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Agent-based models for latent liquidity and concave price impact.
Mastromatteo I, Tóth B, Bouchaud JP. Mastromatteo I, et al. Among authors: bouchaud jp. Phys Rev E Stat Nonlin Soft Matter Phys. 2014 Apr;89(4):042805. doi: 10.1103/PhysRevE.89.042805. Epub 2014 Apr 14. Phys Rev E Stat Nonlin Soft Matter Phys. 2014. PMID: 24827291
Branching-ratio approximation for the self-exciting Hawkes process.
Hardiman SJ, Bouchaud JP. Hardiman SJ, et al. Among authors: bouchaud jp. Phys Rev E Stat Nonlin Soft Matter Phys. 2014 Dec;90(6):062807. doi: 10.1103/PhysRevE.90.062807. Epub 2014 Dec 11. Phys Rev E Stat Nonlin Soft Matter Phys. 2014. PMID: 25615148
Eigenvector dynamics: General theory and some applications.
Allez R, Bouchaud JP. Allez R, et al. Among authors: bouchaud jp. Phys Rev E Stat Nonlin Soft Matter Phys. 2012 Oct;86(4 Pt 2):046202. doi: 10.1103/PhysRevE.86.046202. Epub 2012 Oct 3. Phys Rev E Stat Nonlin Soft Matter Phys. 2012. PMID: 23214658
Weighted Kolmogorov-Smirnov test: accounting for the tails.
Chicheportiche R, Bouchaud JP. Chicheportiche R, et al. Among authors: bouchaud jp. Phys Rev E Stat Nonlin Soft Matter Phys. 2012 Oct;86(4 Pt 1):041115. doi: 10.1103/PhysRevE.86.041115. Epub 2012 Oct 10. Phys Rev E Stat Nonlin Soft Matter Phys. 2012. PMID: 23214537
Ground-state statistics of directed polymers with heavy-tailed disorder.
Gueudre T, Le Doussal P, Bouchaud JP, Rosso A. Gueudre T, et al. Among authors: bouchaud jp. Phys Rev E Stat Nonlin Soft Matter Phys. 2015 Jun;91(6):062110. doi: 10.1103/PhysRevE.91.062110. Epub 2015 Jun 8. Phys Rev E Stat Nonlin Soft Matter Phys. 2015. PMID: 26172664
Crossover from Linear to Square-Root Market Impact.
Bucci F, Benzaquen M, Lillo F, Bouchaud JP. Bucci F, et al. Among authors: bouchaud jp. Phys Rev Lett. 2019 Mar 15;122(10):108302. doi: 10.1103/PhysRevLett.122.108302. Phys Rev Lett. 2019. PMID: 30932667
86 results