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Details about Marc Potters
Access statistics for papers by Marc Potters.
Last updated 2008-03-03. Update your information in the RePEc Author Service.
Short-id: ppo42
Jump to Journal Articles
Working Papers
2006
- Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets
Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations
2005
- Financial Applications of Random Matrix Theory: Old Laces and New Pieces
Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management
- Large dimension forecasting models and random singular value spectra
Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management
- Trend followers lose more often than they gain
Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations
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
- Random walks, liquidity molasses and critical response in financial markets
Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations
See also Journal Article in Quantitative Finance (2006)
2003
- Comment on: "Two-phase behaviour of financial markets"
Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management
2001
- Hedge your Monte Carlo
Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management
2000
- Hedged Monte-Carlo: low variance derivative pricing with objective probabilities
Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations
- Option pricing and hedging with temporal correlations
Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management
1999
- Random matrix theory
Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management
- Random matrix theory and financial correlations
Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations
1998
- Back to basics: historical option pricing revisited
Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management
- Noise dressing of financial correlation matrices
Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations
- Rational decisions, random matrices and spin glasses
Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management
- Strings Attached
Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations
1997
- Missing information and asset allocation
Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations
- Option pricing in the presence of extreme fluctuations
Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations
- Phenomenology of the interest curve
Finance, EconWPA
- Phenomenology of the interest rate curve
Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations
See also Journal Article in Applied Mathematical Finance (1999)
1996
- Financial markets as adaptative systems
Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations
Journal Articles
2008
- Relation between bid-ask spread, impact and volatility in order-driven markets
Quantitative Finance, 2008, 8, (1), 41-57
2006
- Random walks, liquidity molasses and critical response in financial markets
Quantitative Finance, 2006, 6, (2), 115-123 View citations
See also Working Paper (2004)
1999
- Phenomenology of the interest rate curve
Applied Mathematical Finance, 1999, 6, (3), 209-232 View citations
See also Working Paper (1997)
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