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Instabilities in large economies : aggregate volatility without idiosyncratic shocks

Bonart, Julius Friedrich; Bouchaud, Jean-Philippe; … - 2014

We study a dynamical model of interconnected firms which allows for certain market imperfections and frictions, restricted here to be myopic price forecasts and slow adjustment of production. Whereas the standard rational equilibrium is still formally a stationary solution of the dynamics, we...

Persistent link: https://www.econbiz.de/10010501449

Tipping points in macroeconomic agent-based models

Gualdi, Stanislao; Tarzia, Marco; Zamponi, Francesco; … - In: Journal of economic dynamics & control 50 (2015), pp. 29-61

Persistent link: https://www.econbiz.de/10010486960

The endogenous dynamics of markets : price impact and feedback loops

Bouchaud, Jean-Philippe - In: Approaches to monetary policy revisited : lessons from …, (pp. 190-240). 2011

Persistent link: https://www.econbiz.de/10009233391

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

Experts' earning forecasts : bias, herding and gossamer information

Guedj, Olivier; Bouchaud, Jean-Philippe - In: International journal of theoretical and applied finance 8 (2005) 7, pp. 933-946

Persistent link: https://www.econbiz.de/10003206563

Volatility clustering in agent based market model

Giardina, Irene; Bouchaud, Jean-Philippe - In: The complex dynamics of economic interaction : essays …, (pp. 171-196). 2004

Persistent link: https://www.econbiz.de/10002415043

Herd behavior and aggregate fluctuations in financial markets

Cont, Rama; Bouchaud, Jean-Philippe - In: Macroeconomic dynamics 4 (2000) 2, pp. 170-196

Persistent link: https://www.econbiz.de/10001500432

Hedging large risks reduces the transaction costs

Selmi, Farhat; Bouchaud, Jean-Philippe - In: Finance India : the quarterly journal of Indian … 16 (2002) 3, pp. 1005-1014

Persistent link: https://www.econbiz.de/10001713431

Theory of financial risk and derivative pricing : from statistical physics to risk management

Bouchaud, Jean-Philippe; Potters, Marc - 2003 - 2. ed.

Persistent link: https://www.econbiz.de/10001780419

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