This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Publications

by members of

Science & Finance
Paris, France

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institutions, not those affilated at the time of publication. List of registered members. Register yourself. This page is updated in the first days of each month.
| Working papers | Journal articles |

Working papers

    2009

  1. J. P. Bouchaud & M. Potters, 2009. "Financial Applications of Random Matrix Theory: a short review," Quantitative Finance Papers 0910.1205, arXiv.org. [Downloadable!]

    2008

  1. Stefano Ciliberti & Jean-Philippe Bouchaud & Marc Potters, 2008. "Smile dynamics -- a theory of the implied leverage effect," Quantitative Finance Papers 0809.3375, arXiv.org. [Downloadable!]

    2007

  1. Giulio Biroli & Jean-Philippe Bouchaud & Marc Potters, 2007. "The Student ensemble of correlation matrices: eigenvalue spectrum and Kullback-Leibler entropy," Quantitative Finance Papers 0710.0802, arXiv.org. [Downloadable!]

    2006

  1. Matthieu Wyart & Jean-Philippe Bouchaud & Julien Kockelkoren & Marc Potters & Michele Vettorazzo, 2006. "Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets," Science & Finance (CFM) working paper archive 500067, Science & Finance, Capital Fund Management. [Downloadable!]
  2. Matthieu Wyart & Jean-Philippe Bouchaud & Julien Kockelkoren & Marc Potters & Michele Vettorazzo, 2006. "Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets," Quantitative Finance Papers physics/0603084, arXiv.org, revised Mar 2007. [Downloadable!]

    2005

  1. Marc Potters & Jean-Philippe Bouchaud & Laurent Laloux, 2005. "Financial Applications of Random Matrix Theory: Old Laces and New Pieces," Science & Finance (CFM) working paper archive 500058, Science & Finance, Capital Fund Management. [Downloadable!]
  2. Marc Potters & Jean-Philippe Bouchaud, 2005. "Trend followers lose more often than they gain," Science & Finance (CFM) working paper archive 500065, Science & Finance, Capital Fund Management. [Downloadable!]
  3. Jean-Philippe Bouchaud & Laurent Laloux & M. Augusta Miceli & Marc Potters, 2005. "Large dimension forecasting models and random singular value spectra," Science & Finance (CFM) working paper archive 500066, Science & Finance, Capital Fund Management. [Downloadable!]
  4. Marc Potters & Jean-Philippe Bouchaud, 2005. "Trend followers lose more often than they gain," Quantitative Finance Papers physics/0508104, arXiv.org. [Downloadable!]
  5. Jean-Philippe Bouchaud & Laurent Laloux & M. Augusta Miceli & Marc Potters, 2005. "Large dimension forecasting models and random singular value spectra," Quantitative Finance Papers physics/0512090, arXiv.org. [Downloadable!]
  6. M. Potters & J. P. Bouchaud & L. Laloux, 2005. "Financial Applications of Random Matrix Theory: Old Laces and New Pieces," Quantitative Finance Papers physics/0507111, arXiv.org. [Downloadable!]

    2004

  1. Szilard Pafka & Marc Potters & Imre Kondor, 2004. "Exponential Weighting and Random-Matrix-Theory-Based Filtering of Financial Covariance Matrices for Portfolio Optimization," Science & Finance (CFM) working paper archive 500050, Science & Finance, Capital Fund Management. [Downloadable!]
  2. Jean-Philippe Bouchaud & Julien Kockelkoren & Marc Potters, 2004. "Random walks, liquidity molasses and critical response in financial markets," Science & Finance (CFM) working paper archive 500063, Science & Finance, Capital Fund Management. [Downloadable!]
  3. J. -P. Bouchaud & J. Kockelkoren & M. Potters, 2004. "Random walks, liquidity molasses and critical response in financial markets," Quantitative Finance Papers cond-mat/0406224, arXiv.org, revised Jun 2004. [Downloadable!]
  4. Szilard Pafka & Marc Potters & Imre Kondor, 2004. "Exponential Weighting and Random-Matrix-Theory-Based Filtering of Financial Covariance Matrices for Portfolio Optimization," Quantitative Finance Papers cond-mat/0402573, arXiv.org. [Downloadable!]

    2003

  1. Marc Potters & Jean-Philippe Bouchaud, 2003. "Comment on: "Two-phase behaviour of financial markets"," Science & Finance (CFM) working paper archive 50002, Science & Finance, Capital Fund Management. [Downloadable!]
  2. Jean-Philippe Bouchaud & Yuval Gefen & Marc Potters & Matthieu Wyart, 2003. "Fluctuations and response in financial markets: the subtle nature of `random' price changes," Quantitative Finance Papers cond-mat/0307332, arXiv.org, revised Aug 2003. [Downloadable!]

    2001

  1. Marc Potters & Jean-Philippe Bouchaud & Dragan Sestovic, 2001. "Hedge your Monte Carlo," Science & Finance (CFM) working paper archive 500032, Science & Finance, Capital Fund Management.
  2. Fabrizio Lillo & Rosario N. Mantegna & Jean-Philippe Bouchaud & Marc Potters, 2001. "Introducing Variety in Risk Management," Quantitative Finance Papers cond-mat/0107208, arXiv.org. [Downloadable!]

    2000

  1. Lorenzo Cornalba & Jean-Philippe Bouchaud & Marc Potters, 2000. "Option pricing and hedging with temporal correlations," Science & Finance (CFM) working paper archive 500030, Science & Finance, Capital Fund Management. [Downloadable!]
  2. Marc Potters & Jean-Philippe Bouchaud & Dragan Sestovic, 2000. "Hedged Monte-Carlo: low variance derivative pricing with objective probabilities," Science & Finance (CFM) working paper archive 500031, Science & Finance, Capital Fund Management. [Downloadable!]
  3. Pierre Cizeau & Marc Potters & Jean-Philippe Bouchaud, 2000. "Correlation structure of extreme stock returns," Quantitative Finance Papers cond-mat/0006034, arXiv.org, revised Jan 2001. [Downloadable!]

    1999

  1. Laurent Laloux & Pierre Cizeau & Jean-Philippe Bouchaud & Marc Potters, 1999. "Random matrix theory," Science & Finance (CFM) working paper archive 500052, Science & Finance, Capital Fund Management.
  2. Laurent Laloux & Pierre Cizeau & Jean-Philippe Bouchaud & Marc Potters, 1999. "Random matrix theory and financial correlations," Science & Finance (CFM) working paper archive 500053, Science & Finance, Capital Fund Management. [Downloadable!]

    1998

  1. Jean-Philippe Bouchaud & Marc Potters, 1998. "Back to basics: historical option pricing revisited," Science & Finance (CFM) working paper archive 500036, Science & Finance, Capital Fund Management. [Downloadable!]
  2. Jean-Philippe Bouchaud & Nicolas Sagna & Rama Cont & Nicole El-Karoui & Marc Potters, 1998. "Strings Attached," Science & Finance (CFM) working paper archive 500049, Science & Finance, Capital Fund Management.
  3. Laurent Laloux & Pierre Cizeau & Jean-Philippe Bouchaud & Marc Potters, 1998. "Noise dressing of financial correlation matrices," Science & Finance (CFM) working paper archive 500051, Science & Finance, Capital Fund Management. [Downloadable!]
  4. Stefano Galluccio & Jean-Philippe Bouchaud & Marc Potters, 1998. "Rational decisions, random matrices and spin glasses," Science & Finance (CFM) working paper archive 500054, Science & Finance, Capital Fund Management. [Downloadable!]
  5. Laurent Laloux & Marc Potters & Rama Cont & Jean-Pierre Aguilar & Jean-Philippe Bouchaud, 1998. "Are Financial Crashes Predictable?," Quantitative Finance Papers cond-mat/9804111, arXiv.org. [Downloadable!]
  6. Stefano Galluccio & Jean-Philippe Bouchaud & Marc Potters, 1998. "Rational Decisions, Random Matrices and Spin Glasses," Quantitative Finance Papers cond-mat/9801209, arXiv.org. [Downloadable!]

    1997

  1. Jean-Philippe BOUCHAUD & Rama CONT & Nicole EL KAROUI & Marc POTTERS & Nicolas SAGNA, 1997. "Phenomenology of the interest curve," Finance 9712009, EconWPA. [Downloadable!]
  2. Jean-Philippe Bouchaud & Didier Sornette & Marc Potters, 1997. "Option pricing in the presence of extreme fluctuations," Science & Finance (CFM) working paper archive 500038, Science & Finance, Capital Fund Management. [Downloadable!]
  3. Jean-Philippe Bouchaud & Marc Potters & Jean-Pierre Aguilar, 1997. "Missing information and asset allocation," Science & Finance (CFM) working paper archive 500045, Science & Finance, Capital Fund Management. [Downloadable!]
  4. Jean-Philippe Bouchaud & Nicolas Sagna & Rama Cont & Nicole El-Karoui & Marc Potters, 1997. "Phenomenology of the interest rate curve," Science & Finance (CFM) working paper archive 500048, Science & Finance, Capital Fund Management. [Downloadable!]
  5. Jean-Philippe Bouchaud & Marc Potters & Jean-Pierre Aguilar, 1997. "Missing Information and Asset Allocation," Quantitative Finance Papers cond-mat/9707042, arXiv.org. [Downloadable!]
  6. Rama Cont & Marc Potters & Jean-Philippe Bouchaud, 1997. "Scaling in stock market data: stable laws and beyond," Quantitative Finance Papers cond-mat/9705087, arXiv.org. [Downloadable!]
  7. J. -P. Bouchaud & N. Sagna & R. Cont & N. El-Karoui & M. Potters, 1997. "Phenomenology of the Interest Rate Curve," Quantitative Finance Papers cond-mat/9712164, arXiv.org. [Downloadable!]

    1996

  1. Marc Potters & Rama Cont & Jean-Philippe Bouchaud, 1996. "Financial markets as adaptative systems," Science & Finance (CFM) working paper archive 500037, Science & Finance, Capital Fund Management. [Downloadable!]

Journal articles

    2008

  1. Matthieu Wyart & Jean-Philippe Bouchaud & Julien Kockelkoren & Marc Potters & Michele Vettorazzo, 2008. "Relation between bid-ask spread, impact and volatility in order-driven markets," Quantitative Finance, Taylor and Francis Journals, vol. 8(1), pages 41-57. [Downloadable!] (restricted)

    2006

  1. Jean-Philippe Bouchaud & Julien Kockelkoren & Marc Potters, 2006. "Random walks, liquidity molasses and critical response in financial markets," Quantitative Finance, Taylor and Francis Journals, vol. 6(2), pages 115-123, April. [Downloadable!] (restricted)

    1999

  1. Jean-Philippe Bouchaud, Nicolas Sagna, Rama Cont, Nicole El-Karoui, Marc Potters, 1999. "Phenomenology of the interest rate curve," Applied Mathematical Finance, Taylor and Francis Journals, vol. 6(3), pages 209-232, September. [Downloadable!] (restricted)
Did you know? Authors can create their own profile with links to their works on the RePEc Author Service.

This page was last updated on 2009-12-2.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.