| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| Apparent multifractality in financial time series |
0 |
0 |
0 |
382 |
0 |
0 |
2 |
824 |
| Are Financial Crashes Predictable? |
0 |
0 |
0 |
46 |
0 |
1 |
1 |
99 |
| Are financial crashes predictable? |
0 |
0 |
0 |
474 |
0 |
0 |
0 |
915 |
| Back to basics: historical option pricing revisited |
0 |
0 |
0 |
340 |
0 |
0 |
0 |
1,211 |
| Comment on "Turbulent cascades in foreign exchange markets" |
0 |
0 |
0 |
238 |
0 |
0 |
1 |
624 |
| Comment on: "Two-phase behaviour of financial markets" |
0 |
0 |
0 |
213 |
0 |
1 |
1 |
497 |
| Correlation structure of extreme stock returns |
0 |
0 |
0 |
41 |
1 |
2 |
4 |
109 |
| Correlation structure of extreme stock returns |
0 |
0 |
0 |
376 |
0 |
0 |
1 |
973 |
| Exponential Weighting and Random-Matrix-Theory-Based Filtering of Financial Covariance Matrices for Portfolio Optimization |
0 |
0 |
0 |
781 |
0 |
2 |
5 |
1,877 |
| Exponential Weighting and Random-Matrix-Theory-Based Filtering of Financial Covariance Matrices for Portfolio Optimization |
0 |
1 |
1 |
36 |
0 |
2 |
3 |
116 |
| Financial Applications of Random Matrix Theory: Old Laces and New Pieces |
0 |
0 |
0 |
1,006 |
0 |
1 |
2 |
2,174 |
| Financial Applications of Random Matrix Theory: Old Laces and New Pieces |
0 |
0 |
1 |
56 |
0 |
1 |
2 |
169 |
| Financial Applications of Random Matrix Theory: a short review |
0 |
0 |
2 |
510 |
1 |
3 |
22 |
996 |
| Financial markets as adaptative systems |
0 |
0 |
0 |
222 |
0 |
0 |
2 |
423 |
| Fluctuations and response in financial markets: the subtle nature of `random' price changes |
0 |
0 |
0 |
764 |
0 |
0 |
9 |
1,532 |
| Fluctuations and response in financial markets: the subtle nature of `random' price changes |
0 |
0 |
0 |
130 |
4 |
4 |
12 |
367 |
| Hedge your Monte Carlo |
0 |
0 |
0 |
0 |
1 |
1 |
5 |
716 |
| Hedged Monte-Carlo: low variance derivative pricing with objective probabilities |
0 |
0 |
0 |
467 |
0 |
0 |
4 |
1,007 |
| Introducing Variety in Risk Management |
0 |
0 |
0 |
371 |
0 |
2 |
3 |
676 |
| Introducing Variety in Risk Management |
0 |
0 |
0 |
33 |
0 |
0 |
0 |
72 |
| Large dimension forecasting models and random singular value spectra |
0 |
0 |
0 |
457 |
0 |
0 |
0 |
898 |
| Large dimension forecasting models and random singular value spectra |
0 |
0 |
0 |
27 |
0 |
1 |
2 |
88 |
| Missing Information and Asset Allocation |
0 |
0 |
0 |
38 |
0 |
2 |
3 |
105 |
| Missing information and asset allocation |
0 |
0 |
0 |
206 |
0 |
0 |
4 |
580 |
| More statistical properties of order books and price impact |
0 |
0 |
0 |
525 |
0 |
0 |
5 |
950 |
| More stylized facts of financial markets: leverage effect and downside correlations |
0 |
0 |
0 |
554 |
0 |
0 |
2 |
1,930 |
| Noise dressing of financial correlation matrices |
0 |
0 |
0 |
356 |
0 |
0 |
2 |
833 |
| Option pricing and hedging with temporal correlations |
0 |
0 |
0 |
147 |
1 |
1 |
3 |
309 |
| Option pricing in the presence of extreme fluctuations |
0 |
0 |
0 |
208 |
0 |
1 |
2 |
399 |
| Phenomenology of the Interest Rate Curve |
0 |
0 |
0 |
17 |
0 |
1 |
1 |
55 |
| Phenomenology of the interest curve |
0 |
0 |
0 |
709 |
0 |
1 |
1 |
2,066 |
| Phenomenology of the interest rate curve |
0 |
0 |
0 |
216 |
0 |
1 |
2 |
658 |
| Random matrix theory |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
874 |
| Random matrix theory and financial correlations |
0 |
0 |
0 |
1,180 |
3 |
7 |
15 |
2,708 |
| Random walks, liquidity molasses and critical response in financial markets |
0 |
0 |
0 |
404 |
0 |
2 |
10 |
916 |
| Random walks, liquidity molasses and critical response in financial markets |
0 |
0 |
0 |
32 |
0 |
1 |
3 |
98 |
| Rational Decisions, Random Matrices and Spin Glasses |
0 |
0 |
0 |
19 |
1 |
2 |
2 |
125 |
| Rational decisions, random matrices and spin glasses |
0 |
0 |
0 |
225 |
0 |
1 |
1 |
581 |
| Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets |
0 |
0 |
0 |
968 |
0 |
0 |
3 |
2,792 |
| Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets |
0 |
0 |
1 |
79 |
1 |
2 |
3 |
252 |
| Reply to Johansen's comment |
0 |
0 |
0 |
167 |
0 |
0 |
0 |
453 |
| Scaling in stock market data: stable laws and beyond |
0 |
0 |
0 |
43 |
0 |
2 |
3 |
150 |
| Scaling in stock market data: stable laws and beyond |
0 |
0 |
0 |
551 |
0 |
1 |
3 |
1,286 |
| Smile dynamics -- a theory of the implied leverage effect |
0 |
0 |
0 |
186 |
0 |
1 |
1 |
431 |
| Statistical properties of stock order books: empirical results and models |
0 |
0 |
0 |
948 |
0 |
0 |
0 |
1,973 |
| Strings Attached |
0 |
0 |
0 |
0 |
1 |
3 |
7 |
419 |
| The Student ensemble of correlation matrices: eigenvalue spectrum and Kullback-Leibler entropy |
0 |
0 |
0 |
79 |
0 |
1 |
3 |
225 |
| The leverage effect in financial markets: retarded volatility and market panic |
0 |
0 |
0 |
1,395 |
3 |
3 |
6 |
7,436 |
| Trend followers lose more often than they gain |
0 |
0 |
0 |
66 |
0 |
2 |
4 |
149 |
| Trend followers lose more often than they gain |
0 |
0 |
0 |
796 |
1 |
1 |
5 |
1,973 |
| Worst fluctuation method for fast value-at-risk estimates |
0 |
0 |
0 |
368 |
1 |
1 |
5 |
844 |
| Total Working Papers |
0 |
1 |
5 |
17,452 |
19 |
58 |
182 |
47,933 |
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