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Details about Marc Potters

E-mail:
Homepage:http://www.cfm.fr
Phone:+33.1.4949.5949
Postal address:Science & Finance Capital Fund Management 6 boulevard Haussmann 75009 Paris FRANCE
Workplace:Science & Finance, (more information at EDIRC)

Access statistics for papers by Marc Potters.

Last updated 2009-11-12. Update your information in the RePEc Author Service.

Short-id: ppo42


Jump to Journal Articles

Working Papers

2009

  1. Financial Applications of Random Matrix Theory: a short review
    Quantitative Finance Papers, arXiv.org Downloads

2008

  1. Smile dynamics -- a theory of the implied leverage effect
    Quantitative Finance Papers, arXiv.org Downloads

2007

  1. Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets
    Quantitative Finance Papers, arXiv.org Downloads
    Also in Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management (2006) Downloads View citations
  2. The Student ensemble of correlation matrices: eigenvalue spectrum and Kullback-Leibler entropy
    Quantitative Finance Papers, arXiv.org Downloads

2005

  1. Financial Applications of Random Matrix Theory: Old Laces and New Pieces
    Quantitative Finance Papers, arXiv.org Downloads
    Also in Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management (2005) Downloads View citations
  2. Large dimension forecasting models and random singular value spectra
    Quantitative Finance Papers, arXiv.org Downloads
    Also in Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management (2005) Downloads
  3. Trend followers lose more often than they gain
    Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management Downloads View citations
    Also in Quantitative Finance Papers, arXiv.org (2005) Downloads

2004

  1. Exponential Weighting and Random-Matrix-Theory-Based Filtering of Financial Covariance Matrices for Portfolio Optimization
    Quantitative Finance Papers, arXiv.org Downloads
    Also in Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management (2004) Downloads
  2. Random walks, liquidity molasses and critical response in financial markets
    Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management Downloads View citations
    Also in Quantitative Finance Papers, arXiv.org (2004) Downloads

    See also Journal Article in Quantitative Finance (2006)

2003

  1. Comment on: "Two-phase behaviour of financial markets"
    Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management Downloads
  2. Fluctuations and response in financial markets: the subtle nature of `random' price changes
    Quantitative Finance Papers, arXiv.org Downloads

2001

  1. Correlation structure of extreme stock returns
    Quantitative Finance Papers, arXiv.org Downloads View citations
  2. Hedge your Monte Carlo
    Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management
  3. Introducing Variety in Risk Management
    Quantitative Finance Papers, arXiv.org Downloads

2000

  1. Hedged Monte-Carlo: low variance derivative pricing with objective probabilities
    Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management Downloads View citations
  2. Option pricing and hedging with temporal correlations
    Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management Downloads

1999

  1. Random matrix theory
    Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management
  2. Random matrix theory and financial correlations
    Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management Downloads View citations

1998

  1. Are Financial Crashes Predictable?
    Quantitative Finance Papers, arXiv.org Downloads View citations
  2. Back to basics: historical option pricing revisited
    Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management Downloads
  3. Noise dressing of financial correlation matrices
    Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management Downloads View citations
  4. Rational Decisions, Random Matrices and Spin Glasses
    Quantitative Finance Papers, arXiv.org Downloads View citations
    Also in Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management (1998) Downloads View citations
  5. Strings Attached
    Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations

1997

  1. Missing Information and Asset Allocation
    Quantitative Finance Papers, arXiv.org Downloads
    Also in Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management (1997) Downloads View citations
  2. Option pricing in the presence of extreme fluctuations
    Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management Downloads View citations
  3. Phenomenology of the Interest Rate Curve
    Quantitative Finance Papers, arXiv.org Downloads
    Also in Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management (1997) Downloads View citations

    See also Journal Article in Applied Mathematical Finance (1999)
  4. Phenomenology of the interest curve
    Finance, EconWPA Downloads
  5. Scaling in stock market data: stable laws and beyond
    Quantitative Finance Papers, arXiv.org Downloads View citations

1996

  1. Financial markets as adaptative systems
    Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management Downloads View citations

Journal Articles

2008

  1. Relation between bid-ask spread, impact and volatility in order-driven markets
    Quantitative Finance, 2008, 8, (1), 41-57 Downloads

2006

  1. Random walks, liquidity molasses and critical response in financial markets
    Quantitative Finance, 2006, 6, (2), 115-123 Downloads View citations
    See also Working Paper (2004)

1999

  1. Phenomenology of the interest rate curve
    Applied Mathematical Finance, 1999, 6, (3), 209-232 Downloads View citations
    See also Working Paper (1997)
 
 
Page updated 2009-11-24