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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
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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
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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
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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
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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
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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
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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
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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
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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
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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