| 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 |
2 |
2 |
8 |
830 |
| Are Financial Crashes Predictable? |
0 |
0 |
0 |
46 |
0 |
1 |
2 |
100 |
| Are financial crashes predictable? |
0 |
0 |
0 |
474 |
1 |
1 |
3 |
918 |
| Back to basics: historical option pricing revisited |
0 |
0 |
0 |
340 |
2 |
3 |
3 |
1,214 |
| Comment on "Turbulent cascades in foreign exchange markets" |
0 |
0 |
0 |
238 |
1 |
1 |
2 |
626 |
| Comment on: "Two-phase behaviour of financial markets" |
0 |
0 |
0 |
213 |
0 |
0 |
1 |
497 |
| Correlation structure of extreme stock returns |
0 |
0 |
0 |
41 |
0 |
0 |
3 |
109 |
| Correlation structure of extreme stock returns |
0 |
0 |
0 |
376 |
2 |
2 |
3 |
975 |
| Exponential Weighting and Random-Matrix-Theory-Based Filtering of Financial Covariance Matrices for Portfolio Optimization |
0 |
0 |
0 |
781 |
1 |
3 |
8 |
1,883 |
| Exponential Weighting and Random-Matrix-Theory-Based Filtering of Financial Covariance Matrices for Portfolio Optimization |
0 |
0 |
1 |
36 |
1 |
4 |
7 |
121 |
| Financial Applications of Random Matrix Theory: Old Laces and New Pieces |
0 |
0 |
0 |
1,006 |
1 |
1 |
2 |
2,175 |
| Financial Applications of Random Matrix Theory: Old Laces and New Pieces |
0 |
0 |
1 |
56 |
1 |
3 |
7 |
174 |
| Financial Applications of Random Matrix Theory: a short review |
0 |
1 |
5 |
514 |
1 |
4 |
14 |
1,006 |
| Financial markets as adaptative systems |
0 |
0 |
0 |
222 |
2 |
4 |
9 |
432 |
| Fluctuations and response in financial markets: the subtle nature of `random' price changes |
0 |
0 |
0 |
764 |
0 |
4 |
6 |
1,538 |
| Fluctuations and response in financial markets: the subtle nature of `random' price changes |
0 |
1 |
1 |
131 |
2 |
5 |
10 |
373 |
| Hedge your Monte Carlo |
0 |
0 |
0 |
0 |
0 |
1 |
4 |
718 |
| Hedged Monte-Carlo: low variance derivative pricing with objective probabilities |
0 |
0 |
0 |
467 |
0 |
2 |
3 |
1,009 |
| Introducing Variety in Risk Management |
0 |
0 |
0 |
371 |
0 |
1 |
3 |
677 |
| Introducing Variety in Risk Management |
0 |
0 |
0 |
33 |
1 |
1 |
1 |
73 |
| Large dimension forecasting models and random singular value spectra |
0 |
0 |
0 |
457 |
0 |
1 |
3 |
901 |
| Large dimension forecasting models and random singular value spectra |
0 |
0 |
1 |
28 |
1 |
1 |
4 |
91 |
| Missing Information and Asset Allocation |
0 |
0 |
0 |
38 |
1 |
1 |
3 |
106 |
| Missing information and asset allocation |
0 |
0 |
0 |
206 |
1 |
4 |
6 |
585 |
| More statistical properties of order books and price impact |
0 |
0 |
0 |
525 |
1 |
4 |
4 |
954 |
| More stylized facts of financial markets: leverage effect and downside correlations |
0 |
0 |
0 |
554 |
1 |
2 |
2 |
1,932 |
| Noise dressing of financial correlation matrices |
0 |
0 |
0 |
356 |
1 |
5 |
7 |
840 |
| Option pricing and hedging with temporal correlations |
0 |
0 |
0 |
147 |
0 |
0 |
1 |
309 |
| Option pricing in the presence of extreme fluctuations |
0 |
0 |
0 |
208 |
2 |
5 |
8 |
406 |
| Phenomenology of the Interest Rate Curve |
0 |
0 |
0 |
17 |
1 |
2 |
3 |
57 |
| Phenomenology of the interest curve |
0 |
0 |
0 |
709 |
2 |
2 |
4 |
2,069 |
| Phenomenology of the interest rate curve |
0 |
0 |
0 |
216 |
0 |
2 |
4 |
660 |
| Random matrix theory |
0 |
0 |
0 |
0 |
1 |
2 |
4 |
878 |
| Random matrix theory and financial correlations |
0 |
0 |
0 |
1,180 |
4 |
8 |
24 |
2,724 |
| Random walks, liquidity molasses and critical response in financial markets |
0 |
0 |
0 |
404 |
1 |
5 |
9 |
922 |
| Random walks, liquidity molasses and critical response in financial markets |
0 |
0 |
0 |
32 |
0 |
3 |
6 |
103 |
| Rational Decisions, Random Matrices and Spin Glasses |
0 |
0 |
0 |
19 |
3 |
3 |
7 |
130 |
| Rational decisions, random matrices and spin glasses |
0 |
0 |
0 |
225 |
1 |
3 |
5 |
585 |
| Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets |
0 |
0 |
0 |
79 |
4 |
6 |
10 |
260 |
| Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets |
0 |
0 |
0 |
968 |
2 |
5 |
10 |
2,802 |
| Reply to Johansen's comment |
0 |
0 |
0 |
167 |
0 |
1 |
1 |
454 |
| Scaling in stock market data: stable laws and beyond |
0 |
0 |
0 |
551 |
1 |
1 |
3 |
1,287 |
| Scaling in stock market data: stable laws and beyond |
0 |
0 |
0 |
43 |
0 |
1 |
3 |
151 |
| Smile dynamics -- a theory of the implied leverage effect |
0 |
0 |
0 |
186 |
1 |
2 |
3 |
433 |
| Statistical properties of stock order books: empirical results and models |
0 |
0 |
0 |
948 |
4 |
5 |
8 |
1,981 |
| Strings Attached |
0 |
0 |
0 |
0 |
0 |
1 |
5 |
421 |
| The Student ensemble of correlation matrices: eigenvalue spectrum and Kullback-Leibler entropy |
0 |
0 |
0 |
79 |
1 |
2 |
3 |
227 |
| The leverage effect in financial markets: retarded volatility and market panic |
0 |
0 |
0 |
1,395 |
1 |
3 |
10 |
7,442 |
| Trend followers lose more often than they gain |
0 |
0 |
0 |
796 |
1 |
1 |
5 |
1,977 |
| Trend followers lose more often than they gain |
0 |
0 |
1 |
67 |
0 |
0 |
5 |
152 |
| Worst fluctuation method for fast value-at-risk estimates |
0 |
0 |
0 |
368 |
2 |
4 |
9 |
849 |
| Total Working Papers |
0 |
2 |
10 |
17,459 |
56 |
128 |
278 |
48,136 |
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