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

Working Papers

2006

1. 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

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

2004

5. 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
6. 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

7. Comment on: "Two-phase behaviour of financial markets"
   Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management

2001

8. Hedge your Monte Carlo
   Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management

2000

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

1999

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

1998

13. Back to basics: historical option pricing revisited
    Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management
14. Noise dressing of financial correlation matrices
    Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations
15. Rational decisions, random matrices and spin glasses
    Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management
16. Strings Attached
    Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations

1997

17. Missing information and asset allocation
    Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations
18. Option pricing in the presence of extreme fluctuations
    Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations
19. Phenomenology of the interest curve
    Finance, EconWPA
20. 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

21. 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)