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

Working Papers

2009

1. Financial Applications of Random Matrix Theory: a short review
   Papers, arXiv.org View citations (36)

2008

2. Smile dynamics -- a theory of the implied leverage effect
   Papers, arXiv.org View citations (3)

2007

3. 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)
4. The Student ensemble of correlation matrices: eigenvalue spectrum and Kullback-Leibler entropy
   Papers, arXiv.org View citations (14)

2005

5. Financial Applications of Random Matrix Theory: Old Laces and New Pieces
   Papers, arXiv.org View citations (45)
   Also in Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management (2005) View citations (43)
6. Large dimension forecasting models and random singular value spectra
   Papers, arXiv.org View citations (1)
   Also in Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management (2005) View citations (3)
7. Trend followers lose more often than they gain
   Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations (4)
   Also in Papers, arXiv.org (2005) View citations (3)

2004

8. 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)
9. Random walks, liquidity molasses and critical response in financial markets
   Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations (23)
   Also in Papers, arXiv.org (2004) View citations (16)
   See also Journal Article Random walks, liquidity molasses and critical response in financial markets, Quantitative Finance, Taylor & Francis Journals (2006) View citations (54) (2006)

2003

10. Comment on: "Two-phase behaviour of financial markets"
    Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations (3)
11. Fluctuations and response in financial markets: the subtle nature of `random' price changes
    Papers, arXiv.org View citations (61)
    Also in Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management (2003) View citations (39)

2002

12. More statistical properties of order books and price impact
    Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations (39)
13. Reply to Johansen's comment
    Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management
14. Statistical properties of stock order books: empirical results and models
    Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations (172)

2001

15. Correlation structure of extreme stock returns
    Papers, arXiv.org View citations (39)
    Also in Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management (2000) View citations (1)
16. Hedge your Monte Carlo
    Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management
17. Introducing Variety in Risk Management
    Papers, arXiv.org
    Also in Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management (2001)
18. 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)
19. 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

20. Hedged Monte-Carlo: low variance derivative pricing with objective probabilities
    Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations (3)
21. Option pricing and hedging with temporal correlations
    Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management

1999

22. Apparent multifractality in financial time series
    Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations (12)
23. Random matrix theory
    Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations (10)
24. Random matrix theory and financial correlations
    Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations (13)
25. Worst fluctuation method for fast value-at-risk estimates
    Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations (2)

1998

26. 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)
27. Back to basics: historical option pricing revisited
    Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations (1)
28. Noise dressing of financial correlation matrices
    Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations (27)
29. 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)
30. Strings Attached
    Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations (2)

1997

31. 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)
32. Option pricing in the presence of extreme fluctuations
    Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations (5)
33. 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)
34. Phenomenology of the interest curve
    Finance, University Library of Munich, Germany
35. Scaling in stock market data: stable laws and beyond
    Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations (83)
    Also in Papers, arXiv.org (1997) View citations (95)

1996

36. Comment on "Turbulent cascades in foreign exchange markets"
    Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations (8)
37. Financial markets as adaptative systems
    Science & Finance (CFM) working paper archive, Science & Finance, Capital Fund Management View citations (10)

Journal Articles

2008

1. Relation between bid-ask spread, impact and volatility in order-driven markets
   Quantitative Finance, 2008, 8, (1), 41-57 View citations (61)

2006

2. Random walks, liquidity molasses and critical response in financial markets
   Quantitative Finance, 2006, 6, (2), 115-123 View citations (54)
   See also Working Paper Random walks, liquidity molasses and critical response in financial markets, Science & Finance (CFM) working paper archive (2004) View citations (23) (2004)

1999

3. 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)