Zobrazeno 1 - 10
of 47
pro vyhledávání: '"Kockelkoren, Julien"'
Autor:
Benichou, Raphael, Lempérière, Yves, Sérié, Emmanuel, Kockelkoren, Julien, Seager, Philip, Bouchaud, Jean-Philippe, Potters, Marc
Markowitz' celebrated optimal portfolio theory generally fails to deliver out-of-sample diversification. In this note, we propose a new portfolio construction strategy based on symmetry arguments only, leading to "Eigenrisk Parity" portfolios that ac
Externí odkaz:
http://arxiv.org/abs/1610.08818
We propose a general framework to describe the impact of different events in the order book, that generalizes previous work on the impact of market orders. Two different modeling routes can be considered, which are equivalent when only market orders
Externí odkaz:
http://arxiv.org/abs/1107.3364
Autor:
Toth, Bence, Lemperiere, Yves, Deremble, Cyril, de Lataillade, Joachim, Kockelkoren, Julien, Bouchaud, Jean-Philippe
Publikováno v:
Physical Review X 1, 021006 (2011)
We propose a dynamical theory of market liquidity that predicts that the average supply/demand profile is V-shaped and {\it vanishes} around the current price. This result is generic, and only relies on mild assumptions about the order flow and on th
Externí odkaz:
http://arxiv.org/abs/1105.1694
Autor:
Toth, Bence, Eisler, Zoltan, Lillo, Fabrizio, Kockelkoren, Julien, Bouchaud, Jean-Philippe, Farmer, J. Doyne
We present an empirical study of the intertwined behaviour of members in a financial market. Exploiting a database where the broker that initiates an order book event can be identified, we decompose the correlation and response functions into contrib
Externí odkaz:
http://arxiv.org/abs/1104.0587
While the long-ranged correlation of market orders and their impact on prices has been relatively well studied in the literature, the corresponding studies of limit orders and cancellations are scarce. We provide here an empirical study of the cross-
Externí odkaz:
http://arxiv.org/abs/0904.0900
Autor:
Wyart, Matthieu, Bouchaud, Jean-Philippe, Kockelkoren, Julien, Potters, Marc, Vettorazzo, Michele
We show that the cost of market orders and the profit of infinitesimal market-making or -taking strategies can be expressed in terms of directly observable quantities, namely the spread and the lag-dependent impact function. Imposing that any market
Externí odkaz:
http://arxiv.org/abs/physics/0603084
Autor:
Kockelkoren, Julien, Chaté, Hugues
The coupling of branching-annihilating random walks to a static field with a local conservation law is shown to change the scaling properties of their phase transitions to absorbing states. In particular, we find that DP-class transitions give rise t
Externí odkaz:
http://arxiv.org/abs/cond-mat/0306039
We introduce a phase field approach for diffusion inside and outside a closed cell with damping and with source terms at the interface. The method is compared to exact solutions (where possible) and the more traditional finite element method. It is s
Externí odkaz:
http://arxiv.org/abs/cond-mat/0305577
Autor:
Kockelkoren, Julien, Chaté, Hugues
Publikováno v:
Phys. Rev. E 65, 058101 (2002)
Zheng [Phys. Rev. E {\bf 61}, 153 (2000), cond-mat/9909324] claims that phase ordering dynamics in the microcanonical $\phi^4$ model displays unusual scaling laws. We show here, performing more careful numerical investigations, that Zheng only observ
Externí odkaz:
http://arxiv.org/abs/cond-mat/0209681
Autor:
Kockelkoren, Julien, Chaté, Hugues
Publikováno v:
Physica D, 168-169, 80 (2002)
We present a comprehensive picture of (non-critical) domain growth in model C systems where a non-conserved scalar order parameter is coupled to a conserved concentration field. For quenches into the region where the ordered and disordered phases coe
Externí odkaz:
http://arxiv.org/abs/cond-mat/0209683