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~person:"Bouchaud, Jean-Philippe"
~type_genre:"Aufsatz in Zeitschrift"
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Bouchaud, Jean-Philippe
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1
Skew and implied leverage effect : smile dynamics revisited
Vargas, Vincent
;
Dao, Tung-Lam
;
Bouchaud, Jean-Philippe
- In:
International journal of theoretical and applied finance
18
(
2015
)
4
,
pp. 1-15
Persistent link: https://www.econbiz.de/10011403762
Saved in:
2
Multiple time scales in volatility and leverage correlations : a stochastic volatility model
Perelló, Josep
;
Masoliver, Jaume
;
Bouchaud, Jean-Philippe
- In:
Applied mathematical finance
11
(
2004
)
1
,
pp. 27-50
Persistent link: https://www.econbiz.de/10002001537
Saved in:
3
Option pricing and hedging with temporal correlations
Cornalba, Lorenzo
;
Bouchaud, Jean-Philippe
;
Potters, Marc
- In:
International journal of theoretical and applied finance
5
(
2002
)
3
,
pp. 307-320
Persistent link: https://www.econbiz.de/10001674219
Saved in:
4
The joint distribution of stock returns is not elliptical
Chicheportiche, Rémy
;
Bouchaud, Jean-Philippe
- In:
International journal of theoretical and applied finance
15
(
2012
)
3
,
pp. 1-23
Persistent link: https://www.econbiz.de/10009624498
Saved in:
5
Slow decay of impact in equity markets
Brokmann, X.
;
Sérié, E.
;
Kockelkoren, J.
;
Bouchaud, …
- In:
Market microstructure and liquidity
1
(
2015
)
2
,
pp. 1-15
Persistent link: https://www.econbiz.de/10011588208
Saved in:
6
Linear models for the impact of order flow on prices, I.: History dependent impact models
Taranto, Damian Eduardo
;
Bormetti, Giacomo
;
Bouchaud, …
- In:
Quantitative finance
18
(
2018
)
6
,
pp. 903-915
Persistent link: https://www.econbiz.de/10011910928
Saved in:
7
Linear models for the impact of order flow on prices, II.: The Mixture Transition Distribution model
Taranto, Damian Eduardo
;
Bormetti, Giacomo
;
Bouchaud, …
- In:
Quantitative finance
18
(
2018
)
6
,
pp. 917-931
Persistent link: https://www.econbiz.de/10011910934
Saved in:
8
The short-term price impact of trades is universal
Tóth, Bence
;
Eisler, Zoltán
;
Bouchaud, Jean-Philippe
- In:
Market microstructure and liquidity
3
(
2017
)
2
,
pp. 1-11
Persistent link: https://www.econbiz.de/10011923328
Saved in:
9
Impact is not just volatility
Bucci, Frédéric
;
Mastromatteo, Iacopo
;
Benzaquen, Michael
- In:
Quantitative finance
19
(
2019
)
11
,
pp. 1763-1766
Persistent link: https://www.econbiz.de/10012194824
Saved in:
10
Co-impact : crowding effects in institutional trading activity
Bucci, Frederic
;
Mastromatteo, Iacopo
;
Eisler, Zoltan
; …
- In:
Quantitative finance
20
(
2020
)
2
,
pp. 193-205
Persistent link: https://www.econbiz.de/10012194861
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