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authFullName_s : Jean-Philippe Bouchaud

Market microstructure: confronting many viewpoints

Frédéric Abergel , Jean-Philippe Bouchaud , Thierry Foucault , Mathieu Rosenbaum , Charles-Albert Lehalle
Wiley, pp.254, 2012, 978-1-119-95241-1. ⟨10.1002/9781118673553⟩
Books hal-00872398v1

Some applications of first-passage ideas to finance

Rémy Chicheportiche , Jean-Philippe Bouchaud
Ralf Metzler, Gleb Oshanin, Sidney Redner. First-passage Phenomena and Their Applications, World Scientific Publishing, pp.447-476, 2014, 978-9814590280
Book sections hal-01010312v1
Image document

Why have asset price properties changed so little in 200 years

Jean-Philippe Bouchaud , Damien Challet
Econophysics and Sociophysics: Recent Progress and Future Directions, Springer, 2017, 978-3-319-47704-6. ⟨10.1007/978-3-319-47705-3⟩
Book sections hal-01311113v1

The fine structure of volatility feedback II: overnight and intra-day effects

Rémy Chicheportiche , Jean-Philippe Bouchaud , Pierre Blanc
Physica A: Statistical Mechanics and its Applications, 2014, 402, pp.58-75. ⟨10.1016/j.physa.2014.01.047⟩
Journal articles hal-01010333v1

Goodness-of-Fit tests with Dependent Observations

Rémy Chicheportiche , Jean-Philippe Bouchaud
Journal of Statistical Mechanics: Theory and Experiment, 2011, 2011 (9), pp.P09003. ⟨10.1088/1742-5468/2011/09/P09003⟩
Journal articles hal-00621061v1

Spontaneous instabilities and stick-slip motion in a generalized Hébraud–Lequeux model

Jean-Philippe Bouchaud , Stanislao Gualdi , Marco Tarzia , Francesco Zamponi
Soft Matter, 2016, 12, pp.1230-1237. ⟨10.1039/C5SM02216A⟩
Journal articles hal-01280867v1

The joint distribution of stock returns is not elliptical

Rémy Chicheportiche , Jean-Philippe Bouchaud
International Journal of Theoretical and Applied Finance, 2012, 15 (3), pp12500. ⟨10.1142/S0219024912500197⟩
Journal articles hal-00703720v1

The fine-structure of volatility feedback I: Multi-scale self-reflexivity

Rémy Chicheportiche , Jean-Philippe Bouchaud
Physica A: Statistical Mechanics and its Applications, 2014, 410, pp.174-195. ⟨10.1016/j.physa.2014.05.007⟩
Journal articles hal-00722261v1

Weighted Kolmogorov-Smirnov test: Accounting for the tails

Rémy Chicheportiche , Jean-Philippe Bouchaud
Physical Review E : Statistical, Nonlinear, and Soft Matter Physics, 2012, 86 (4), pp.1115. ⟨10.1103/PhysRevE.86.041115⟩
Journal articles hal-00722264v1
Image document

Do investors trade too much? A laboratory experiment

João da Gama Batista , Domenico Massaro , Jean-Philippe Bouchaud , Damien Challet , Cars Hommes
Journal of Economic Behavior and Organization, 2017, 140 (August 2017), pp.18-34. ⟨10.1016/j.jebo.2017.05.013⟩
Journal articles hal-01244465v1
Image document

Monetary Policy and Dark Corners in a stylized Agent-Based Model

Stanislao Gualdi , Marco Tarzia , Francesco Zamponi , Jean-Philippe Bouchaud
Journal of Economic Interaction and Coordination, 2016, 12 (3), pp.507-537. ⟨10.1007/s11403-016-0174-z⟩
Journal articles hal-01370217v1