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Jean-Philippe Bouchaud

Identifiers

  • name variant Jean-Philippe Bouchaud 0.60 · backfill

Papers (157)

  1. Do Venture Capitalists Beat Random Allocation? econ.GN · 2026 · author #2
  2. Random Matrix Theory of Early-Stopped Gradient Flow: A Transient BBP Scenario stat.ML · 2026 · author #3
  3. Confidence Collapse in a Multi-Household, Self-Reflexive DSGE Model q-fin.GN · 2019 · author #4
  4. The Case for Long-Only Agnostic Allocation Portfolios q-fin.PM · 2019 · author #5
  5. Impact is not just volatility q-fin.TR · 2019 · author #4
  6. Are trading invariants really invariant? Trading costs matter q-fin.TR · 2019 · author #3
  7. How should you discount your backtest PnL? q-fin.ST · 2019 · author #3
  8. Slow decay of impact in equity markets: insights from the ANcerno database q-fin.TR · 2019 · author #4
  9. Econophysics: Still fringe after 30 years? physics.soc-ph · 2019 · author #1
  10. Crossover from linear to square-Root market impact q-fin.TR · 2018 · author #4
  11. Co-existence of Trend and Value in Financial Markets: Estimating an Extended Chiarella Model q-fin.ST · 2018 · author #3
  12. The Multivariate Kyle model: More is different q-fin.TR · 2018 · author #4
  13. Can the glass transition be explained without a growing static length scale? cond-mat.stat-mech · 2018 · author #3
  14. Co-impact: Crowding effects in institutional trading activity q-fin.TR · 2018 · author #5
  15. Greedy algorithms and Zipf laws cond-mat.stat-mech · 2018 · author #2
  16. Market impact with multi-timescale liquidity q-fin.TR · 2017 · author #2
  17. Optimal Inflation Target: Insights from an Agent-Based Model q-fin.EC · 2017 · author #1
  18. Trends and Risk Premia: Update and Additional Plots q-fin.PM · 2017 · author #6
  19. Nonlinear price impact from linear models q-fin.TR · 2017 · author #2
  20. The "Size Premium" in Equity Markets: Where is the Risk? q-fin.PM · 2017 · author #5
  21. You are in a drawdown. When should you start worrying? q-fin.PM · 2017 · author #3
  22. Universal scaling and nonlinearity of aggregate price impact in financial markets q-fin.TR · 2017 · author #2
  23. A fractional reaction-diffusion description of supply and demand q-fin.MF · 2017 · author #2
  24. The short-term price impact of trades is universal q-fin.TR · 2017 · author #3
  25. Trading Lightly: Cross-Impact and Optimal Portfolio Execution q-fin.TR · 2017 · author #4
  26. Quantum Mechanics with a non-zero quantum correlation time quant-ph · 2017 · author #1
  27. Agnostic Risk Parity: Taming Known and Unknown-Unknowns q-fin.PM · 2016 · author #6
  28. Cleaning large correlation matrices: tools from random matrix theory cond-mat.stat-mech · 2016 · author #2
  29. Price impact without order book: A study of the OTC credit index market q-fin.TR · 2016 · author #2
  30. Dissecting cross-impact on stock markets: An empirical analysis q-fin.TR · 2016 · author #4
  31. Edge Mode Amplification in Disordered Elastic Networks cond-mat.soft · 2016 · author #2
  32. Genuine localisation transition in a long-range hopping model cond-mat.stat-mech · 2016 · author #3
  33. Tail protection for long investors: Trend convexity at work q-fin.GN · 2016 · author #5
  34. Why have asset price properties changed so little in 200 years q-fin.GN · 2016 · author #1
  35. Linear models for the impact of order flow on prices II. The Mixture Transition Distribution model q-fin.TR · 2016 · author #3
  36. On the overlaps between eigenvectors of correlated random matrices cond-mat.stat-mech · 2016 · author #2
  37. The square-root impact law also holds for option markets q-fin.TR · 2016 · author #3
  38. Unravelling the trading invariance hypothesis q-fin.TR · 2016 · author #3
  39. Linear models for the impact of order flow on prices I. Propagators: Transient vs. History Dependent Impact q-fin.TR · 2016 · author #3
  40. The Excess Returns of "Quality" Stocks: A Behavioral Anomaly q-fin.PM · 2016 · author #1
  41. Do investors trade too much? A laboratory experiment q-fin.GN · 2015 · author #3
  42. Quadratic Hawkes processes for financial prices q-fin.TR · 2015 · author #3
  43. Spontaneous instabilities and stick-slip motion in a generalized Hebraud-Lequeux model cond-mat.soft · 2015 · author #1
  44. From Walras' auctioneer to continuous time double auctions: A general dynamic theory of supply and demand q-fin.TR · 2015 · author #2
  45. Why Do Markets Crash? Bitcoin Data Offers Unprecedented Insights q-fin.TR · 2015 · author #2
  46. Rotational invariant estimator for general noisy matrices cond-mat.stat-mech · 2015 · author #3
  47. Turbulent fracture surfaces: A footprint of damage percolation? cond-mat.mtrl-sci · 2014 · author #3
  48. The eigenvectors of Gaussian matrices with an external source math.PR · 2014 · author #3
  49. A fully consistent, minimal model for non-linear market impact q-fin.TR · 2014 · author #4
  50. Revisiting Directed Polymers with heavy-tailed disorder cond-mat.dis-nn · 2014 · author #3
  51. Sudden Trust Collapse in Networked Societies physics.soc-ph · 2014 · author #2
  52. Endogenous crisis waves: a stochastic model with synchronized collective behavior cond-mat.stat-mech · 2014 · author #2
  53. Instabilities in large economies: aggregate volatility without idiosyncratic shocks q-fin.EC · 2014 · author #2
  54. Instanton Approach to Large $N$ Harish-Chandra-Itzykson-Zuber Integrals cond-mat.stat-mech · 2014 · author #2
  55. Branching ratio approximation for the self-exciting Hawkes process q-fin.ST · 2014 · author #2
  56. Anomalous impact in reaction-diffusion models cond-mat.stat-mech · 2014 · author #3
  57. Critical dynamical heterogeneities close to continuous second-order glass transitions cond-mat.dis-nn · 2014 · author #3
  58. Agent-based models for latent liquidity and concave price impact q-fin.TR · 2013 · author #3
  59. Skew and implied leverage effect: smile dynamics revisited q-fin.ST · 2013 · author #3
  60. On the emergence of an "intention field" for socially cohesive agents physics.soc-ph · 2013 · author #1
  61. Explore or exploit? A generic model and an exactly solvable case cond-mat.dis-nn · 2013 · author #3
  62. The fine structure of volatility feedback II: overnight and intra-day effects q-fin.ST · 2013 · author #3
  63. A nested factor model for non-linear dependences in stock returns q-fin.RM · 2013 · author #2
  64. Tipping points in macroeconomic Agent-Based models q-fin.GN · 2013 · author #4
  65. Some applications of first-passage ideas to finance q-fin.ST · 2013 · author #2
  66. Critical reflexivity in financial markets: a Hawkes process analysis q-fin.ST · 2013 · author #3
  67. Eigenvector dynamics under free addition math.PR · 2013 · author #2
  68. Invariant $\beta$-Wishart ensembles, crossover densities and asymptotic corrections to the Marchenko-Pastur law cond-mat.stat-mech · 2012 · author #2
  69. Evidence of growing spatial correlations during the aging of glassy glycerol cond-mat.soft · 2012 · author #5
  70. Weighted Kolmogorov-Smirnov test: Accounting for the tails stat.AP · 2012 · author #2
  71. The fine-structure of volatility feedback I: multi-scale self-reflexivity q-fin.ST · 2012 · author #2
  72. Invariant $\beta$-ensembles and the Gauss-Wigner crossover math.PR · 2012 · author #2
  73. A proposal for impact-adjusted valuation: Critical leverage and execution risk q-fin.GN · 2012 · author #2
  74. Eigenvector dynamics: general theory and some applications cond-mat.stat-mech · 2012 · author #2
  75. Optimal Trading with Linear Costs q-fin.PM · 2012 · author #4
  76. Election turnout statistics in many countries: similarities, differences, and a diffusive field model for decision-making physics.soc-ph · 2012 · author #3
  77. Eigenvector dynamics: theory and some applications cond-mat.stat-mech · 2011 · author #2
  78. Models for the impact of all order book events q-fin.TR · 2011 · author #2
  79. Goodness-of-Fit tests with Dependent Observations q-fin.ST · 2011 · author #2
  80. Erratum for: Smile dynamics -- a theory of the implied leverage effect q-fin.PR · 2011 · author #2
  81. Anomalous price impact and the critical nature of liquidity in financial markets q-fin.TR · 2011 · author #6
  82. How does the market react to your order flow? q-fin.TR · 2011 · author #5
  83. Principal Regression Analysis and the index leverage effect q-fin.ST · 2010 · author #3
  84. Individual and collective stock dynamics: intra-day seasonalities q-fin.ST · 2010 · author #2
  85. Overview of different characterisations of dynamic heterogeneity cond-mat.stat-mech · 2010 · author #3
  86. The joint distribution of stock returns is not elliptical q-fin.ST · 2010 · author #2
  87. Spatial correlations in vote statistics: a diffusive field model for decision-making physics.soc-ph · 2010 · author #2
  88. Elementary Excitation Modes in a Granular Glass above Jamming cond-mat.soft · 2010 · author #4
  89. Predictive power of MCT: Numerics and Finite size scaling for a mean field spin glass cond-mat.dis-nn · 2009 · author #4
  90. The (unfortunate) complexity of the economy q-fin.GN · 2009 · author #1
  91. The price impact of order book events: market orders, limit orders and cancellations q-fin.TR · 2009 · author #2
  92. Anomalous non-linear response of glassy liquids: general arguments and a Mode-Coupling approach cond-mat.stat-mech · 2008 · author #3
  93. Smile dynamics -- a theory of the implied leverage effect q-fin.PR · 2008 · author #2
  94. Optimal Time to Sell a Stock in Black-Scholes Model: Comment on "Thou shall buy and hold", by A. Shiryaev, Z. Xu and X.Y. Zhou q-fin.PR · 2008 · author #2
  95. How markets slowly digest changes in supply and demand q-fin.TR · 2008 · author #1
  96. Freezing and extreme value statistics in a Random Energy Model with logarithmically correlated potential cond-mat.dis-nn · 2008 · author #2
  97. Statistical mechanics of a single particle in a multiscale random potential: Parisi landscapes in finite dimensional Euclidean spaces cond-mat.dis-nn · 2007 · author #2
  98. Quantum plasticity and dislocation-induced supersolidity cond-mat.stat-mech · 2007 · author #1
  99. The Student ensemble of correlation matrices: eigenvalue spectrum and Kullback-Leibler entropy q-fin.ST · 2007 · author #2
  100. On an explicit construction of Parisi landscapes in finite dimensional Euclidean spaces cond-mat.dis-nn · 2007 · author #2
  101. Spatial correlations in the dynamics of glassforming liquids: Experimental determination of their temperature dependence cond-mat.stat-mech · 2007 · author #6
  102. Extreme value problems in Random Matrix Theory and other disordered systems cond-mat.stat-mech · 2007 · author #2
  103. Critical fluctuations and breakdown of Stokes-Einstein relation in the Mode-Coupling Theory of glasses cond-mat.stat-mech · 2006 · author #2
  104. Spontaneous and induced dynamic correlations in glass-formers II: Model calculations and comparison to numerical simulations cond-mat.stat-mech · 2006 · author #3
  105. Spontaneous and induced dynamic fluctuations in glass-formers I: General results and dependence on ensemble and dynamics cond-mat.stat-mech · 2006 · author #3
  106. On the top eigenvalue of heavy-tailed random matrices cond-mat.stat-mech · 2006 · author #2
  107. Of Songs and Men: a Model for Multiple Choice with Herding physics.data-an · 2006 · author #2
  108. Inhomogeneous Mode-Coupling Theory and Growing Dynamic Length in Supercooled Liquids cond-mat.stat-mech · 2006 · author #2
  109. Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets physics.data-an · 2006 · author #2
  110. Field theories and exact stochastic equations for interacting particle systems cond-mat.stat-mech · 2006 · author #3
  111. Direct experimental evidence of a growing length scale accompanying the glass transition cond-mat.stat-mech · 2005 · author #3
  112. Large dimension forecasting models and random singular value spectra physics.data-an · 2005 · author #1
  113. Trend followers lose more often than they gain physics.data-an · 2005 · author #2
  114. Disorder chaos in spin glasses cond-mat.dis-nn · 2005 · author #2
  115. Theory of collective opinion shifts: from smooth trends to abrupt swings cond-mat.stat-mech · 2005 · author #2
  116. Non-linear susceptibility in glassy systems: a probe for cooperative dynamical length scales cond-mat.stat-mech · 2005 · author #1
  117. The Dynamics of Financial Markets -- Mandelbrot's multifractal cascades, and beyond cond-mat.other · 2005 · author #2
  118. Subdiffusion and dynamical heterogeneities in a lattice glass model cond-mat.dis-nn · 2005 · author #2
  119. What do we learn from the shape of the dynamical susceptibility of glass-formers? cond-mat.dis-nn · 2004 · author #5
  120. Experts' earning forecasts: bias, herding and gossamer information cond-mat.other · 2004 · author #2
  121. Glassy dynamics: mean-field `landscape' pictures versus growing length scale scenarii cond-mat.soft · 2004 · author #1
  122. Dynamics of granular avalanches caused by local perturbations cond-mat.stat-mech · 2004 · author #3
  123. Diverging length scale and upper critical dimension in the Mode-Coupling Theory of the glass transition cond-mat.stat-mech · 2004 · author #2
  124. Temperature and Disorder Chaos in Low Dimensional Directed Paths cond-mat.dis-nn · 2003 · author #2
  125. Option pricing and hedging with minimum local expected shortfall cond-mat · 2003 · author #2
  126. Self-referential behaviour, overreaction and conventions in financial markets cond-mat · 2003 · author #2
  127. Multiple time scales in volatility and leverage correlations: An stochastic volatility model cond-mat.stat-mech · 2003 · author #3
  128. More statistical properties of order books and price impact cond-mat · 2002 · author #2
  129. Comment on `Symmetrical Temperature-Chaos effect with Positive and Negative Temperature Shifts in a Spin Glass' cond-mat.dis-nn · 2002 · author #2
  130. Trap Model and Slow Dynamics in Supercooled Liquids cond-mat.soft · 2002 · author #3
  131. Temperature shifts in the Sinai model: static and dynamical effects cond-mat.dis-nn · 2002 · author #2
  132. Reply to Johansen's comment cond-mat · 2002 · author #4
  133. Bubbles, crashes and intermittency in agent based market models cond-mat · 2002 · author #2
  134. Geometrical Aspects of Aging and Rejuvenation in the Ising Spin Glass: A Numerical Study cond-mat.stat-mech · 2002 · author #2
  135. Introducing Variety in Risk Management cond-mat.stat-mech · 2001 · author #3
  136. Separation of time and length scales in spin-glasses: temperature as a microscope cond-mat · 2001 · author #1
  137. Microscopic Models for Long Ranged Volatility Correlations cond-mat.dis-nn · 2001 · author #2
  138. Hopping in the Glass Configuration Space: Subaging and Generalized Scaling Laws cond-mat.stat-mech · 2001 · author #3
  139. On a universal mechanism for long ranged volatility correlations cond-mat · 2000 · author #1
  140. Population dynamics in a random environment cond-mat · 2000 · author #2
  141. Wealth condensation in a simple model of economy cond-mat · 2000 · author #1
  142. Multiple scaling regimes in simple aging models cond-mat.stat-mech · 2000 · author #3
  143. Exact Solutions of a Model for Granular Avalanches cond-mat.stat-mech · 1999 · author #3
  144. Back to basics: historical option pricing revisited cond-mat · 1998 · author #1
  145. A model for ripple instabilities in granular media cond-mat · 1998 · author #3
  146. A Langevin Approach to Stock Market Fluctuations and Crashes cond-mat · 1998 · author #1
  147. Rational Decisions, Random Matrices and Spin Glasses cond-mat.dis-nn · 1998 · author #2
  148. Stick-slip Transition in the Scalar Arching Model cond-mat · 1998 · author #2
  149. Out of equilibrium dynamics in spin-glasses and other glassy systems cond-mat.dis-nn · 1997 · author #1
  150. Self Consistent Screening Approximation For Critical Dynamics cond-mat · 1996 · author #2
  151. Slow dynamics and aging in spin-glasses cond-mat · 1996 · author #4
  152. The Large Scale Energy Landscapes of Randomly Pinned Objects cond-mat · 1996 · author #2
  153. Mode-Coupling Approximations, Glass Theory and Disordered Systems cond-mat · 1995 · author #1
  154. Stock market crashes, Precursors and Replicas cond-mat · 1995 · author #3
  155. Real-world options: smile and residual risk cond-mat · 1995 · author #1
  156. ON A DYNAMICAL MODEL OF GLASSES cond-mat · 1995 · author #1
  157. Conductance statistics in small GaAs:Si wires at low temperatures. I. Theoretical analysis: truncated quantum fluctuations in insulating wires cond-mat · 1993 · author #2

Mentions

  • 0905.3333 #4 · backfill · confidence 0.70 Jean-Philippe Bouchaud
  • 0904.0900 #2 · backfill · confidence 0.70 Jean-Philippe Bouchaud
  • 0904.0805 #1 · backfill · confidence 0.70 Jean-Philippe Bouchaud
  • 0812.3514 #3 · backfill · confidence 0.70 Jean-Philippe Bouchaud
  • 0809.3375 #2 · backfill · confidence 0.70 Jean-Philippe Bouchaud
  • 0809.2878 #2 · backfill · confidence 0.70 Jean-Philippe Bouchaud
  • 0809.0822 #1 · backfill · confidence 0.70 Jean-Philippe Bouchaud
  • 0805.0407 #2 · backfill · confidence 0.70 Jean-Philippe Bouchaud
  • 0711.4006 #2 · backfill · confidence 0.70 Jean-Philippe Bouchaud
  • 0710.3087 #1 · backfill · confidence 0.70 Jean-Philippe Bouchaud
  • 0710.0802 #2 · backfill · confidence 0.70 Jean-Philippe Bouchaud
  • 0706.3776 #2 · backfill · confidence 0.70 Jean-Philippe Bouchaud
  • 0706.1906 #6 · backfill · confidence 0.70 Jean-Philippe Bouchaud

Frequent Coauthors