| 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 |
1 |
4 |
8 |
832 |
| Are Financial Crashes Predictable? |
0 |
0 |
0 |
46 |
1 |
2 |
4 |
102 |
| Are financial crashes predictable? |
0 |
0 |
0 |
474 |
26 |
32 |
34 |
949 |
| Back to basics: historical option pricing revisited |
0 |
0 |
0 |
340 |
1 |
3 |
4 |
1,215 |
| Comment on "Turbulent cascades in foreign exchange markets" |
0 |
0 |
0 |
238 |
6 |
8 |
9 |
633 |
| Comment on: "Two-phase behaviour of financial markets" |
0 |
0 |
0 |
213 |
3 |
5 |
6 |
502 |
| Correlation structure of extreme stock returns |
0 |
0 |
0 |
376 |
2 |
4 |
4 |
977 |
| Correlation structure of extreme stock returns |
0 |
0 |
0 |
41 |
3 |
4 |
6 |
113 |
| Exponential Weighting and Random-Matrix-Theory-Based Filtering of Financial Covariance Matrices for Portfolio Optimization |
0 |
0 |
1 |
36 |
1 |
8 |
14 |
128 |
| Exponential Weighting and Random-Matrix-Theory-Based Filtering of Financial Covariance Matrices for Portfolio Optimization |
0 |
0 |
0 |
781 |
2 |
7 |
14 |
1,889 |
| Financial Applications of Random Matrix Theory: Old Laces and New Pieces |
0 |
0 |
0 |
56 |
5 |
9 |
14 |
182 |
| Financial Applications of Random Matrix Theory: Old Laces and New Pieces |
0 |
0 |
0 |
1,006 |
4 |
8 |
9 |
2,182 |
| Financial Applications of Random Matrix Theory: a short review |
0 |
0 |
4 |
514 |
4 |
5 |
17 |
1,010 |
| Financial markets as adaptative systems |
0 |
0 |
0 |
222 |
0 |
6 |
13 |
436 |
| Fluctuations and response in financial markets: the subtle nature of `random' price changes |
0 |
0 |
1 |
131 |
2 |
5 |
13 |
376 |
| Fluctuations and response in financial markets: the subtle nature of `random' price changes |
0 |
0 |
0 |
764 |
4 |
6 |
12 |
1,544 |
| Hedge your Monte Carlo |
0 |
0 |
0 |
0 |
3 |
4 |
7 |
722 |
| Hedged Monte-Carlo: low variance derivative pricing with objective probabilities |
0 |
0 |
0 |
467 |
2 |
3 |
5 |
1,012 |
| Introducing Variety in Risk Management |
0 |
0 |
0 |
33 |
2 |
4 |
4 |
76 |
| Introducing Variety in Risk Management |
0 |
0 |
0 |
371 |
3 |
3 |
6 |
680 |
| Large dimension forecasting models and random singular value spectra |
0 |
0 |
1 |
28 |
3 |
4 |
7 |
94 |
| Large dimension forecasting models and random singular value spectra |
0 |
0 |
0 |
457 |
3 |
5 |
8 |
906 |
| Missing Information and Asset Allocation |
0 |
0 |
0 |
38 |
1 |
4 |
6 |
109 |
| Missing information and asset allocation |
0 |
0 |
0 |
206 |
5 |
8 |
12 |
592 |
| More statistical properties of order books and price impact |
0 |
0 |
0 |
525 |
2 |
6 |
9 |
959 |
| More stylized facts of financial markets: leverage effect and downside correlations |
0 |
0 |
0 |
554 |
3 |
6 |
7 |
1,937 |
| Noise dressing of financial correlation matrices |
0 |
0 |
0 |
356 |
1 |
4 |
10 |
843 |
| Option pricing and hedging with temporal correlations |
0 |
0 |
0 |
147 |
1 |
3 |
4 |
312 |
| Option pricing in the presence of extreme fluctuations |
0 |
0 |
0 |
208 |
2 |
11 |
17 |
415 |
| Phenomenology of the Interest Rate Curve |
0 |
0 |
0 |
17 |
3 |
6 |
8 |
62 |
| Phenomenology of the interest curve |
0 |
0 |
0 |
709 |
2 |
4 |
6 |
2,071 |
| Phenomenology of the interest rate curve |
0 |
0 |
0 |
216 |
4 |
4 |
7 |
664 |
| Random matrix theory |
0 |
0 |
0 |
0 |
0 |
8 |
11 |
885 |
| Random matrix theory and financial correlations |
0 |
0 |
0 |
1,180 |
7 |
15 |
34 |
2,735 |
| Random walks, liquidity molasses and critical response in financial markets |
0 |
0 |
0 |
32 |
1 |
2 |
8 |
105 |
| Random walks, liquidity molasses and critical response in financial markets |
0 |
0 |
0 |
404 |
3 |
6 |
13 |
927 |
| Rational Decisions, Random Matrices and Spin Glasses |
0 |
0 |
0 |
19 |
6 |
10 |
14 |
137 |
| Rational decisions, random matrices and spin glasses |
0 |
0 |
0 |
225 |
4 |
6 |
10 |
590 |
| Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets |
0 |
0 |
0 |
79 |
2 |
6 |
12 |
262 |
| Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets |
0 |
0 |
0 |
968 |
7 |
9 |
17 |
2,809 |
| Reply to Johansen's comment |
0 |
0 |
0 |
167 |
6 |
6 |
7 |
460 |
| Scaling in stock market data: stable laws and beyond |
0 |
0 |
0 |
43 |
1 |
3 |
6 |
154 |
| Scaling in stock market data: stable laws and beyond |
0 |
0 |
0 |
551 |
6 |
8 |
9 |
1,294 |
| Smile dynamics -- a theory of the implied leverage effect |
0 |
0 |
0 |
186 |
2 |
5 |
7 |
437 |
| Statistical properties of stock order books: empirical results and models |
0 |
0 |
0 |
948 |
2 |
12 |
16 |
1,989 |
| Strings Attached |
0 |
0 |
0 |
0 |
3 |
3 |
8 |
424 |
| The Student ensemble of correlation matrices: eigenvalue spectrum and Kullback-Leibler entropy |
0 |
0 |
0 |
79 |
1 |
4 |
6 |
230 |
| The leverage effect in financial markets: retarded volatility and market panic |
0 |
0 |
0 |
1,395 |
5 |
7 |
15 |
7,448 |
| Trend followers lose more often than they gain |
0 |
0 |
1 |
67 |
2 |
3 |
8 |
155 |
| Trend followers lose more often than they gain |
0 |
0 |
0 |
796 |
4 |
7 |
11 |
1,983 |
| Worst fluctuation method for fast value-at-risk estimates |
0 |
0 |
0 |
368 |
4 |
7 |
11 |
854 |
| Total Working Papers |
0 |
0 |
8 |
17,459 |
171 |
322 |
527 |
48,402 |
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