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Radical Complexity

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  • Jean-Philippe Bouchaud

Abstract

This is an informal and sketchy review of six topical, somewhat unrelated subjects in quantitative finance: rough volatility models; random covariance matrix theory; copulas; crowded trades; high-frequency trading & market stability; and "radical complexity" & scenario based (macro)economics. Some open questions and research directions are briefly discussed.

Suggested Citation

  • Jean-Philippe Bouchaud, 2021. "Radical Complexity," Papers 2103.09692, arXiv.org.
    • Handle: RePEc:arx:papers:2103.09692
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    File URL: http://arxiv.org/pdf/2103.09692
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    References listed on IDEAS

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    1. Rémy Chicheportiche & J-P Bouchaud, 2015. "A nested factor model for non-linear dependencies in stock returns," Post-Print hal-01339978, HAL.
    2. Rémy Chicheportiche & Jean-Philippe Bouchaud, 2011. "Goodness-of-Fit tests with Dependent Observations," Post-Print hal-00621061, HAL.
    3. Stephen J. Hardiman & Nicolas Bercot & Jean-Philippe Bouchaud, 2013. "Critical reflexivity in financial markets: a Hawkes process analysis," Papers 1302.1405, arXiv.org, revised Jun 2013.
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    7. Valerio Volpati & Michael Benzaquen & Zoltán Eisler & Iacopo Mastromatteo & Bence Tóth & Jean-Philippe Bouchaud, 2020. "Zooming In on Equity Factor Crowding," Post-Print hal-02567503, HAL.
    8. Gualdi, Stanislao & Tarzia, Marco & Zamponi, Francesco & Bouchaud, Jean-Philippe, 2015. "Tipping points in macroeconomic agent-based models," Journal of Economic Dynamics and Control, Elsevier, vol. 50(C), pages 29-61.
    9. Gilles Zumbach, 2009. "Time reversal invariance in finance," Quantitative Finance, Taylor & Francis Journals, vol. 9(5), pages 505-515.
    10. Dhruv Sharma & Jean-Philippe Bouchaud & Stanislao Gualdi & Marco Tarzia & Francesco Zamponi, 2021. "V–, U–, L– or W–shaped economic recovery after Covid-19: Insights from an Agent Based Model," PLOS ONE, Public Library of Science, vol. 16(3), pages 1-22, March.
    11. Stephen Hardiman & Nicolas Bercot & Jean-Philippe Bouchaud, 2013. "Critical reflexivity in financial markets: a Hawkes process analysis," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 86(10), pages 1-9, October.
    12. Federico Guglielmo Morelli & Michael Benzaquen & Marco Tarzia & Jean-Philippe Bouchaud, 2020. "Confidence collapse in a multihousehold, self-reflexive DSGE model," Proceedings of the National Academy of Sciences, Proceedings of the National Academy of Sciences, vol. 117(17), pages 9244-9249, April.
    13. F. Bucci & I. Mastromatteo & Z. Eisler & F. Lillo & J.-P. Bouchaud & C.-A. Lehalle, 2020. "Co-impact: crowding effects in institutional trading activity," Quantitative Finance, Taylor & Francis Journals, vol. 20(2), pages 193-205, February.
    14. Jim Gatheral & Thibault Jaisson & Mathieu Rosenbaum, 2018. "Volatility is rough," Quantitative Finance, Taylor & Francis Journals, vol. 18(6), pages 933-949, June.
    15. Reigneron, Pierre-Alain & Allez, Romain & Bouchaud, Jean-Philippe, 2011. "Principal regression analysis and the index leverage effect," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(17), pages 3026-3035.
    16. R. Chicheportiche & J.-P. Bouchaud, 2015. "A nested factor model for non-linear dependencies in stock returns," Quantitative Finance, Taylor & Francis Journals, vol. 15(11), pages 1789-1804, November.
    17. Valerio Volpati & Michael Benzaquen & Zoltan Eisler & Iacopo Mastromatteo & Bence Toth & Jean-Philippe Bouchaud, 2020. "Zooming In on Equity Factor Crowding," Papers 2001.04185, arXiv.org.
    18. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2020. "Endogenous Liquidity Crises," Post-Print hal-02567495, HAL.
    19. Pierre-Alain Reigneron & Romain Allez & Jean-Philippe Bouchaud, 2010. "Principal Regression Analysis and the index leverage effect," Papers 1011.5810, arXiv.org, revised Feb 2011.
    20. Armine Karami & Raphael Benichou & Michael Benzaquen & Jean-Philippe Bouchaud, 2021. "Conditional Correlations and Principal Regression Analysis for Futures," Post-Print hal-02567501, HAL.
    21. Wyart, Matthieu & Bouchaud, Jean-Philippe, 2007. "Self-referential behaviour, overreaction and conventions in financial markets," Journal of Economic Behavior & Organization, Elsevier, vol. 63(1), pages 1-24, May.
    22. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2020. "Endogenous Liquidity Crises," Working Papers hal-02567495, HAL.
    23. Jim Gatheral & Paul Jusselin & Mathieu Rosenbaum, 2020. "The quadratic rough Heston model and the joint S&P 500/VIX smile calibration problem," Papers 2001.01789, arXiv.org.
    24. repec:dau:papers:123456789/10911 is not listed on IDEAS
    25. Remy Chicheportiche & Jean-Philippe Bouchaud, 2011. "Goodness-of-Fit tests with Dependent Observations," Papers 1106.3016, arXiv.org, revised Aug 2011.
    26. Y. Lempérière & C. Deremble & T. T. Nguyen & P. Seager & M. Potters & J. P. Bouchaud, 2017. "Risk premia: asymmetric tail risks and excess returns," Quantitative Finance, Taylor & Francis Journals, vol. 17(1), pages 1-14, January.
    27. 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 & Francis Journals, vol. 8(1), pages 41-57.
    28. Joel Bun & Jean-Philippe Bouchaud & Marc Potters, 2016. "Cleaning large correlation matrices: tools from random matrix theory," Papers 1610.08104, arXiv.org.
    29. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2019. "Endogenous Liquidity Crises," Papers 1912.00359, arXiv.org, revised Feb 2020.
    30. Armand Joulin & Augustin Lefevre & Daniel Grunberg & Jean-Philippe Bouchaud, 2008. "Stock price jumps: news and volume play a minor role," Papers 0803.1769, arXiv.org.
    31. Valerio Volpati & Michael Benzaquen & Zoltán Eisler & Iacopo Mastromatteo & Bence Tóth & Jean-Philippe Bouchaud, 2020. "Zooming In on Equity Factor Crowding," Working Papers hal-02567503, HAL.
    Full references (including those not matched with items on IDEAS)

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