Michael Benzaquen
Econophysics | Complex Systems | Collective behavior Agent-based modeling | Interfacial fluid dynamics
Socio-ecological systems | Quantitative Finance
I am a CNRS Research Scientist (currently on leave of absence) and accredited research director (HDR), leading interdisciplinary research at the intersection of statistical physics, complex systems, economics, and finance. I serve as an editor of the Journal of Statistical Mechanics and the Journal of Economic Interaction and Coordination. In parallel, I am COO Portfolio Management at Capital Fund Management (CFM), contributing to the strategic and operational oversight of portfolio construction and research integration. Finally, I co-founded and currently serve as Non-Executive director of Art in Research.
List of Publications
41.
The Multivariate Kyle model: More is different
L. C. García del Molino, I. Mastromatteo, M. Benzaquen and J.-P. Bouchaud, SIAM J. Financial Math. 11(2) (2020)
40.
How does latent liquidity get revealed in the limit order book?
L. Dall'Amico*, A. Fosset*, J.-P. Bouchaud and M. Benzaquen, J. Stat. Mech. (2019) 013404
39.
No net motion for oscillating near-spheres at low Re numbers
K. Lippera, O. Dauchot, S. Michelin and M. Benzaquen, J. Fluid Mech. 866 (2019) R1 - [JFM Rapids]
38.
Physics of rowing oars
R. Labbé, J.P. Boucher, C. Clanet and M. Benzaquen, New J. Phys. 21 (2019) 093050
37.
Impact is not just volatility
F. Bucci, I. Mastromatteo, M. Benzaquen and J.-P. Bouchaud, Quantitative Finance (2019) 19 11 (2019) 1763
36.
Wave drag on asymmetric bodies
G.P. Benham, J.P. Boucher, R. Labbé, M. Benzaquen, C. Clanet, J. Fluid Mech. 878 (2019) 147
35.
Crossover from Linear to Square-Root Market Impact
F. Bucci, M. Benzaquen, F. Lillo, and J.-P. Bouchaud, PRL 122 (2019) 108302
34.
Turbulent windprint on a liquid surface
S. Perrard, A. Lozano-Duran, M. Rabaud, M. Benzaquen and F. Moisy, J. Fluid Mech. 873 (2019) 1020
33.
Slow decay of impact in equity markets: insights from the ANcerno database
F. Bucci, M. Benzaquen, F. Lillo, and J.-P. Bouchaud, Market Microstructure and Liquidity 4 (2018) 1950006
32.
Thin or bulky: optimal aspect ratios for ship hulls
J.-P. Boucher, R. Labbé, C. Clanet and M. Benzaquen, Phys. Rev. Fluids 3 (2018) 074802
31.
Market impact with multi-timescale liquidity
M. Benzaquen and J.-P. Bouchaud, Quantitative Finance 18 11 (2018) 1781
30.
A fractional reaction-diffusion description of supply and demand
M. Benzaquen and J.-P. Bouchaud, Eur. Phys. J. B. 91 23 (2018) - [special issue: 50 years of Continuous Time Random Walk]
29.
Unsteady wave pattern generation by water striders
T. Steinmann, M. Arutkin, P. Cochard, E. Raphaël, J. Casas and M. Benzaquen, J. Fluid Mech. 848 370 (2018)
28.
Dynamics of anchored oscillating nanomenisci
C. Mortagne, K. Lippera, P. Tordjeman, M. Benzaquen and T. Ondarçuhu, Phys. Rev. Fluids 2 (2017) 102201(R)
27.
Adsorption-induced slip inhibition for polymer melts on ideal substrates
M. Ilton, T. Salez, P. D. Fowler, M. Rivetti, M. Aly, M. Benzaquen, J. D. McGraw, E. Raphaël, K. Dalnoki-Veress and O. Bäumchen, Nature comm. 9 (2018) 1172
26.
Trading lightly: Cross-impact and optimal portfolio execution
I. Mastromatteo, M. Benzaquen, Z. Eisler and J.-P. Bouchaud, Risk July 2017 (2017)
25.
Dissecting cross-impact on stock markets: An empirical analysis
M. Benzaquen, I. Mastromatteo, Z. Eisler and J.-P. Bouchaud, J. Stat. Mech. (2017) 023406
24.
Unravelling the trading invariance hypothesis
M. Benzaquen, J. Donier and J.-P. Bouchaud, Market Microstructure and Liquidity 2(3&4) (2016) 1650009
23.
Elastic interactions between topological defects in chiral nematic shells
A. Darmon, O. Dauchot, T. Lopez-Leon and M. Benzaquen, Phys. Rev. E 94 (2016) 062701
22.
Topological defects in cholesteric liquid crystal shells
A. Darmon, M. Benzaquen, S. Čopar, O. Dauchot and T. Lopez-Leon, Soft Matter 12 (2016) 9280 - [Journal Cover]