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Science & Finance (CFM) working paper archive

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9909245: Worst fluctuation method for fast value-at-risk estimates
Jean-Philippe Bouchaud and Marc Potters
9906347: Apparent multifractality in financial time series
Jean-Philippe Bouchaud, Marc Potters and Martin Meyer
9804111: Are financial crashes predictable?
Laurent Laloux, Marc Potters, Rama Cont, Jean-Pierre Aguilar and Jean-Philippe Bouchaud
9705087: Scaling in stock market data: stable laws and beyond
Rama Cont, Marc Potters and Jean-Philippe Bouchaud
9607120: Comment on "Turbulent cascades in foreign exchange markets"
Alain Arneodo, Jean-Philippe Bouchaud, Rama Cont, Jean-Francois Muzy, Marc Potters and Didier Sornette
500067: Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets
Matthieu Wyart, Jean-Philippe Bouchaud, Julien Kockelkoren, Marc Potters and Michele Vettorazzo
500066: Large dimension forecasting models and random singular value spectra
Jean-Philippe Bouchaud, Laurent Laloux, M. Augusta Miceli and Marc Potters
500065: Trend followers lose more often than they gain
Marc Potters and Jean-Philippe Bouchaud
500064: "Stiff" Field Theory of Interest Rates and Psychological Future Time
Belal Baaquie and Jean-Philippe Bouchaud
500063: Random walks, liquidity molasses and critical response in financial markets
Jean-Philippe Bouchaud, Julien Kockelkoren and Marc Potters
500062: Experts' earning forecasts: bias, herding and gossamer information
Olivier Guedj and Jean-Philippe Bouchaud
500061: The Dynamics of Financial Markets -- Mandelbrot's multifractal cascades, and beyond
Lisa Borland, Jean-Philippe Bouchaud, Jean-Francois Muzy and Gilles Zumbach
500060: Theory of collective opinion shifts: from smooth trends to abrupt swings
Quentin Michard and Jean-Philippe Bouchaud
500059: On a multi-timescale statistical feedback model for volatility fluctuations
Lisa Borland and Jean-Philippe Bouchaud
500058: Financial Applications of Random Matrix Theory: Old Laces and New Pieces
Marc Potters, Jean-Philippe Bouchaud and Laurent Laloux
500054: Rational decisions, random matrices and spin glasses
Stefano Galluccio, Jean-Philippe Bouchaud and Marc Potters
500053: Random matrix theory and financial correlations
Laurent Laloux, Pierre Cizeau, Jean-Philippe Bouchaud and Marc Potters
500052: Random matrix theory
Laurent Laloux, Pierre Cizeau, Jean-Philippe Bouchaud and Marc Potters
500051: Noise dressing of financial correlation matrices
Laurent Laloux, Pierre Cizeau, Jean-Philippe Bouchaud and Marc Potters
500050: Exponential Weighting and Random-Matrix-Theory-Based Filtering of Financial Covariance Matrices for Portfolio Optimization
Szilard Pafka, Marc Potters and Imre Kondor
500049: Strings Attached
Jean-Philippe Bouchaud, Nicolas Sagna, Rama Cont, Nicole El-Karoui and Marc Potters
500048: Phenomenology of the interest rate curve
Jean-Philippe Bouchaud, Nicolas Sagna, Rama Cont, Nicole El-Karoui and Marc Potters
500047: An empirical investigation of the forward interest rate term structure
Andrew Matacz and Jean-Philippe Bouchaud
500046: Explaining the forward interest rate term structure
Andrew Matacz and Jean-Philippe Bouchaud
500045: Missing information and asset allocation
Jean-Philippe Bouchaud, Marc Potters and Jean-Pierre Aguilar
500044: Taming large events: portfolio selection for strongly fluctuating assets
Jean-Philippe Bouchaud, Didier Sornette, Christian Walter and Jean-Pierre Aguilar
500043: Universality classes for extreme value statistics
Jean-Philippe Bouchaud and Marc Mezard
500042: Elements for a theory of financial risks
Jean-Philippe Bouchaud
500040: The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes
Jean-Philippe Bouchaud and Didier Sornette
500039: Real-world options: smile and residual risk
Jean-Philippe Bouchaud, Giulia Iori and Didier Sornette
500038: Option pricing in the presence of extreme fluctuations
Jean-Philippe Bouchaud, Didier Sornette and Marc Potters
500037: Financial markets as adaptative systems
Marc Potters, Rama Cont and Jean-Philippe Bouchaud
500036: Back to basics: historical option pricing revisited
Jean-Philippe Bouchaud and Marc Potters
500035: Financial modeling and option theory with the truncated Lévy process
Andrew Matacz
500034: Path dependent option pricing: the path integral partial averaging method
Andrew Matacz
500033: Hedging large risks reduces the transaction costs
Farhat Selmi and Jean-Philippe Bouchaud
500032: Hedge your Monte Carlo
Marc Potters, Jean-Philippe Bouchaud and Dragan Sestovic
500031: Hedged Monte-Carlo: low variance derivative pricing with objective probabilities
Marc Potters, Jean-Philippe Bouchaud and Dragan Sestovic
500030: Option pricing and hedging with temporal correlations
Lorenzo Cornalba, Jean-Philippe Bouchaud and Marc Potters
500029: Option pricing and hedging with minimum expected shortfall
Benoit Pochard and Jean-Philippe Bouchaud
500028: Herd behavior and aggregate fluctuations in financial markets
Rama Cont and Jean-Philippe Bouchaud
500027: A Langevin approach to stock market fluctuations and crashes
Jean-Philippe Bouchaud and Rama Cont
500026: Wealth condensation in a simple model of economy
Jean-Philippe Bouchaud and Marc Mezard
500025: Population dynamics in a random environment
Irene Giardina, Jean-Philippe Bouchaud and Marc Mezard
500024: Microscopic models for long ranged volatility correlations
Irene Giardina, Jean-Philippe Bouchaud and Marc Mezard
500023: Power-laws in economics and finance: some ideas from physics
Jean-Philippe Bouchaud
500022: Bubbles, crashes and intermittency in agent based market models
Irene Giardina and Jean-Philippe Bouchaud
500021: Statistical models for company growth
Matthieu Wyart and Jean-Philippe Bouchaud
500020: Self-referential behaviour, overreaction and conventions in financial markets
Matthieu Wyart and Jean-Philippe Bouchaud
500018: Stock market crashes, precursors and replicas
Didier Sornette, Anders Johansen and Jean-Philippe Bouchaud
313238: An introduction to statistical finance
Jean-Philippe Bouchaud
307332: Fluctuations and response in financial markets: the subtle nature of `random' price changes
Jean-Philippe Bouchaud, Yuval Gefen, Marc Potters and Matthieu Wyart
210710: More statistical properties of order books and price impact
Marc Potters and Jean-Philippe Bouchaud
206368: Reply to Johansen's comment
Laurent Laloux, Marc Potters, Jean-Pierre Aguilar and Jean-Philippe Bouchaud
204047: The skewed multifractal random walk with applications to option smiles
Benoit Pochard and Jean-Philippe Bouchaud
203511: Statistical properties of stock order books: empirical results and models
Jean-Philippe Bouchaud, Marc Mezard and Marc Potters
107208: Introducing Variety in Risk Management
Fabrizio Lillo, Rosario Nunzio Mantegna, Jean-Philippe Bouchaud and Marc Potters
101120: The leverage effect in financial markets: retarded volatility and market panic
Jean-Philippe Bouchaud, Andrew Matacz and Marc Potters
50002: Comment on: "Two-phase behaviour of financial markets"
Marc Potters and Jean-Philippe Bouchaud
50001: Multiple time scales in volatility and leverage correlation: A stochastic volatility model
Josep Perelló, Jaume Masoliver and Jean-Philippe Bouchaud
29960: More stylized facts of financial markets: leverage effect and downside correlations
Marc Potters and Jean-Philippe Bouchaud
6034: Correlation structure of extreme stock returns
Pierre Cizeau, Marc Potters and Jean-Philippe Bouchaud
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