Details about Marc Potters

Access statistics for papers by Marc Potters.

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

Short-id: ppo42

Working Papers

2009

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

2008

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

2007

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

2005

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

2004

8. Exponential Weighting and Random-Matrix-Theory-Based Filtering of Financial Covariance Matrices for Portfolio Optimization
   Quantitative Finance Papers, arXiv.org
   Also in Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management (2004)
9. Random walks, liquidity molasses and critical response in financial markets
   Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations
   Also in Quantitative Finance Papers, arXiv.org (2004)
   See also Journal Article in Quantitative Finance (2006)

2003

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

2001

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

2000

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

1999

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

1998

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

1997

24. Missing Information and Asset Allocation
    Quantitative Finance Papers, arXiv.org
    Also in Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management (1997) View citations
25. Option pricing in the presence of extreme fluctuations
    Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations
26. Phenomenology of the Interest Rate Curve
    Quantitative Finance Papers, arXiv.org
    Also in Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management (1997) View citations
    See also Journal Article in Applied Mathematical Finance (1999)
27. Phenomenology of the interest curve
    Finance, EconWPA
28. Scaling in stock market data: stable laws and beyond
    Quantitative Finance Papers, arXiv.org View citations

1996

29. Financial markets as adaptative systems
    Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management 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

2006

2. 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

3. Phenomenology of the interest rate curve
   Applied Mathematical Finance, 1999, 6, (3), 209-232 View citations
   See also Working Paper (1997)