250 citations · 1.3k across the 60 of their papers we have counts for
14 papers · 1 filter
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…
Unsteady Wave Drag on a Disturbance Moving Along an Arbitrary Trajectory
Lucas Gierczak, Assil Fadle, Maxence Arutkin +2
We derive analytical formulas for the wake and wave drag of a disturbance moving arbitrarily at the air-water interface. We show that, provided a constant velocity is reached in fi…
Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events
Antoine Fosset, Jean-Philippe Bouchaud, Michael Benzaquen
We propose an actionable calibration procedure for general Quadratic Hawkes models of order book events (market orders, limit orders, cancellations). One of the main features of su…
Schrödinger's ants: A continuous description of Kirman's recruitment model
José Moran, Antoine Fosset, Michael Benzaquen +1
We show how the approach to equilibrium in Kirman's ants model can be fully characterized in terms of the spectrum of a Schrödinger equation with a Pöschl-Teller () potenti…
How to build a cross-impact model from first principles: Theoretical requirements and empirical results
Mehdi Tomas, Iacopo Mastromatteo, Michael Benzaquen
Trading a financial instrument pushes its price and those of other assets, a phenomenon known as cross-impact. To be of use, cross-impact models must fit data and be well-behaved s…
By Force of Habit: Self-Trapping in a Dynamical Utility Landscape
José Moran, Antoine Fosset, Davide Luzzati +2
Historically, rational choice theory has focused on the utility maximization principle to describe how individuals make choices. In reality, there is a computational cost related t…
Hysteretic wave drag in shallow water
GP Benham, R Bendimerad, M Benzaquen +1
During motion from deep to shallow water, multiple equilibria may emerge, each with identical drag - a phenomenon that can be explained by a localised amplification of the wave dra…
Bouncing, chasing or pausing: asymmetric collisions of active droplets
Kevin Lippera, Michael Benzaquen, Sebastien Michelin
Chemically-active droplets exhibit complex avoiding trajectories. While heterogeneity is inevitable in active matter experiments, it is mostly overlooked in their modelling. Exploi…
Zooming In on Equity Factor Crowding
Valerio Volpati, Michael Benzaquen, Zoltan Eisler +3
Crowding is most likely an important factor in the deterioration of strategy performance, the increase of trading costs and the development of systemic risk. We study the imprints…
Conditional Correlations and Principal Regression Analysis for Futures
Armine Karami, Raphael Benichou, Michael Benzaquen +1
We explore the effect of past market movements on the instantaneous correlations between assets within the futures market. Quantifying this effect is of interest to estimate and ma…