Details about Marc Potters
Access statistics for papers by Marc Potters.
Last updated 2012-02-06. Update your information in the RePEc Author Service.
Short-id: ppo42
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Working Papers
2009
- Financial Applications of Random Matrix Theory: a short review
Papers, arXiv.org View citations (35)
2008
- Smile dynamics -- a theory of the implied leverage effect
Papers, arXiv.org View citations (3)
2007
- Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets
Papers, arXiv.org View citations (2)
Also in Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management (2006) View citations (11)
- The Student ensemble of correlation matrices: eigenvalue spectrum and Kullback-Leibler entropy
Papers, arXiv.org View citations (14)
2005
- Financial Applications of Random Matrix Theory: Old Laces and New Pieces
Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations (43)
Also in Papers, arXiv.org (2005) View citations (45)
- Large dimension forecasting models and random singular value spectra
Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations (3)
Also in Papers, arXiv.org (2005) View citations (1)
- Trend followers lose more often than they gain
Papers, arXiv.org View citations (3)
Also in Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management (2005) View citations (4)
2004
- 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 View citations (11)
Also in Papers, arXiv.org (2004) View citations (11)
- Random walks, liquidity molasses and critical response in financial markets
Papers, arXiv.org View citations (16)
Also in Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management (2004) View citations (23)
See also Journal Article Random walks, liquidity molasses and critical response in financial markets, Quantitative Finance, Taylor & Francis Journals (2006) View citations (53) (2006)
2003
- Comment on: "Two-phase behaviour of financial markets"
Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations (3)
- Fluctuations and response in financial markets: the subtle nature of `random' price changes
Papers, arXiv.org View citations (57)
Also in Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management (2003) View citations (35)
2002
- More statistical properties of order books and price impact
Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations (38)
- Reply to Johansen's comment
Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management
- Statistical properties of stock order books: empirical results and models
Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations (167)
2001
- Correlation structure of extreme stock returns
Papers, arXiv.org View citations (38)
Also in Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management (2000) View citations (1)
- Hedge your Monte Carlo
Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management
- Introducing Variety in Risk Management
Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management
Also in Papers, arXiv.org (2001)
- More stylized facts of financial markets: leverage effect and downside correlations
Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations (37)
- The leverage effect in financial markets: retarded volatility and market panic
Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations (103)
2000
- Hedged Monte-Carlo: low variance derivative pricing with objective probabilities
Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations (3)
- Option pricing and hedging with temporal correlations
Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management
1999
- Apparent multifractality in financial time series
Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations (12)
- Random matrix theory
Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations (10)
- Random matrix theory and financial correlations
Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations (13)
- Worst fluctuation method for fast value-at-risk estimates
Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations (2)
1998
- Are Financial Crashes Predictable?
Papers, arXiv.org View citations (10)
Also in Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management (1998) View citations (6)
- Back to basics: historical option pricing revisited
Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations (1)
- Noise dressing of financial correlation matrices
Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations (27)
- Rational Decisions, Random Matrices and Spin Glasses
Papers, arXiv.org View citations (29)
Also in Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management (1998) View citations (31)
- Strings Attached
Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations (2)
1997
- Missing Information and Asset Allocation
Papers, arXiv.org View citations (14)
Also in Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management (1997) View citations (13)
- Option pricing in the presence of extreme fluctuations
Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations (5)
- Phenomenology of the Interest Rate Curve
Papers, arXiv.org View citations (5)
Also in Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management (1997) View citations (10)
See also Journal Article Phenomenology of the interest rate curve, Applied Mathematical Finance, Taylor & Francis Journals (1999) View citations (22) (1999)
- Phenomenology of the interest curve
Finance, University Library of Munich, Germany
- Scaling in stock market data: stable laws and beyond
Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations (82)
Also in Papers, arXiv.org (1997) View citations (94)
1996
- Comment on "Turbulent cascades in foreign exchange markets"
Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations (8)
- Financial markets as adaptative systems
Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations (10)
Journal Articles
2008
- Relation between bid-ask spread, impact and volatility in order-driven markets
Quantitative Finance, 2008, 8, (1), 41-57 View citations (60)
2006
- Random walks, liquidity molasses and critical response in financial markets
Quantitative Finance, 2006, 6, (2), 115-123 View citations (53)
See also Working Paper Random walks, liquidity molasses and critical response in financial markets, Papers (2004) View citations (16) (2004)
1999
- Phenomenology of the interest rate curve
Applied Mathematical Finance, 1999, 6, (3), 209-232 View citations (22)
See also Working Paper Phenomenology of the Interest Rate Curve, Papers (1997) View citations (5) (1997)
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