Tarzia, Marco, Biroli, Giulio, Bouchaud, Jean-Philippe, Lefèvre, Alexandre
We study theoretically the non-linear response properties of glass formers. We establish several general results which, together with the assumption of Time-Temperature Superposition, lead to a...
Economics need a scientific revolution (2008)
I argue that the current financial crisis highlights the crucial need of a change of mindset in economics and financial engineering, that should move away from dogmatic axioms and focus more on data,...
Smile dynamics -- a theory of the implied leverage effect (2008)
Ciliberti, Stefano, Bouchaud, Jean-Philippe, Potters, Marc
We study in details the skew of stock option smiles, which is induced by the so-called leverage effect on the underlying -- i.e. the correlation between past returns and future square returns. This...
Majumdar, Satya N., Bouchaud, Jean-Philippe
We reconsider the problem of optimal time to sell a stock studied recently by Shiryaev, Xu and Zhou using path integral methods. This method allows us to confirm the results obtained by these authors...
How markets slowly digest changes in supply and demand (2008)
Bouchaud, Jean-Philippe, Farmer, J. Doyne, Lillo, Fabrizio
In this article we revisit the classic problem of tatonnement in price formation from a microstructure point of view, reviewing a recent body of theoretical and empirical work explaining how...
Models of Randomness and Complexity, from Turbulence to Stock Markets (2008)
Leonardo - Volume 41, Number 3, June 2008
Fyodorov, Yan V, Bouchaud, Jean-Philippe
We investigate some implications of the freezing scenario proposed by Carpentier and Le Doussal (CLD) for a random energy model (REM) with logarithmically correlated random potential. We introduce a...
Stock price jumps: news and volume play a minor role (2008)
Joulin, Armand, Lefevre, Augustin, Grunberg, Daniel, Bouchaud, Jean-Philippe
In order to understand the origin of stock price jumps, we cross-correlate high-frequency time series of stock returns with different news feeds. We find that neither idiosyncratic news nor market...
On a Dynamical Model of Glasses (2008)
Bouchaud, Jean-Philippe, Comtet, Alain, Monthus, Cécile
We analyse a simple dynamical model of glasses, based on the idea that each particle is trapped in a local potential well, which itself evolves due to hopping of neighbouring particles. The glass...
On a Dynamical Model of Glasses (2008)
Bouchaud, Jean-Philippe, Comtet, Alain, Monthus, Cécile
We analyse a simple dynamical model of glasses, based on the idea that each particle is trapped in a local potential well, which itself evolves due to hopping of neighbouring particles. The glass...
On a Dynamical Model of Glasses (2008)
Bouchaud, Jean-Philippe, Comtet, Alain, Monthus, Cécile
We analyse a simple dynamical model of glasses, based on the idea that each particle is trapped in a local potential well, which itself evolves due to hopping of neighbouring particles. The glass...
Fyodorov, Yan V, Bouchaud, Jean-Philippe
We construct a N-dimensional Gaussian landscape with multiscale, translation invariant, logarithmic correlations and investigate the statistical mechanics of a single particle in this environment. In...
Quantum plasticity and dislocation-induced supersolidity (2007)
Bouchaud, Jean-Philippe, Biroli, Giulio
We suggest that below a certain temperature T_k, the free energy for the creation of kinks-antikinks pairs in the dislocation network of solid He4 becomes negative. The underlying physical mechanism...
Biroli, Giulio, Bouchaud, Jean-Philippe, Potters, Marc
We study a new ensemble of random correlation matrices related to multivariate Student (or more generally elliptic) random variables. We establish the exact density of states of empirical correlation...
On an explicit construction of Parisi landscapes in finite dimensional Euclidean spaces (2007)
Fyodorov, Yan V., Bouchaud, Jean-Philippe
We construct a N-dimensional Gaussian landscape with multiscale, translation invariant, logarithmic correlations and investigate the statistical mechanics of a single particle in this environment. In...
Dalle-Ferrier, Cécile, Thibierge, Caroline, Alba-Simionesco, Christiane, Berthier, Ludovic, Biroli, Giulio, Bouchaud, Jean-Philippe, ...
We use recently introduced three-point dynamic susceptibilities to obtain an experimental determination of the temperature evolution of the number of molecules, N_corr, that are dynamically...
Anomalous relaxation in complex systems: from stretched to compressed exponentials (2007)
We attempt to give a bird's eye view of the physical mechanisms leading to anomalous relaxation, and the relation of this phenomenon with anomalous diffusion and transport. Whereas in some cases...
More statistical properties of order books and price impact (2007)
Potters, Marc, Bouchaud, Jean-Philippe
We investigate present some new statistical properties of order books. We analyse data from the Nasdaq and investigate (a) the statistics of incoming limit order prices, (b) the shape of the average...
Option pricing and hedging with minimum local expected shortfall (2007)
Pochart, Benoît, Bouchaud, Jean-Philippe
We propose a versatile Monte-Carlo method for pricing and hedging options when the market is incomplete, for an arbitrary risk criterion (chosen here to be the expected shortfall), for a large class...
Extreme value problems in Random Matrix Theory and other disordered systems (2007)
Biroli, Giulio, Bouchaud, Jean-Philippe, Potters, Marc
We review some applications of central limit theorems and extreme values statistics in the context of disordered systems. We discuss several problems, in particular concerning Random Matrix Theory...
Hedging large risks reduces the transaction costs (2006)
Selmi, Farhat, Bouchaud, Jean-Philippe
As soon as one accepts to abandon the zero-risk paradigm of Black-Scholes, very interesting issues concerning risk control arise because different definitions of the risk become unequivalent. Optimal...
Biroli, Giulio, Bouchaud, Jean-Philippe
We argue that the critical dynamical fluctuations predicted by the mode-coupling theory (MCT) of glasses provide a natural mechanism to explain the breakdown of the Stokes-Einstein relation. This...
Berthier, Ludovic, Biroli, Giulio, Bouchaud, Jean-Philippe, Kob, Walter, Miyazaki, Kunimasa, Reichman, David
We study theoretically and numerically a family of multi-point dynamic susceptibilities that quantify the strength and characteristic lengthscales of dynamic heterogeneities in glass-forming...
Berthier, Ludovic, Biroli, Giulio, Bouchaud, Jean-Philippe, Kob, Walter, Miyazaki, Kunimasa, Reichman, David
We study in detail the predictions of various theoretical approaches, in particular mode-coupling theory (MCT) and kinetically constrained models (KCMs), concerning the time, temperature, and...
On the top eigenvalue of heavy-tailed random matrices (2006)
Biroli, Giulio, Bouchaud, Jean-Philippe, Potters, Marc
We study the statistics of the largest eigenvalue lambda_max of N x N random matrices with unit variance, but power-law distributed entries, P(M_{ij})~ |M_{ij}|^{-1-mu}. When mu > 4, lambda_max...
Of Songs and Men: a Model for Multiple Choice with Herding (2006)
Borghesi, Christian, Bouchaud, Jean-Philippe
We propose a generic model for multiple choice situations in the presence of herding and compare it with recent empirical results from a Web-based music market experiment. The model predicts a phase...
Inhomogeneous Mode-Coupling Theory and Growing Dynamic Length in Supercooled Liquids (2006)
Biroli, Giulio, Bouchaud, Jean-Philippe, Miyazaki, Kunimasa, Reichman, David R.
We extend Mode-Coupling Theory (MCT) to inhomogeneous situations, relevant for supercooled liquid in pores, close to a surface, or in an external field. We compute the response of the dynamical...
What do we learn from the shape of the dynamical susceptibility of glass-formers? (2006)
Toninelli, Cristina, Wyart, Matthieu, Berthier, Ludovic, Biroli, Giulio, Bouchaud, Jean-Philippe
We compute analytically and numerically the four-point correlation function that characterizes non-trivial cooperative dynamics in glassy systems within several models of glasses: elasto-plastic...
Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets (2006)
Wyart, Matthieu, Bouchaud, Jean-Philippe, Kockelkoren, Julien, Potters, Marc, Vettorazzo, Michele
We show that the cost of market orders and the profit of infinitesimal market-making or -taking strategies can be expressed in terms of directly observable quantities, namely the spread and the...
Field theories and exact stochastic equations for interacting particle systems (2006)
Andreanov, Alexei, Biroli, Giulio, Bouchaud, Jean-Philippe, Lefevre, Alexandre
We present a new approach to the dynamics of interacting particles with reaction and diffusion. Starting from the underlying discrete stochastic jump process we derive a general field theory...
Direct experimental evidence of a growing length scale accompanying the glass transition (2005)
Berthier, Ludovic, Biroli, Giulio, Bouchaud, Jean-Philippe, Cipelletti, Luca, Masri, Djamel El, L'Hôte, Denis, ...
Understanding glass formation is a challenge because the existence of a true glass state, distinct from liquid and solid, remains elusive: Glasses are liquids that have become too viscous to flow. An...
Large dimension forecasting models and random singular value spectra (2005)
Bouchaud, Jean-Philippe, Laloux, Laurent, Miceli, M. Augusta, Potters, Marc
We present a general method to detect and extract from a finite time sample statistically meaningful correlations between input and output variables of large dimensionality. Our central result is...
Self-referential behaviour, overreaction and conventions in financial markets (2005)
Wyart, Matthieu, Bouchaud, Jean-Philippe
We study a generic model for self-referential behaviour in financial markets, where agents attempt to use some (possibly fictitious) causal correlations between a certain quantitative information and...
Statistical models for company growth (2005)
Wyart, Matthieu, Bouchaud, Jean-Philippe
We study Sutton\'s `microcanonical\' model for the internal organisation of firms, that leads to non trivial scaling properties for the statistics of growth rates. We show that the growth rates are...
Multiple Domain Growth and Memory in the Droplet Model for Spin-Glasses (2005)
Yoshino, Hajime, Lemaitre, Anael, Bouchaud, Jean-Philippe
We study domain growth dynamics when the target state is suddenly changed on all length scales. This procedure mimics the `chaos\' effect postulated by the droplet theory of spin-glasses, and allows...
Trend followers lose more often than they gain (2005)
Potters, Marc, Bouchaud, Jean-Philippe
We solve exactly a simple model of trend following strategy, and obtain the analytical shape of the profit per trade distribution. This distribution is non trivial and has an option like, asymmetric...
Disorder chaos in spin glasses (2005)
Krzakala, Florent, Bouchaud, Jean-Philippe
We investigate numerically disorder chaos in spin glasses, i.e. the sensitivity of the ground state to small changes of the random couplings. Our study focuses on the Edwards-Anderson model in...
Theory of collective opinion shifts: from smooth trends to abrupt swings (2005)
Michard, Quentin, Bouchaud, Jean-Philippe
We unveil collective effects induced by imitation and social pressure by analyzing data from three different sources: birth rates, sales of cell phones and the drop of applause in concert halls. We...
Models of traps and glass phenomenology (2005)
Monthus, Cecile, Bouchaud, Jean-Philippe
We study various models of independent particles hopping between energy `traps\' with a density of energy barriers $\\rho(E)$, on a $d$ dimensional lattice or on a fully connected lattice. If...
On a dynamical model of glasses (2005)
Bouchaud, Jean-Philippe, Comtet, Alain, Monthus, Cecile
We analyze a simple dynamical model of glasses, based on the idea that each particle is trapped in a local potential well, which itself evolves due to hopping of neighbouring particles. The glass...
Energy exponents and corrections to scaling in Ising spin glasses (2005)
Bouchaud, Jean-Philippe, Krzakala, Florent, Martin, Olivier
We study the probability distribution P(E) of the ground state energy E in various Ising spin glasses. In most models, P(E) seems to become Gaussian with a variance growing as the system's volume V....
Local excitations of a spin glass in a magnetic field (2005)
Lamarcq, Julien, Bouchaud, Jean-Philippe, Martin, Olivier
We study the minimum energy clusters (MEC) above the ground state for the 3-d Edwards-Anderson Ising spin glass in a magnetic field. For fields B below 0.4, we find that the field has almost no...
Statistical properties of stock order books: empirical results and models (2005)
Bouchaud, Jean-Philippe, Mézard, Marc, Potters, Marc
We investigate several statistical properties of the order book of three liquid stocks of the Paris Bourse. The results are to a large degree independent of the stock studied. The most interesting...
On a universal mechanism for long ranged volatility correlations (2005)
Bouchaud, Jean-Philippe, Giardina, Irene, Mézard, Marc
We propose a general interpretation for long-range correlation effects in the activity and volatility of financial markets. This interpretation is based on the fact that the choice between `active'...
Population dynamics in a random environment (2005)
Giardina, Irene, Bouchaud, Jean-Philippe, Mézard, Marc
We investigate the competition between barrier slowing down and proliferation induced superdiffusion in a model of population dynamics in a random force field. Numerical results in $d=1$ suggest that...
Microscopic Models for Long Ranged Volatility Correlations (2005)
Giardina, Irene, Bouchaud, Jean-Philippe, Mézard, Marc
We propose a general interpretation for long-range correlation effects in the activity and volatility of financial markets. This interpretation is based on the fact that the choice between `active'...
Non-linear susceptibility in glassy systems: a probe for cooperative dynamical length scales (2005)
Bouchaud, Jean-Philippe, Biroli, Giulio
We argue that for generic systems close to a critical point, an extended Fluctuation-Dissipation relation connects the low frequency non-linear (cubic) susceptibility to the four-point correlation...
The Dynamics of Financial Markets -- Mandelbrot's multifractal cascades, and beyond (2005)
Borland, Lisa, Bouchaud, Jean-Philippe, Muzy, Jean-Francois, Zumbach, Gilles
This is a short review in honor of B. Mandelbrot's 80st birthday, to appear in W ilmott magazine. We discuss how multiplicative cascades and related multifractal ideas might be relevant to model the...
Subdiffusion and dynamical heterogeneities in a lattice glass model (2005)
Bertin, Eric, Bouchaud, Jean-Philippe, Lequeux, Francois
We study a kinetically constrained lattice glass model in which continuous local densities are randomly redistributed on neighbouring sites with a kinetic constraint that inhibits the process at high...
What do we learn from the shape of the dynamical susceptibility of glass-formers? (2004)
Toninelli, Cristina, Wyart, Matthieu, Berthier, Ludovic, Biroli, Giulio, Bouchaud, Jean-Philippe
We compute analytically and numerically the four-point correlation function that characterizes non-trivial cooperative dynamics in glassy systems within several models of glasses: elasto-plastic...
Experts' earning forecasts: bias, herding and gossamer information (2004)
Guedj, Olivier, Bouchaud, Jean-Philippe
We study the statistics of earning forecasts of US, EU, UK and JP stocks during the period 1987-2004. We confirm, on this large data set, that financial analysts are on average over-optimistic and...
Glassy dynamics: mean-field `landscape' pictures versus growing length scale scenarii (2004)
This is a short review on the compatibility between (a) mean-field, mode-coupling theories of the glass transition, where potential energy landscape ideas are natural, and (b) the necessity of...
Non-compact local excitations in spin glasses (2004)
Lamarcq, Julien, Bouchaud, Jean-Philippe, Martin, Olivier, Mézard, Marc
We study numerically the local low-energy excitations in the 3-d Edwards-Anderson model for spin glasses. Given the ground state, we determine the lowest-lying connected cluster of flipped spins with...
Dynamics of granular avalanches caused by local perturbations (2004)
Emig, Thorsten, Claudin, Philippe, Bouchaud, Jean-Philippe
Surface flow of granular material is investigated within a continuum approach in two dimensions. The dynamics is described by a non-linear coupling between the two `states' of the granular material:...
"Stiff" Field Theory of Interest Rates and Psychological Future Time (2004)
Baaquie, Belal, Bouchaud, Jean-Philippe
The simplest field theory description of the multivariate statistics of forward rate variations over time and maturities, involves a quadratic action containing a gradient squared rigidity term....
Biroli, Giulio, Bouchaud, Jean-Philippe
We show that the glass transition predicted by the Mode-Coupling Theory (MCT) is a critical phenomenon with a diverging length and time scale associated to the cooperativity of the dynamics. We...
What do we learn from the shape of the dynamical susceptibility of glass-formers? (2004)
Toninelli, Cristina, Wyart, Matthieu, Berthier, Ludovic, Biroli, Giulio, Bouchaud, Jean-Philippe
We compute analytically and numerically the four-point correlation function that characterizes non-trivial cooperative dynamics in glassy systems within several models of glasses: elasto-plastic...
What do we learn from the shape of the dynamical susceptibility of glass-formers? (2004)
Toninelli, Cristina, Wyart, Matthieu, Berthier, Ludovic, Biroli, Giulio, Bouchaud, Jean-Philippe
We compute analytically and numerically the four-point correlation function that characterizes non-trivial cooperative dynamics in glassy systems within several models of glasses: elasto-plastic...
Temperature and Disorder Chaos in Low Dimensional Directed Paths (2003)
Da Silveira, Rava A., Bouchaud, Jean-Philippe
The responses of a $1+\epsilon $ dimensional directed path to temperature and to potential variations are calculated exactly, and are governed by the same scaling form. The short scale decorrelation...
Option pricing and hedging with minimum local expected shortfall (2003)
Pochart, Benoît, Bouchaud, Jean-Philippe
We propose a versatile Monte-Carlo method for pricing and hedging options when the market is incomplete, for an arbitrary risk criterion (chosen here to be the expected shortfall), for a large class...
Fluctuations and response in financial markets: the subtle nature of `random' price changes (2003)
Bouchaud, Jean-Philippe, Gefen, Yuval, Potters, Marc, Wyart, Matthieu
Using Trades and Quotes data from the Paris stock market, we show that the random walk nature of traded prices results from a very delicate interplay between two opposite tendencies: long-range...
Self-referential behaviour, overreaction and conventions in financial markets (2003)
Wyart, Matthieu, Bouchaud, Jean-Philippe
We study a generic model for self-referential behaviour in financial markets, where agents attempt to use some (possibly fictitious) causal correlations between a certain quantitative information and...
Multiple time scales in volatility and leverage correlations: An stochastic volatility model (2003)
Perello, Josep, Masoliver, Jaume, Bouchaud, Jean-Philippe
Financial time series exhibit two different type of non linear correlations: (i) volatility autocorrelations that have a very long range memory, on the order of years, and (ii) asymmetric...
Self-referential behaviour, overreaction and conventions in financial markets (2003)
Wyart, Matthieu, Bouchaud, Jean-Philippe
We study a generic model for self-referential behaviour in financial markets, where agents attempt to use some (possibly fictitious) causal correlations between a certain quantitative information and...
Energy exponents and corrections to scaling in Ising spin glasses (2003)
Bouchaud, Jean-Philippe, Krzakala, Florent, Martin, Olivier
We study the probability distribution P(E) of the ground state energy E in various Ising spin glasses. In most models, P(E) seems to become Gaussian with a variance growing as the system's volume V....
Local excitations of a spin glass in a magnetic field (2003)
Lamarcq, Julien, Bouchaud, Jean-Philippe, Martin, Olivier
We study the minimum energy clusters (MEC) above the ground state for the 3-d Edwards-Anderson Ising spin glass in a magnetic field. For fields B below 0.4, we find that the field has almost no...
Self-referential behaviour, overreaction and conventions in financial markets (2003)
Wyart, Matthieu, Bouchaud, Jean-Philippe
We study a generic model for self-referential behaviour in financial markets, where agents attempt to use some (possibly fictitious) causal correlations between a certain quantitative information and...
Energy exponents and corrections to scaling in Ising spin glasses (2003)
Bouchaud, Jean-Philippe, Krzakala, Florent, Martin, Olivier
We study the probability distribution P(E) of the ground state energy E in various Ising spin glasses. In most models, P(E) seems to become Gaussian with a variance growing as the system's volume V....
Local excitations of a spin glass in a magnetic field (2003)
Lamarcq, Julien, Bouchaud, Jean-Philippe, Martin, Olivier
We study the minimum energy clusters (MEC) above the ground state for the 3-d Edwards-Anderson Ising spin glass in a magnetic field. For fields B below 0.4, we find that the field has almost no...
More statistical properties of order books and price impact (2002)
Potters, Marc, Bouchaud, Jean-Philippe
We investigate present some new statistical properties of order books. We analyse data from the Nasdaq and investigate (a) the statistics of incoming limit order prices, (b) the shape of the average...
Statistical models for company growth (2002)
Wyart, Matthieu, Bouchaud, Jean-Philippe
We study Sutton's `microcanonical' model for the internal organisation of firms, that leads to non trivial scaling properties for the statistics of growth rates. We show that the growth rates are...
Berthier, Ludovic, Bouchaud, Jean-Philippe
Comment on the paper P. E. Jonsson, H. Yoshino, and P. Nordblad, Phys. Rev. Lett. 89, 097201 (2002), also cond-mat/0203444.
Trap Model and Slow Dynamics in Supercooled Liquids (2002)
Denny, R. Aldrin, Reichman, David R., Bouchaud, Jean-Philippe
The predictions of a class of phenomenological trap models of supercooled liquids are tested via computer simulation of a model glass-forming liquid. It is found that a model with a Gaussian...
Temperature shifts in the Sinai model: static and dynamical effects (2002)
Sales, Marta, Bouchaud, Jean-Philippe, Ritort, Felix
We study analytically and numerically the role of temperature shifts in the simplest model where the energy landscape is explicitely hierarchical, namely the Sinai model. This model has both...
Reply to Johansen's comment (2002)
Laloux, Laurent, Potters, Marc, Aguilar, Jean-Pierre, Bouchaud, Jean-Philippe
This is a reply to Johansen's comment on `Are Financial Crashes Predictable?', by L. Laloux, M. Potters, R. Cont, J.P. Aguilar, J.P. Bouchaud, Europhys. Lett. 45, p. 1 (1999).
Bubbles, crashes and intermittency in agent based market models (2002)
Giardina, Irene, Bouchaud, Jean-Philippe
We define and study a rather complex market model, inspired from the Santa Fe artificial market and the Minority Game. Agents have different strategies among which they can choose, according to their...
Geometrical Aspects of Aging and Rejuvenation in the Ising Spin Glass: A Numerical Study (2002)
Berthier, Ludovic, Bouchaud, Jean-Philippe
We present a comprehensive study of non-equilibrium phenomena in the low temperature phase of the Edwards-Anderson Gaussian spin glass in 3 and 4 spatial dimensions. Many effects can be understood in...
Statistical models for company growth (2002)
Wyart, Matthieu, Bouchaud, Jean-Philippe
We study Sutton\'s `microcanonical\' model for the internal organisation of firms, that leads to non trivial scaling properties for the statistics of growth rates. We show that the growth rates are...
Statistical properties of stock order books: empirical results and models (2002)
Bouchaud, Jean-Philippe, Mézard, Marc, Potters, Marc
We investigate several statistical properties of the order book of three liquid stocks of the Paris Bourse. The results are to a large degree independent of the stock studied. The most interesting...