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Science & Finance, Capital Fund Management

Science & Finance (CFM) working paper archive

Contact information of Science & Finance, Capital Fund Management:
Postal: 6 boulevard Haussmann, 75009 Paris, FRANCE
Phone: +33.1.4949.5949
Fax: +33.1.4770.1740
Email:
Web page: http://www.science-finance.fr/
More information through EDIRC

For technical questions regarding this series, please contact (Marc Potters)
Series handle: repec:sfi:sfiwpa

2006

500067 Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets
by Matthieu Wyart & Jean-Philippe Bouchaud & Julien Kockelkoren & Marc Potters & Michele Vettorazzo [Downloadable!]

2005

500066 Large dimension forecasting models and random singular value spectra
by Jean-Philippe Bouchaud & Laurent Laloux & M. Augusta Miceli & Marc Potters [Downloadable!]
500065 Trend followers lose more often than they gain
by Marc Potters & Jean-Philippe Bouchaud [Downloadable!]
500061 The Dynamics of Financial Markets -- Mandelbrot's multifractal cascades, and beyond
by Lisa Borland & Jean-Philippe Bouchaud & Jean-Francois Muzy & Gilles Zumbach [Downloadable!]
500060 Theory of collective opinion shifts: from smooth trends to abrupt swings
by Quentin Michard & Jean-Philippe Bouchaud [Downloadable!]
500059 On a multi-timescale statistical feedback model for volatility fluctuations
by Lisa Borland & Jean-Philippe Bouchaud [Downloadable!]
500058 Financial Applications of Random Matrix Theory: Old Laces and New Pieces
by Marc Potters & Jean-Philippe Bouchaud & Laurent Laloux [Downloadable!]

2004

500064 "Stiff" Field Theory of Interest Rates and Psychological Future Time
by Belal Baaquie & Jean-Philippe Bouchaud [Downloadable!]
500063 Random walks, liquidity molasses and critical response in financial markets
by Jean-Philippe Bouchaud & Julien Kockelkoren & Marc Potters [Downloadable!]
500062 Experts' earning forecasts: bias, herding and gossamer information
by Olivier Guedj & Jean-Philippe Bouchaud [Downloadable!]
500050 Exponential Weighting and Random-Matrix-Theory-Based Filtering of Financial Covariance Matrices for Portfolio Optimization
by Szilard Pafka & Marc Potters & Imre Kondor [Downloadable!]

2003

50002 Comment on: "Two-phase behaviour of financial markets"
by Marc Potters & Jean-Philippe Bouchaud [Downloadable!]
50001 Multiple time scales in volatility and leverage correlation: A stochastic volatility model
by Josep Perello & Jaume Masoliver & Jean-Philippe Bouchaud [Downloadable!]
500029 Option pricing and hedging with minimum expected shortfall
by Benoit Pochard & Jean-Philippe Bouchaud [Downloadable!]
500020 Self-referential behaviour, overreaction and conventions in financial markets
by Matthieu Wyart & Jean-Philippe Bouchaud [Downloadable!]
0307332 Fluctuations and response in financial markets: the subtle nature of `random' price changes
by Jean-Philippe Bouchaud & Yuval Gefen & Marc Potters & Matthieu Wyart [Downloadable!]
0307332 Fluctuations and response in financial markets: the subtle nature of `random' price changes
by Jean-Philippe Bouchaud & Yuval Gefen & Marc Potters & Matthieu Wyart [Downloadable!]

2002

500022 Bubbles, crashes and intermittency in agent based market models
by Irene Giardina & Jean-Philippe Bouchaud [Downloadable!]
500021 Statistical models for company growth
by Matthieu Wyart & Jean-Philippe Bouchaud [Downloadable!]
313238 An introduction to statistical finance
by Jean-Philippe Bouchaud [Downloadable!]
313238 An introduction to statistical finance
by Jean-Philippe Bouchaud [Downloadable!]
0210710 More statistical properties of order books and price impact
by Marc Potters & Jean-Philippe Bouchaud [Downloadable!]
0206368 Reply to Johansen's comment
by Laurent Laloux & Marc Potters & Jean-Pierre Aguilar & Jean-Philippe Bouchaud [Downloadable!]
0204047 The skewed multifractal random walk with applications to option smiles
by Benoit Pochard & Jean-Philippe Bouchaud [Downloadable!]
0203511 Statistical properties of stock order books: empirical results and models
by Jean-Philippe Bouchaud & Marc Mezard & Marc Potters [Downloadable!]
0210710 More statistical properties of order books and price impact
by Marc Potters & Jean-Philippe Bouchaud [Downloadable!]
0206368 Reply to Johansen's comment
by Laurent Laloux & Marc Potters & Jean-Pierre Aguilar & Jean-Philippe Bouchaud [Downloadable!]
0204047 The skewed multifractal random walk with applications to option smiles
by Benoit Pochard & Jean-Philippe Bouchaud [Downloadable!]
0203511 Statistical properties of stock order books: empirical results and models
by Jean-Philippe Bouchaud & Marc Mezard & Marc Potters [Downloadable!]

2001

500032 Hedge your Monte Carlo
by Marc Potters & Jean-Philippe Bouchaud & Dragan Sestovic
500024 Microscopic models for long ranged volatility correlations
by Irene Giardina & Jean-Philippe Bouchaud & Marc Mezard [Downloadable!]
29960 More stylized facts of financial markets: leverage effect and downside correlations
by Marc Potters & Jean-Philippe Bouchaud [Downloadable!]
29960 More stylized facts of financial markets: leverage effect and downside correlations
by Jean-Philippe Bouchaud & Marc Potters [Downloadable!]
0107208 Introducing Variety in Risk Management
by Fabrizio Lillo & Rosario N. Mantegna & Jean-Philippe Bouchaud & Marc Potters [Downloadable!]
0101120 The leverage effect in financial markets: retarded volatility and market panic
by Jean-Philippe Bouchaud & Andrew Matacz & Marc Potters [Downloadable!]
0107208 Introducing Variety in Risk Management
by Fabrizio Lillo & Rosario N. Mantegna & Marc Potters & Jean-Philippe Bouchaud [Downloadable!]
0101120 The leverage effect in financial markets: retarded volatility and market panic
by Jean-Philippe Bouchaud & Andrew Matacz & Marc Potters [Downloadable!]

2000

500034 Path dependent option pricing: the path integral partial averaging method
by Andrew Matacz [Downloadable!]
500033 Hedging large risks reduces the transaction costs
by Farhat Selmi & Jean-Philippe Bouchaud [Downloadable!]
500031 Hedged Monte-Carlo: low variance derivative pricing with objective probabilities
by Marc Potters & Jean-Philippe Bouchaud & Dragan Sestovic [Downloadable!]
500030 Option pricing and hedging with temporal correlations
by Lorenzo Cornalba & Jean-Philippe Bouchaud & Marc Potters [Downloadable!]
500026 Wealth condensation in a simple model of economy
by Jean-Philippe Bouchaud & Marc Mezard [Downloadable!]
500025 Population dynamics in a random environment
by Irene Giardina & Jean-Philippe Bouchaud & Marc Mezard [Downloadable!]
500023 Power-laws in economics and finance: some ideas from physics
by Jean-Philippe Bouchaud [Downloadable!]
0006034 Correlation structure of extreme stock returns
by Pierre Cizeau & Marc Potters & Jean-Philippe Bouchaud [Downloadable!]
0006034 Correlation structure of extreme stock returns
by Pierre Cizeau & Marc Potters & Jean-Philippe Bouchaud [Downloadable!]

1999

9909245 Worst fluctuation method for fast value-at-risk estimates
by Jean-Philippe Bouchaud & Marc Potters [Downloadable!]
9906347 Apparent multifractality in financial time series
by Jean-Philippe Bouchaud & Marc Potters & Martin Meyer [Downloadable!]
9909245 Worst fluctuation method for fast value-at-risk estimates
by Jean-Philippe Bouchaud & Marc Potters [Downloadable!]
9906347 Apparent multifractality in financial time series
by Jean-Philippe Bouchaud & Marc Potters & Martin Meyer [Downloadable!]
500053 Random matrix theory and financial correlations
by Laurent Laloux & Pierre Cizeau & Jean-Philippe Bouchaud & Marc Potters [Downloadable!]
500052 Random matrix theory
by Laurent Laloux & Pierre Cizeau & Jean-Philippe Bouchaud & Marc Potters
500047 An empirical investigation of the forward interest rate term structure
by Andrew Matacz & Jean-Philippe Bouchaud [Downloadable!]
500046 Explaining the forward interest rate term structure
by Andrew Matacz & Jean-Philippe Bouchaud [Downloadable!]

1998

9804111 Are financial crashes predictable?
by Laurent Laloux & Marc Potters & Rama Cont & Jean-Pierre Aguilar & Jean-Philippe Bouchaud [Downloadable!]
9804111 Are financial crashes predictable?
by Laurent Laloux & Marc Potters & Rama Cont & Jean-Pierre Aguilar & Jean-Philippe Bouchaud [Downloadable!]
500054 Rational decisions, random matrices and spin glasses
by Stefano Galluccio & Jean-Philippe Bouchaud & Marc Potters [Downloadable!]
500051 Noise dressing of financial correlation matrices
by Laurent Laloux & Pierre Cizeau & Jean-Philippe Bouchaud & Marc Potters [Downloadable!]
500049 Strings Attached
by Jean-Philippe Bouchaud & Nicolas Sagna & Rama Cont & Nicole El-Karoui & Marc Potters
500044 Taming large events: portfolio selection for strongly fluctuating assets
by Jean-Philippe Bouchaud & Didier Sornette & Christian Walter & Jean-Pierre Aguilar [Downloadable!]
500042 Elements for a theory of financial risks
by Jean-Philippe Bouchaud [Downloadable!]
500036 Back to basics: historical option pricing revisited
by Jean-Philippe Bouchaud & Marc Potters [Downloadable!]
500027 A Langevin approach to stock market fluctuations and crashes
by Jean-Philippe Bouchaud & Rama Cont [Downloadable!]

1997

9705087 Scaling in stock market data: stable laws and beyond
by Rama Cont & Marc Potters & Jean-Philippe Bouchaud [Downloadable!]
9705087 Scaling in stock market data: stable laws and beyond
by Rama Cont & Marc Potters & Jean-Philippe Bouchaud [Downloadable!]
500048 Phenomenology of the interest rate curve
by Jean-Philippe Bouchaud & Nicolas Sagna & Rama Cont & Nicole El-Karoui & Marc Potters [Downloadable!]
500045 Missing information and asset allocation
by Jean-Philippe Bouchaud & Marc Potters & Jean-Pierre Aguilar [Downloadable!]
500043 Universality classes for extreme value statistics
by Jean-Philippe Bouchaud & Marc Mezard [Downloadable!]
500038 Option pricing in the presence of extreme fluctuations
by Jean-Philippe Bouchaud & Didier Sornette & Marc Potters [Downloadable!]
500035 Financial modeling and option theory with the truncated Lévy process
by Andrew Matacz [Downloadable!]
500028 Herd behavior and aggregate fluctuations in financial markets
by Rama Cont & Jean-Philippe Bouchaud [Downloadable!]

1996

9607120 Comment on "Turbulent cascades in foreign exchange markets"
by Alain Arneodo & Jean-Philippe Bouchaud & Rama Cont & Jean-Francois Muzy & Marc Potters & Didier Sornette [Downloadable!]
9607120 Comment on "Turbulent cascades in foreign exchange markets"
by Alain Arneodo & Jean-Philippe Bouchaud & Rama Cont & Jean-Francois Muzy & Marc Potters & Didier Sornette [Downloadable!]
500037 Financial markets as adaptative systems
by Marc Potters & Rama Cont & Jean-Philippe Bouchaud [Downloadable!]

1995

500039 Real-world options: smile and residual risk
by Jean-Philippe Bouchaud & Giulia Iori & Didier Sornette [Downloadable!]
500018 Stock market crashes, precursors and replicas
by Didier Sornette & Anders Johansen & Jean-Philippe Bouchaud [Downloadable!]

1994

500040 The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes
by Jean-Philippe Bouchaud & Didier Sornette

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This page was last updated on 2008-8-16.

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