Theory of financial risks : from statistical physics to risk management

By Jean-Philippe Bouchaud, Marc Potters. 2000

521 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/bb9e85326fec78b7eac2f112a89a661a397e7105

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Citations in the corpus

The scale-free topology of market investments (2003, background): “Ge”
On the power of generalized extreme value (GEV) and generalized Pareto distribution (GPD) estimators for empirical distributions of stock returns (2006, background): “However, for real financial data, the convergence in distribution to a Gaussian law is very slow (Campbell et al., 1997; Bouchaud and Potters, 2000, for instance), much slower than predicted for independent returns.”
Statistical physics of social dynamics (2007, background): “On such topics there are excellent books and reviews (Bouchaud and Potters, 2000; Lux, 2007; Mantegna and Stanley, 1999) to which we refer the interested reader.”
Worrying trends in econophysics (2006, methodology): “Essentially, the models are based upon models of statistical physics in which energy is conserved in exchange processes.”
Measuring anti-correlations in the nordic electricity spot market by wavelets (2001, background): “For instance for liquid stock indices one typically 6nds them to be uncorrelated after a rather short time period [10,11].”
Probability distribution of energetic-statistical size effect in quasibrittle fracture (2004, unknown): “[53].”
Energetic–statistical size effect simulated by SFEM with stratified sampling and crack band model (2007, background): “the input, but the pdf is typically verified only for the core, and when this pdf is simply extended into the tail, the extension is often incorrect [12].”
On the analysis of cross-correlations in South African market data (2004, methodology): “of the diﬀerences λ i+1 −λ i as i varies 2 . It has been found that the eigenvector components vi a for a = 1...n of an eigenvector v a are normally distributed with zero mean and unit variance [14], [4], p(u) = 1 √ 2π exp(− u2 ). (4) The inverse participation ratio (IPR) is used to analyze the stru”
Cell size regulation in bacteria (2013, background): “Multiplicative noise and the log-normal distributions which emerge from our model also occur frequently in a broad class of problems in physics, such as relaxations in glasses [18], intensity fluctuations in lasers [19] and the modelling of financial markets [20, 21].”
Wavelet Multiresolution Analysis of High-Frequency Asian FX Rates, Summer 1997 (2005, unknown): “The phenomena of financial crisis, turbulence, friction, and persistence are clearly inadequately described by the affine Markow (ARIMA) and Geometric Brownian Motion (GBM) models (Bouchaud & Potters, 2000).”
Relativistic Brownian Motion (2008, background): “oblem considered by Einstein and his contemporaries, and the applications cover a wide range of diﬀerent areas including physics [77, 78, 79, 80, 81, 82, 83, 84], biology [85, 86], economy and ﬁnance [87, 88, 89]. A central topic of this review concerns the question how SDE-based Brownian motion mod”