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Publications

by members of

Science & Finance

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 institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. 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," Papers, arXiv.org, number 0910.1205, Oct.

2008

  1. Stefano Ciliberti & Jean-Philippe Bouchaud & Marc Potters, 2008, "Smile dynamics -- a theory of the implied leverage effect," Papers, arXiv.org, number 0809.3375, Sep.

2007

  1. Giulio Biroli & Jean-Philippe Bouchaud & Marc Potters, 2007, "The Student ensemble of correlation matrices: eigenvalue spectrum and Kullback-Leibler entropy," Papers, arXiv.org, number 0710.0802, Oct.

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, Science & Finance, Capital Fund Management, number 500067, Mar.

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, Science & Finance, Capital Fund Management, number 500058, Jul.
  2. Marc Potters & Jean-Philippe Bouchaud, 2005, "Trend followers lose more often than they gain," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 500065, Aug.
  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, Science & Finance, Capital Fund Management, number 500066, Dec.

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, Science & Finance, Capital Fund Management, number 500050, Feb.
  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, Science & Finance, Capital Fund Management, number 500063, Jun.

2003

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

2002

  1. Jean-Philippe Bouchaud & Marc Mezard & Marc Potters, 2002, "Statistical properties of stock order books: empirical results and models," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 0203511, Mar.
  2. Laurent Laloux & Marc Potters & Jean-Pierre Aguilar & Jean-Philippe Bouchaud, 2002, "Reply to Johansen's comment," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 0206368, Jun.
  3. Marc Potters & Jean-Philippe Bouchaud, 2002, "More statistical properties of order books and price impact," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 0210710, Oct.

2001

  1. Marc Potters & Jean-Philippe Bouchaud & Dragan Sestovic, 2001, "Hedge your Monte Carlo," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 500032, Mar.
  2. Fabrizio Lillo & Rosario N. Mantegna & Jean-Philippe Bouchaud & Marc Potters, 2001, "Introducing Variety in Risk Management," Papers, arXiv.org, number cond-mat/0107208, Jul.
  3. Jean-Philippe Bouchaud & Andrew Matacz & Marc Potters, 2001, "The leverage effect in financial markets: retarded volatility and market panic," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 0101120, Jan.
  4. Marc Potters & Jean-Philippe Bouchaud, 2001, "More stylized facts of financial markets: leverage effect and downside correlations," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 29960, Jan.

2000

  1. Lorenzo Cornalba & Jean-Philippe Bouchaud & Marc Potters, 2000, "Option pricing and hedging with temporal correlations," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 500030, Nov.
  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, Science & Finance, Capital Fund Management, number 500031, Aug.
  3. Pierre Cizeau & Marc Potters & Jean-Philippe Bouchaud, 2000, "Correlation structure of extreme stock returns," Papers, arXiv.org, number cond-mat/0006034, Jun, revised Jan 2001.

1999

  1. Laurent Laloux & Pierre Cizeau & Jean-Philippe Bouchaud & Marc Potters, 1999, "Random matrix theory," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 500052, Mar.
  2. Laurent Laloux & Pierre Cizeau & Jean-Philippe Bouchaud & Marc Potters, 1999, "Random matrix theory and financial correlations," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 500053, Jan.
  3. Jean-Philippe Bouchaud & Marc Potters & Martin Meyer, 1999, "Apparent multifractality in financial time series," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 9906347, Jun.
  4. Jean-Philippe Bouchaud & Marc Potters, 1999, "Worst fluctuation method for fast value-at-risk estimates," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 9909245, Sep.

1998

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

1997

  1. Jean-Philippe BOUCHAUD & Rama CONT & Nicole EL KAROUI & Marc POTTERS & Nicolas SAGNA, 1997, "Phenomenology of the interest curve," Finance, University Library of Munich, Germany, number 9712009, Dec.
  2. Jean-Philippe Bouchaud & Didier Sornette & Marc Potters, 1997, "Option pricing in the presence of extreme fluctuations," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 500038, Jan.
  3. Jean-Philippe Bouchaud & Marc Potters & Jean-Pierre Aguilar, 1997, "Missing information and asset allocation," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 500045, Jul.
  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, Science & Finance, Capital Fund Management, number 500048, Dec.
  5. Rama Cont & Marc Potters & Jean-Philippe Bouchaud, 1997, "Scaling in stock market data: stable laws and beyond," Papers, arXiv.org, number cond-mat/9705087, May.

1996

  1. Marc Potters & Rama Cont & Jean-Philippe Bouchaud, 1996, "Financial markets as adaptative systems," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 500037, Sep.
  2. Alain Arneodo & Jean-Philippe Bouchaud & Rama Cont & Jean-Francois Muzy & Marc Potters & Didier Sornette, 1996, "Comment on "Turbulent cascades in foreign exchange markets"," Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management, number 9607120, Jul.

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 & Francis Journals, volume 8, issue 1, pages 41-57, DOI: 10.1080/14697680701344515.

2006

  1. Jean-Philippe Bouchaud & Julien Kockelkoren & Marc Potters, 2006, "Random walks, liquidity molasses and critical response in financial markets," Quantitative Finance, Taylor & Francis Journals, volume 6, issue 2, pages 115-123, DOI: 10.1080/14697680500397623.

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 & Francis Journals, volume 6, issue 3, pages 209-232, DOI: 10.1080/135048699334546.

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