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 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