250 citations · 1.3k across the 60 of their papers we have counts for
9 papers · 1 filter
Effect of a weak current on wind-generated waves in the wrinkle regime
C. Nove-Josserand, S. Perrard, A. Lozano-Duran +3
We investigate numerically the influence of a weak current on wind-generated surface deformations for wind velocity below the onset of regular waves. In that regime, the liquid sur…
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…
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…
Physics of rowing oars
Romain Labbé, Jean-Philippe Boucher, Christophe Clanet +1
In each rowing sport, the oars have their very own characteristics most of the time selected through a long time experience. Here we address experimentally and theoretically the pr…
Wave drag on asymmetric bodies
GP Benham, JP Boucher, R Labbe +2
An asymmetric body with a sharp leading edge and a rounded trailing edge produces a smaller wave disturbance moving forwards than backwards, and this is reflected in the wave drag…
Are trading invariants really invariant? Trading costs matter
Frédéric Bucci, Fabrizio Lillo, Jean-Philippe Bouchaud +1
We revisit the trading invariance hypothesis recently proposed by Kyle and Obizhaeva by empirically investigating a large dataset of bets, or metaorders, provided by ANcerno. The h…
Slow decay of impact in equity markets: insights from the ANcerno database
Frédéric Bucci, Michael Benzaquen, Fabrizio Lillo +1
We present an empirical study of price reversion after the executed metaorders. We use a data set with more than 8 million metaorders executed by institutional investors in the US…