informed traders wi…
Bounded Rationality and Animal Spirits: A Fluctuation-Response Approach to Slutsky Matrices
Jerome Garnier-Brun, Jean-Philippe Bouchaud, Michael Benzaquen
The Slutsky equation, central in consumer choice theory, is derived from the usual hypotheses underlying most standard models in Economics, such as full rationality, homogeneity, a…
Multivariate Quadratic Hawkes Processes -- Part I: Theoretical Analysis
Cécilia Aubrun, Michael Benzaquen, Jean-Philippe Bouchaud
Quadratic Hawkes (QHawkes) processes have proved effective at reproducing the statistics of price changes, capturing many of the stylised facts of financial markets. Motivated by t…
Paragliders' Launch Trajectory is Universal
Quentin Da Cruz Lopes, Sophie Ramananarivo, Caroline Cohen +1
We designed and built a reduced-scale model experiment to study the paragliding inflation and launching phase at given traction force. We show that the launch trajectory of a singl…
Valveless pumping at low Reynolds numbers
Amselem Gabriel, Clanet Christophe, Benzaquen Michael
Pumping at low Reynolds number is a ubiquitously encountered feature, both in biological organisms and engineered devices. Generating net flow requires the presence of an asymmetry…
A New Spin on Color Quantization
Samy Lakhal, Alexandre Darmon, Michael Benzaquen
We address the problem of image color quantization using a Maximum Entropy based approach. Focusing on pixel mapping we argue that adding thermal noise to the system yields better…
Do fundamentals shape the price response? A critical assessment of linear impact models
Michele Vodret, Iacopo Mastromatteo, Bence Tóth +1
We compare the predictions of the stationary Kyle model, a microfounded multi-step linear price impact model in which market prices forecast fundamentals through information encode…
On Hawkes Processes with Infinite Mean Intensity
Cecilia Aubrun, Michael Benzaquen, Jean-Philippe Bouchaud
The stability condition for Hawkes processes and their non-linear extensions usually relies on the condition that the mean intensity is a finite constant. It follows that the total…
Exploration of the Parameter Space in Macroeconomic Agent-Based Models
Karl Naumann-Woleske, Max Sina Knicker, Michael Benzaquen +1
Agent-Based Models (ABM) are computational scenario-generators, which can be used to predict the possible future outcomes of the complex system they represent. To better understand…
Capital Demand Driven Business Cycles: Mechanism and Effects
Karl Naumann-Woleske, Michael Benzaquen, Maxim Gusev +1
We develop a tractable macroeconomic model that captures dynamic behaviors across multiple timescales, including business cycles. The model is anchored in a dynamic capital demand…
Economic Crises in a Model with Capital Scarcity and Self-Reflexive Confidence
Federico Guglielmo Morelli, Karl Naumann-Woleske, Michael Benzaquen +2
In the General Theory, Keynes remarked that the economy's state depends on expectations, and that these expectations can be subject to sudden swings. In this work, we develop a mul…
Exogenous and Endogenous Price Jumps Belong to Different Dynamical Classes
Riccardo Marcaccioli, Jean-Philippe Bouchaud, Michael Benzaquen
Synchronising a database of stock specific news with 5 years worth of order book data on 300 stocks, we show that abnormal price movements following news releases (exogenous) exhib…
A new spin on optimal portfolios and ecological equilibria
Jerome Garnier-Brun, Michael Benzaquen, Stefano Ciliberti +1
We consider the classical problem of optimal portfolio construction with the constraint that no short position is allowed, or equivalently the valid equilibria of multispecies Lotk…
Cross impact in derivative markets
Mehdi Tomas, Iacopo Mastromatteo, Michael Benzaquen
Trading a financial asset pushes its price as well as the prices of other assets, a phenomenon known as cross-impact. The empirical estimation of this effect on complex financial i…
Crisis Propagation in a Heterogeneous Self-Reflexive DSGE Model
Federico Guglielmo Morelli, Michael Benzaquen, Jean-Philippe Bouchaud +1
We study a self-reflexive DSGE model with heterogeneous households, aimed at characterising the impact of economic recessions on the different strata of the society. Our framework…
Why does individual learning endure when crowds are wiser?
Benoît de Courson, Léo Fitouchi, Jean-Philippe Bouchaud +1
The ability to learn from others (social learning) is often deemed a cause of human species success. But if social learning is indeed more efficient (whether less costly or more ac…
Out-of-Equilibrium Dynamics and Excess Volatility in Firm Networks
Théo Dessertaine, José Moran, Michael Benzaquen +1
We study the conditions under which input-output networks can dynamically attain a competitive equilibrium, where markets clear and profits are zero. We endow a classical firm netw…
A Stationary Kyle Setup: Microfounding propagator models
Michele Vodret, Iacopo Mastromatteo, Bence Tóth +1
We provide an economically sound micro-foundation to linear price impact models, by deriving them as the equilibrium of a suitable agent-based system. Our setup generalizes the wel…
Alignment and scattering of colliding active droplets
Kevin Lippera, Michael Benzaquen, Sebastien Michelin
Active droplets emit a chemical solute at their surface that modifies their local interfacial tension. They exploit the nonlinear coupling of the convective transport of solute to…
From Ants to Fishing Vessels: A Simple Model for Herding and Exploitation of Finite Resources
José Moran, Antoine Fosset, Alan Kirman +1
We analyse the dynamics of fishing vessels with different home ports in an area where these vessels, in choosing where to fish, are influenced by their own experience in the past a…