top of page
Library

PUBLICATIONS

Topics:
Methods:
Type:
Hydrodynamics of Cooperation and Self-Interest in a Two-Population Occupation Model

Jerome Garnier-Brun, Ruben Zakine, Michael Benzaquen

Physical Review Letters

Diffusive Nature of Housing Prices

Antoine-Cyrus Becharat, Michael Benzaquen, Jean-Philippe Bouchaud

Physical Review Letters

Patterns robust to disorder in spatially interacting generalized Lotka-Volterra ecosystems

Alessandro Salvatore, Fabián Aguirre-López, Ruben Zakine

Physical Review E

The “double” square-root law: Evidence for the mechanical origin of market impact using Tokyo Stock Exchange data

Guillaume Matrier, Grégoire Loeper, Kiyoshi Kanazawa, J-P Bouchaud

arXiv preprint

The structure of occupational mobility in France

Max Sina Knicker, Karl Naumann-Woleske, Michael Benzaquen

Journal of Statistical Mechanics: Theory and Experiment

Revisiting the Excess Volatility Puzzle Through the Lens of the Chiarella Model

Jutta Kurth, Adam Majewski, Jean-Philippe Bouchaud

arXiv preprint

Generating realistic metaorders from public data

Guillaume Matrier, Grégoire Loeper, J-P Bouchaud

arXiv preprint

Group-Level Imitation May Stabilize Cooperation

Pierre Bousseyroux, Gilles Zerah, Michael Benzaquen

arXiv preprint

Another Marčenko-Pastur law for Kendall's tau

Pierre Bousseyroux, Tomas Espana, Matteo Smerlak

arXiv preprint

Wrapping and unwrapping multifractal fields: Application to fatigue and abrupt failure fracture surfaces

Samy Lakhal, Michael Benzaquen, Laurent Ponson, Jean-Philippe Bouchaud

Physical Review Research

An Interacting Particle System Interpretation of Free Convolution

Pierre Bousseyroux, Jean-Philippe Bouchaud

arXiv preprint

Distribution of the Diagonal Entries of the Resolvent of a Complex Ginibre Matrix

Pierre Bousseyroux, Jean-Philippe Bouchaud, Marc Potters

Journal of Physics A: Mathematical and Theoretical

Revisiting elastic string models of forward interest rates

Victor Le Coz, Jean-Philippe Bouchaud

Quantitative Finance

How does liquidity shape the yield curve?

Victor Le Coz, Jean-Philippe Bouchaud, Iacopo Mastromatteo

Quantitative Finance

Kendall Correlation Coefficients for Portfolio Optimization

Tomas Espana, Victor Le Coz, Matteo Smerlak

arXiv preprint

A minimal model of money creation within secured interbank markets

Victor Le Coz, Michael Benzaquen, Damien Challet

Journal of Economic Behavior & Organization

Stylized facts in money markets: an empirical analysis of the eurozone data

Victor Le Coz, Damien Challet, Michael Benzaquen, Nolwenn Allaire

European Central Bank Working Paper Series

Heterogeneous mean-field analysis of the generalized Lotka-Volterra model on a network

Fabián Aguirre-López

Journal of Physics A: Mathematical and Theoretical

The structure of occupational mobility in France

Max Sina Knicker, Karl Naumann-Woleske, Michael Benzaquen

Journal of Statistical Mechanics: Theory and Experiment

"Microstructure Modes" -- Disentangling the Joint Dynamics of Prices & Order Flow

Salma Elomari-Kessab, Guillaume Matrier, Julius Bonart, Jean-Philippe Bouchaud

arXiv preprint

Riding Wavelets: A Method to Discover New Classes of Price Jumps

Cecilia Aubrun, Rudy Morel, Michael Benzaquen, Jean-Philippe Bouchaud

arXiv preprint

Scenario Discovery in a Complex Economy

Karl Naumann-Woleske

PhD Thesis

Random features and polynomial rules

Fabián Aguirre-López, Silvio Franz, Mauro Pastore

SciPost Physics

When Is Cross Impact Relevant?

Victor Le Coz, Iacopo Mastromatteo, Damien Challet, Michael Benzaquen

Quantitative Finance

Bringing together two paradigms of non-equilibrium: Driven dynamics of aging systems

Diego Tapias, Charles Marteau, Fabián Aguirre-López, Peter Sollich

arXiv preprint

Post-COVID Inflation & the Monetary Policy Dilemma: An Agent-Based Scenario Analysis

Max Sina Knicker, Karl Naumann-Woleske, J-P Bouchaud, Francesco Zamponi

Journal of Economic Interaction and Coordination

The Stability Matrix Spectrum of Large Ecological and Economical Systems

Nirbhay Patil, Fabián Aguirre-López, J-P Bouchaud

arXiv preprint

Unlearnable Games and “Satisficing” Decisions: A Simple Model for a Complex World

Jerome Garnier-Brun, Michael Benzaquen, J-P Bouchaud

Physical Review X

Trading with Concave Price Impact and Impact Decay - Theory and Evidence

Natasha Hey, Iacopo Mastromatteo, Johannes Muhle-Karbe, Kevin Webster

Operations Research

Wrapping and unwrapping multifractal fields: Application to fatigue and abrupt failure fracture surface

Samy Lakhal, Laurent Ponson, Michael Benzaquen, J-P Bouchaud

Physical Review Research

Socioeconomic Agents As Active Matter in Nonequilibrium Sakoda-Schelling Models

Ruben Zakine, Jerome Garnier-Brun, Antoine-Cyrus Becharat, Michael Benzaquen

Physical Review E

The Cost of Misspecifying Price Impact

Natasha Hey, J-P Bouchaud, Iacopo Mastromatteo, Johannes Muhle-Karbe, Kevin Webster

SSRN Preprint

Income Inequalities Increase with City Size: Evidence from French Data

Nirbhay Patil, Jean-Pierre Nadal, J-P Bouchaud

arXiv preprint

Multiscale Relevance of Natural Images

Samy Lakhal, Alexandre Darmon, Iacopo Mastromatteo, Matteo Marsili, Michael Benzaquen

Scientific Reports

Multivariate Quadratic Hawkes Processes -- Part I: Theoretical Analysis

Cecilia Aubrun, Michael Benzaquen, J-P Bouchaud

Quantitative Finance

Capital Demand Driven Business Cycles: Mechanism and Effects

Karl Naumann-Woleske, Michael Benzaquen, Maxim Gusev, Dimitri Kroujiline

Review of Behavioral Economics

Microfounding GARCH Models and Beyond: A Kyle-inspired Model with Adaptive Agents

Michele Vodret, Iacopo Mastromatteo, Bence Toth, Michael Benzaquen

SSRN Preprint

Bounded Rationality and Animal Spirits: A Fluctuation-Response Approach to Slutsky Matrices

Jerome Garnier-Brun, J-P Bouchaud, Michael Benzaquen

arXiv preprint

Out-of-equilibrium dynamics and excess volatility in firm networks

Théo Dessertaine, Jose Moran, Michael Benzaquen, J-P Bouchaud

Journal of Economic Dynamics and Control

A New Spin on Color Quantization

Samy Lakhal, Alexandre Darmon, Michael Benzaquen

Journal of Statistical Mechanics: Theory and Experiment

Scale Dependencies and Self-Similarity Through Wavelet Scattering Covariance

Rudy Morel, Gaspar Rochette, Roberto Leonarduzzi, J-P Bouchaud, Stephane Mallat

arXiv preprint

Exogenous and Endogenous Price Jumps Belong to Different Dynamical Classes

Riccardo Marcaccioli, J-P Bouchaud, Michael Benzaquen

Journal of Statistical Mechanics: Theory and Experiment

Will Random Cone-wise Linear Systems Be Stable?

Théo Dessertaine, J-P Bouchaud

arXiv preprint

On Hawkes Processes with Infinite Mean Intensity

Cecilia Aubrun, Michael Benzaquen, J-P Bouchaud

Physical Review E

Universal amplitudes ratios for critical aging via functional renormalization group

Michele Vodret, Alessio Chiocchetta, Andrea Gambassi

arXiv preprint

Do fundamentals shape the price response? A critical assessment of linear impact models

Michele Vodret, Iacopo Mastromatteo, Bence Toth, Michael Benzaquen

arXiv preprint

Exploration of the Parameter Space in Macroeconomic Agent-Based Models

Karl Naumann-Woleske, Max Sina Knicker, Michael Benzaquen, J-P Bouchaud

Routledge International Handbook of Complexity Economics

Economic Crises in a Model with Capital Scarcity and Self-Reflexive Confidence

Federico Morelli, Karl Naumann-Woleske, Michael Benzaquen, Marco Tarzia, J-P Bouchaud

SSRN Preprint

Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events

Antoine Fosset, J-P Bouchaud, Michael Benzaquen

European Journal of Finance

A new spin on optimal portfolios and ecological equilibria

Jerome Garnier-Brun, Michael Benzaquen, Stefano Ciliberti, J-P Bouchaud

Journal of Statistical Mechanics: Theory and Experiment

A Stationary Kyle Setup: Microfounding propagator models

Michele Vodret, Iacopo Mastromatteo, Bence Toth, Michael Benzaquen

Journal of Statistical Mechanics

V –, U –, L – Or W–Shaped Economic Recovery After COVID-19: Insights From an Agent Based Model

Dhruv Sharma, J-P Bouchaud, Stanislao Gualdi, Marco Tarzia, Francesco Zamponi

PLoS One

From Ants to Fishing Vessels: A Simple Model for Herding and Exploitation of Finite Resources

Jose Moran, Antoine Fosset, Alan Kirman, Michael Benzaquen

arXiv preprint

Cross impact in derivative markets

Mehdi Tomas, Iacopo Mastromatteo, Michael Benzaquen

arXiv preprint

Crisis Propagation in a Heterogeneous Self-Reflexive DSGE Model

Federico Morelli, Michael Benzaquen, J-P Bouchaud, Marco Tarzia

arXiv preprint

Why does individual learning endure when crowds are wiser?

Benoït de Courson, Léo Fitouchi, J-P Bouchaud, Michael Benzaquen

arXiv preprint

Zooming In on Equity Factor Crowding

Valerio Volpati, Michael Benzaquen, Zoltan Eisler, Iacopo Mastromatteo, Bence Toth, J-P Bouchaud

Risk

Schrödinger's ants: a continuous description of Kirman's recruitment model

Jose Moran, Antoine Fosset, Michael Benzaquen, J-P Bouchaud

Journal of Physics: Complexity

Endogenous Liquidity Crises

Antoine Fosset, J-P Bouchaud, Michael Benzaquen

Journal of Statistical Mechanics: Theory and Experiment

Beauty and structural complexity

Samy Lakhal, Alexandre Darmon, J-P Bouchaud, Michael Benzaquen

Physical Review Research

By force of habit: Self-trapping in a dynamical utility landscape

Jose Moran, Antoine Fosset, Davide Luzzati, J-P Bouchaud, Michael Benzaquen

Chaos

Confidence collapse in a multihousehold, self-reflexive DSGE model

Federico Morelli, Michael Benzaquen, Marco Tarzia, J-P Bouchaud

PNAS

Are trading invariants really invariant? Trading costs matter

Frédéric Bucci, Fabrizio Lillo, J-P Bouchaud, Michael Benzaquen

Quantitative Finance

Conditional Correlations and Principal Regression Analysis for Futures

Armine Karami, Raphael Benichou, Michael Benzaquen, J-P Bouchaud

arXiv preprint

Slow Decay of Impact in Equity Markets: Insights from the ANcerno Database

Frédéric Bucci, Michael Benzaquen, Fabrizio Lillo, J-P Bouchaud

Market Microstructure and Liquidity

Impact is not just volatility

Frédéric Bucci, Iacopo Mastromatteo, Michael Benzaquen, J-P Bouchaud

Quantitative Finance

Crossover from Linear to Square-Root Market Impact

Frédéric Bucci, Michael Benzaquen, Fabrizio Lillo, J-P Bouchaud

Physical Review Letters

How does latent liquidity get revealed in the limit order book?

Lorenzo Dall’Amico, Antoine Fosset, J-P Bouchaud, Michael Benzaquen

Journal of Statistical Mechanics: Theory and Experiment

Market impact with multi-timescale liquidity

Michael Benzaquen, J-P Bouchaud

Quantitative Finance

bottom of page