Radical Complexity

Jean-Philippe Bouchaud

Papers from arXiv.org

Abstract: This is an informal and sketchy review of six topical, somewhat unrelated subjects in quantitative finance: rough volatility models; random covariance matrix theory; copulas; crowded trades; high-frequency trading & market stability; and "radical complexity" & scenario based (macro)economics. Some open questions and research directions are briefly discussed.

Date: 2021-03
New Economics Papers: this item is included in nep-hme
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