Details about Olivier Brandouy

Access statistics for papers by Olivier Brandouy.

Last updated 2018-11-21. Update your information in the RePEc Author Service.

Short-id: pbr102

Working Papers

2015

1. Estimating the Algorithmic Complexity of Stock Markets
   Papers, arXiv.org View citations (1)
2. Frontier-based vs. traditional mutual fund ratings: A first backtesting analysis
   Post-Print, HAL View citations (14)
   See also Journal Article Frontier-based vs. traditional mutual fund ratings: A first backtesting analysis, European Journal of Operational Research, Elsevier (2015) View citations (17) (2015)

2013

3. Backtesting superfund portfolio strategies based on frontier-based mutual fund ratings
   Post-Print, HAL View citations (2)
   Also in Working Papers, Hogeschool-Universiteit Brussel, Faculteit Economie en Management (2012) View citations (6)
4. On the Design of Agent-based Artificial Stock Markets
   Post-Print, HAL View citations (11)

2012

5. Algorithmic Complexity of Financial Motions
   ASSRU Discussion Papers, ASSRU - Algorithmic Social Science Research Unit View citations (2)
   Also in Post-Print, HAL (2012) View citations (1)
   See also Journal Article Algorithmic complexity of financial motions, Research in International Business and Finance, Elsevier (2014) View citations (4) (2014)
6. Introducing ATOM
   Post-Print, HAL View citations (1)
7. Optimal Portfolio Diversification? A multi-agents ecological competition analysis
   Post-Print, HAL View citations (1)
8. Risk Aversion Impact on Investment Strategy Performance: A Multi Agent-Based Analysis
   Post-Print, HAL View citations (2)

2011

9. Efficient Monitoring of Financial Orders with Agent-Based Technologies
   Post-Print, HAL
10. Key Points For Realistic Agent-Based Financial Market Simulations
    Post-Print, HAL View citations (3)

2010

11. A Generic Architecture for Realistic Simulations of Complex Financial Dynamics
    Post-Print, HAL View citations (3)
12. Exploring bi-criteria versus multi-dimensional lower partial moment portfolio models
    Post-Print, HAL
    Also in Working Papers, Hogeschool-Universiteit Brussel, Faculteit Economie en Management (2009)
13. Portfolio performance gauging in discrete time using a luenberger productivity indicator
    Post-Print, HAL View citations (15)
    Also in Working Papers, Hogeschool-Universiteit Brussel, Faculteit Economie en Management (2008)
    Working Papers, IESEG School of Management (2009) View citations (2)
    See also Journal Article Portfolio performance gauging in discrete time using a Luenberger productivity indicator, Journal of Banking & Finance, Elsevier (2010) View citations (16) (2010)
14. Simuler pour comprendre: un éclairage sur les dynamiques de marchés financiers à l'aide des systèmes multi-agents
    Post-Print, HAL
    Also in Post-Print, HAL (2009) View citations (2)
15. Une analyse de la complexité des dynamiques financiéres à l'aide de modèles multi-agents
    Post-Print, HAL
    Also in Post-Print, HAL (2008)

2009

16. Calibrating Agent-Based Models of financial markets
    Post-Print, HAL
17. Ex-Post Optimal Strategy for the Trading of a Single Financial Asset
    Post-Print, HAL
18. Gauging Agent-Based Trading of a Single Financial Asset
    Post-Print, HAL
19. Simuler pour comprendre: une explication des dynamiques de marchés financiers des systèmes multi-agents
    Post-Print, HAL

2008

20. Evaluation of Agent-Based Automatic Trading
    Post-Print, HAL
21. Performance Gauging in Discrete Time Using a Luenberger Portfolio Productivity Indicator
    Post-Print, HAL
    Also in Post-Print, HAL (2008)
    Post-Print, HAL (2008)
    Post-Print, HAL (2008)
    Post-Print, HAL (2008)

2007

22. A Conceptual Framework for the Evaluation of Agent-Based Trading and Technical Analysis
    Post-Print, HAL
    Also in Post-Print, HAL (2007)
23. L'apport des SMA à la modélisation des marchés financiers
    Post-Print, HAL
    Also in Post-Print, HAL (2007)
24. Testing double auction as a component within a generic market model architecture
    MPRA Paper, University Library of Munich, Germany
    Also in Post-Print, HAL (2007)
    Post-Print, HAL (2007)
25. Un modèle d'interaction réaliste pour la simulation de marchés financiers
    Post-Print, HAL
    Also in Post-Print, HAL (2007)

2006

26. A Broad Spectrum Computational Analysis for Market Efficiency
    Post-Print, HAL
27. A Broad-Spectrum Computational Approach for Market Efficiency
    Computing in Economics and Finance 2006, Society for Computational Economics
    Also in Post-Print, HAL (2006)
28. Capital Asset Pricing Model on the basis of Heterogeneous Investors
    Post-Print, HAL
    Also in Post-Print, HAL (2006)
29. Large Scale investigation of EMH with virtual agents
    Post-Print, HAL
30. Large-Scale Agent-Based Simulations and the Efficient Markets Hypothesis
    Post-Print, HAL
31. Les Marchés financiers artificiels
    Post-Print, HAL
    Also in Post-Print, HAL (2006)
32. Les marchés artificiels
    Post-Print, HAL
33. Sensitivité aux annonces macroéconomiques: une approche conventionnaliste
    Post-Print, HAL

2005

34. Artificial Economics
    Post-Print, HAL View citations (13)
35. Artificial Economics: Agent-Based Methods in Finance, Game Theory and their Applications, Lectures Notes in Economic and Mathematical Systems
    Post-Print, HAL
36. Complexité et phénomènes critiques en finance
    Post-Print, HAL View citations (4)
37. Croyances, représentations collectives et conventions en finance
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (10)
    Also in Post-Print, HAL (2005) View citations (11)
38. Efficience informationnelle et efficience technique
    Post-Print, HAL
39. Learning Strategies and Environmental Discontinuities
    Post-Print, HAL
    Also in Post-Print, HAL (2005)
40. Stock Markets as Minority Games: Cognitive Heterogeneity and Equilibrium Emergence
    Post-Print, HAL
    See also Journal Article Stock markets as Minority Games: cognitive heterogeneity and equilibrium emergence, Physica A: Statistical Mechanics and its Applications, Elsevier (2005) (2005)
41. Surviving Technological Discontinuities: Learning Strategies and Resource Accumulation
    Post-Print, HAL

Journal Articles

2015

1. Frontier-based vs. traditional mutual fund ratings: A first backtesting analysis
   European Journal of Operational Research, 2015, 242, (1), 332-342 View citations (17)
   See also Working Paper Frontier-based vs. traditional mutual fund ratings: A first backtesting analysis, Post-Print (2015) View citations (14) (2015)

2014

2. A computational definition of financial randomness
   Quantitative Finance, 2014, 14, (5), 761-770 View citations (3)
3. Algorithmic complexity of financial motions
   Research in International Business and Finance, 2014, 30, (C), 336-347 View citations (4)
   See also Working Paper Algorithmic Complexity of Financial Motions, ASSRU Discussion Papers (2012) View citations (2) (2012)

2012

4. A re-examination of the “zero is enough” hypothesis in the emergence of financial stylized facts
   Journal of Economic Interaction and Coordination, 2012, 7, (2), 223-248 View citations (5)

2010

5. Portfolio performance gauging in discrete time using a Luenberger productivity indicator
   Journal of Banking & Finance, 2010, 34, (8), 1899-1910 View citations (16)
   See also Working Paper Portfolio performance gauging in discrete time using a luenberger productivity indicator, Post-Print (2010) View citations (15) (2010)

2005

6. Stock markets as Minority Games: cognitive heterogeneity and equilibrium emergence
   Physica A: Statistical Mechanics and its Applications, 2005, 349, (1), 302-328
   See also Working Paper Stock Markets as Minority Games: Cognitive Heterogeneity and Equilibrium Emergence, Post-Print (2005) (2005)

2003

7. Asymmetric information, imitative behaviour and communication: price formation in an experimental asset market
   The European Journal of Finance, 2003, 9, (5), 393-419 View citations (7)

2001

8. Laboratory incentive structure and control-test design in an experimental asset market
   Journal of Economic Psychology, 2001, 22, (1), 1-26 View citations (1)

1999

9. Incertitude et fourchettes de prix sur un marché d'enchères:les apports du laboratoire
   Revue Finance Contrôle Stratégie, 1999, 2, (3), 87-113

Edited books

2006

1. Artificial Economics
   Lecture Notes in Economics and Mathematical Systems, Springer View citations (1)