Marc Potters : Citation Profile


Are you Marc Potters?

Science & Finance

13

H index

17

i10 index

571

Citations

RESEARCH PRODUCTION:

3

Articles

51

Papers

RESEARCH ACTIVITY:

   13 years (1996 - 2009). See details.
   Cites by year: 43
   Journals where Marc Potters has often published
   Relations with other researchers
   Recent citing documents: 66.    Total self citations: 12 (2.06 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppo42
   Updated: 2019-10-06    RAS profile: 2012-02-06    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Marc Potters.

Is cited by:

Farmer, J. (20)

Schied, Alexander (10)

Iori, Giulia (10)

Challet, Damien (9)

Kondor, Imre (8)

Schöneborn, Torsten (7)

Mantegna, Rosario (7)

Cristelli, Matthieu (6)

Chiarella, Carl (6)

Raddant, Matthias (5)

LEHALLE, Charles-Albert (5)

Cites to:

Farmer, J. (9)

Foucault, Thierry (7)

Challet, Damien (3)

Subrahmanyam, Avanidhar (3)

Bessembinder, Hendrik (3)

White, Alan (2)

Biais, Bruno (2)

Jarrow, Robert (2)

Karolyi, G. (2)

Bianchi, Patrizio (2)

Dacorogna, Michel (2)

Main data


Where Marc Potters has published?


Journals with more than one article published# docs
Quantitative Finance2

Working Papers Series with more than one paper published# docs
Science & Finance (CFM) working paper archive / Science & Finance, Capital Fund Management33
Papers / arXiv.org17

Recent works citing Marc Potters (2018 and 2017)


YearTitle of citing document
2017Community detection in temporal multilayer networks, with an application to correlation networks. (2017). Fenn, Daniel J. ; Williams, Stacy ; Howison, Sam D. ; Porter, Mason A. ; Bazzi, Marya ; McDonald, Mark . In: Papers. RePEc:arx:papers:1501.00040.

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2018A stochastic Stefan-type problem under first-order boundary conditions. (2018). Mueller, Marvin S. In: Papers. RePEc:arx:papers:1601.03968.

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2017Limit-order book resiliency after effective market orders: Spread, depth and intensity. (2017). Xu, Hai-Chuan ; Zhou, Wei-Xing ; Zhang, Wei ; Xiong, Xiong ; Chen, Wei. In: Papers. RePEc:arx:papers:1602.00731.

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2017The Problem of Calibrating an Agent-Based Model of High-Frequency Trading. (2017). Gebbie, Tim ; Platt, Donovan . In: Papers. RePEc:arx:papers:1606.01495.

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2017Random matrix approach to estimation of high-dimensional factor models. (2017). Yeo, Joongyeub ; Papanicolaou, George . In: Papers. RePEc:arx:papers:1611.05571.

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2017Day of the Week Effect in biotechnology stocks: An Application of the GARCH processes. (2017). Chatterjee, Swarnankur. In: Papers. RePEc:arx:papers:1701.07175.

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2018The short-term price impact of trades is universal. (2018). Eisler, Zoltan ; Toth, Bence ; Bouchaud, Jean-Philippe. In: Papers. RePEc:arx:papers:1702.08029.

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2017New approaches in agent-based modeling of complex financial systems. (2017). Li, Y ; Chen, T T ; Jiang, X F ; Zheng, B. In: Papers. RePEc:arx:papers:1703.06840.

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2019Portfolio Choice with Small Temporary and Transient Price Impact. (2019). Ekren, Ibrahim ; Muhle-Karbe, Johannes. In: Papers. RePEc:arx:papers:1705.00672.

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2018Mini-Flash Crashes, Model Risk, and Optimal Execution. (2018). Bayraktar, Erhan ; Munk, Alexander . In: Papers. RePEc:arx:papers:1705.09827.

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2017Open Source Fundamental Industry Classification. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1706.04210.

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2018Local fluctuations of the signed traded volumes and the dependencies of demands: a copula analysis. (2018). Wang, Shan Shan ; Guhr, Thomas. In: Papers. RePEc:arx:papers:1706.09240.

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2017Correlations and Clustering in Wholesale Electricity Markets. (2017). Cui, Tianyu ; Ududec, Cozmin ; Caravelli, Francesco. In: Papers. RePEc:arx:papers:1710.11184.

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2017Distributions of Historic Market Data - Stock Returns. (2017). Liu, Zhiyuan ; Serota, R A ; Moghaddam, Dashti M. In: Papers. RePEc:arx:papers:1711.11003.

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2018Dynamical regularities of US equities opening and closing auctions. (2018). Challet, Damien ; Gourianov, Nikita. In: Papers. RePEc:arx:papers:1802.01921.

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2018Theoretical and empirical analysis of trading activity. (2018). Pohl, Mathias ; Tangpi, Ludovic ; Schachermayer, Walter ; Ristig, Alexander . In: Papers. RePEc:arx:papers:1803.04892.

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2018Optimal make-take fees for market making regulation. (2018). el Euch, Omar ; Touzi, Nizar ; Rosenbaum, Mathieu ; Mastrolia, Thibaut. In: Papers. RePEc:arx:papers:1805.02741.

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2019Analyzing order flows in limit order books with ratios of Cox-type intensities. (2018). Toke, Ioane Muni ; Yoshida, Nakahiro. In: Papers. RePEc:arx:papers:1805.06682.

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2018Emergence of correlations between securities at short time scales. (2018). Valeyre, S ; Aboura, S ; Grebenkov, D S. In: Papers. RePEc:arx:papers:1807.05015.

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2018Combined Mutiplicative-Heston Model for Stochastic Volatility. (2018). Moghaddam, Dashti M ; Serota, R A. In: Papers. RePEc:arx:papers:1807.10793.

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2018How spread changes affect the order book: Comparing the price responses of order deletions and placements to trades. (2018). Grimm, Stephan ; Guhr, Thomas. In: Papers. RePEc:arx:papers:1812.09067.

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2019From Glosten-Milgrom to the whole limit order book and applications to financial regulation. (2019). Saliba, Pamela ; Rosenbaum, Mathieu ; Huang, Weibing . In: Papers. RePEc:arx:papers:1902.10743.

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2019Clearing price distributions in call auctions. (2019). Kleijn, B ; Derksen, M. In: Papers. RePEc:arx:papers:1904.07583.

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2019Applications of a New Self-Financing Equation. (2019). Webster, Kevin ; Carmona, Rene. In: Papers. RePEc:arx:papers:1905.04137.

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2019Multi-Level Order-Flow Imbalance in a Limit Order Book. (2019). Howison, Sam D ; Gould, Martin D ; Xu, KE. In: Papers. RePEc:arx:papers:1907.06230.

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2019Optimal make take fees in a multi market maker environment. (2019). Rosenbaum, Mathieu ; Possamai, Dylan ; Baldacci, Bastien. In: Papers. RePEc:arx:papers:1907.11053.

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2017A Multivariate Stochastic Volatility Model Applied to a Panel of S&P500 Stocks in Different Industries. (2017). Stengos, Thanasis ; Ozturk, Serda S. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:3:p:479-490.

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2019THE REACTIVE BETA MODEL. (2019). Grebenkov, Denis ; Aboura, Sofiane ; Valeyre, Sebastien. In: Journal of Financial Research. RePEc:bla:jfnres:v:42:y:2019:i:1:p:71-113.

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2017Can We Use Volatility to Diagnose Financial Bubbles? Lessons from 40 Historical Bubbles. (2017). Smilyanov, Georgi ; Cauwels, Peter ; Sornette, Didier. In: Swiss Finance Institute Research Paper Series. RePEc:chf:rpseri:rp1727.

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2018Market-making strategy with asymmetric information and regime-switching. (2018). Siu, Tak Kuen ; Gu, Jia-Wen ; Ching, Wai-Ki ; Yang, Qing-Qing. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:90:y:2018:i:c:p:408-433.

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2017Do investors trade too much? A laboratory experiment. (2017). Massaro, Domenico ; Hommes, Cars ; Challet, Damien ; Bouchaud, Jean-Philippe ; da Gama, Joo. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:140:y:2017:i:c:p:18-34.

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2019Market stability vs. market resilience: Regulatory policies experiments in an agent-based model with low- and high-frequency trading. (2019). Napoletano, Mauro ; Leal, Sandrine Jacob. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:157:y:2019:i:c:p:15-41.

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2017Localized motion in random matrix decomposition of complex financial systems. (2017). Qiu, Tian ; Jiang, Xiong-Fei ; Zheng, BO ; Ren, Fei. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:471:y:2017:i:c:p:154-161.

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2017Emerging trends in evolving networks: Recent behaviour dominant and non-dominant model. (2017). Abbas, Khushnood ; Abbasi, Alireza ; Luo, Xin ; Shang, Mingsheng . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:484:y:2017:i:c:p:506-515.

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2017Traders’ behavioral coupling and market phase transition. (2017). Ma, Rong ; Li, Honggang ; Zhang, Yin. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:486:y:2017:i:c:p:618-627.

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2018Complexity analysis based on generalized deviation for financial markets. (2018). Li, Chao ; Shang, Pengjian. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:494:y:2018:i:c:p:118-128.

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2018Investigation of non-Gaussian effects in the Brazilian option market. (2018). Sosa-Correa, William O ; Vasconcelos, Giovani L ; Antonio, . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:496:y:2018:i:c:p:525-539.

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2018A continuous and efficient fundamental price on the discrete order book grid. (2018). Bonart, Julius ; Lillo, Fabrizio. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:503:y:2018:i:c:p:698-713.

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2018Collective behavior of cryptocurrency price changes. (2018). Stosic, Darko ; Ludermir, Teresa B. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:507:y:2018:i:c:p:499-509.

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2018Empirical scaling relations of market event rates in foreign currency market. (2018). Boilard, J.-F., ; Takayasu, M ; Kanazawa, K. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:509:y:2018:i:c:p:1152-1161.

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2019The stylized facts of prediction markets: Analysis of price changes. (2019). Restocchi, Valerio ; Gerding, Enrico ; McGroarty, Frank. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:515:y:2019:i:c:p:159-170.

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2019Dynamic fluctuations of cross-correlations in multi-time scale. (2019). Ouyang, Fang-Yan ; Jiang, Xiong-Fei ; Zheng, BO. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:517:y:2019:i:c:p:515-521.

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2019Modeling non-stationarities in high-frequency financial time series. (2019). Raberto, Marco ; Scalas, Enrico ; Trinh, Mailan ; Ponta, Linda ; Cincotti, Silvano. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:521:y:2019:i:c:p:173-196.

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2019Statistical properties of volume and calendar effects in prediction markets. (2019). McGroarty, Frank ; Restocchi, Valerio ; Gerding, Enrico. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:523:y:2019:i:c:p:1150-1160.

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2018Tail risk and the return-volatility relation. (2018). Chevallier, Julien ; Aboura, Sofiane. In: Research in International Business and Finance. RePEc:eee:riibaf:v:46:y:2018:i:c:p:16-29.

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2017Limiting empirical distribution for eigenvalues of products of random rectangular matrices. (2017). Zeng, Xingyuan . In: Statistics & Probability Letters. RePEc:eee:stapro:v:126:y:2017:i:c:p:33-40.

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2019On Double Value at Risk. (2019). Zhao, Peibiao ; Zhang, Sisi. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:1:p:31-:d:212298.

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2019An Empirical Analysis of Bitcoin Price Jump Risk. (2019). Kang, Naeyoung ; Kim, Jungmu . In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:7:p:2012-:d:220004.

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2017Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High-Frequency Trading. (2017). Leal, Sandrine Jacob ; Napoletano, Mauro. In: Post-Print. RePEc:hal:journl:hal-01768876.

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2019Analyzing order flows in limit order books with ratios of Cox-type intensities. (2019). Yoshida, Nakahiro ; Toke, Ioane Muni. In: Post-Print. RePEc:hal:journl:hal-01799398.

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2019Analyzing order flows in limit order books with ratios of Cox-type intensities. (2018). Toke, Ioane Muni ; Yoshida, Nakahiro. In: Working Papers. RePEc:hal:wpaper:hal-01799398.

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2018Recent Topics in Time Series and Finance: Theory and Applications in Emerging Markets. (2018). Venegas-Martínez, Francisco ; Rojas, Omar. In: Sección de Estudios de Posgrado e Investigación de la Escuela Superios de Economía del Instituto Politécnico Nacional. RePEc:ipn:libros:022.

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2019On Optimal Pricing Model for Multiple Dealers in a Competitive Market. (2019). Yang, Qing-Qing ; Siu, Tak-Kuen ; Ching, Wai-Ki ; Gu, Jia-Wen. In: Computational Economics. RePEc:kap:compec:v:53:y:2019:i:1:d:10.1007_s10614-017-9749-6.

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2017Econophysics and Financial Economics: An Emerging Dialogue. (2017). Schinckus, Christophe ; Jovanovic, Franck . In: OUP Catalogue. RePEc:oxp:obooks:9780190205034.

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2018Bayesian inference of the fractional Ornstein–Uhlenbeck process under a flow sampling scheme. (2018). Tsionas, Mike ; Simos, Theodore. In: Computational Statistics. RePEc:spr:compst:v:33:y:2018:i:4:d:10.1007_s00180-018-0799-6.

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2017Latency and liquidity provision in a limit order book. (2017). Bonart, Julius ; Gould, Martin D. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:10:p:1601-1616.

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2017Optimal execution with non-linear transient market impact. (2017). Curato, Gianbiagio ; Lillo, Fabrizio ; Gatheral, Jim. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:1:p:41-54.

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2017LOGISTIC MODEL FOR STOCK MARKET BUBBLES AND ANTI-BUBBLES. (2017). Lynch, Christopher ; Mestel, Benjamin. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:06:n:s0219024917500388.

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2017STATIONARY DISTRIBUTION OF THE VOLUME AT THE BEST QUOTE IN A POISSON ORDER BOOK MODEL. (2017). Toke, Ioane Muni. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:06:n:s021902491750039x.

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2018AN EMPIRICAL APPROACH TO FINANCIAL CRISIS INDICATORS BASED ON RANDOM MATRICES. (2018). Douady, Raphael ; Kornprobst, Antoine. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:03:n:s021902491850022x.

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2018An analysis of systematic risk in worldwide econonomic sentiment indices. (2018). Luu, Duc Thi ; Lux, Thomas ; Yanovski, Boyan . In: Economics Working Papers. RePEc:zbw:cauewp:201803.

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2018A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns. (2018). Endres, Sylvia ; Stubinger, Johannes. In: FAU Discussion Papers in Economics. RePEc:zbw:iwqwdp:072018.

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Works by Marc Potters:


YearTitleTypeCited
2007The Student ensemble of correlation matrices: eigenvalue spectrum and Kullback-Leibler entropy In: Papers.
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paper7
2008Smile dynamics -- a theory of the implied leverage effect In: Papers.
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paper3
2009Financial Applications of Random Matrix Theory: a short review In: Papers.
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paper5
2001Correlation structure of extreme stock returns In: Papers.
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paper21
2000Correlation structure of extreme stock returns.(2000) In: Science & Finance (CFM) working paper archive.
[Citation analysis]
This paper has another version. Agregated cites: 21
paper
2001Introducing Variety in Risk Management In: Papers.
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paper0
2001Introducing Variety in Risk Management.(2001) In: Science & Finance (CFM) working paper archive.
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This paper has another version. Agregated cites: 0
paper
2003Fluctuations and response in financial markets: the subtle nature of `random price changes In: Papers.
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paper33
2003Fluctuations and response in financial markets: the subtle nature of `random price changes.(2003) In: Science & Finance (CFM) working paper archive.
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paper
2004Exponential Weighting and Random-Matrix-Theory-Based Filtering of Financial Covariance Matrices for Portfolio Optimization In: Papers.
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paper6
2004Exponential Weighting and Random-Matrix-Theory-Based Filtering of Financial Covariance Matrices for Portfolio Optimization.(2004) In: Science & Finance (CFM) working paper archive.
[Citation analysis]
This paper has another version. Agregated cites: 6
paper
2004Random walks, liquidity molasses and critical response in financial markets In: Papers.
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paper42
2004Random walks, liquidity molasses and critical response in financial markets.(2004) In: Science & Finance (CFM) working paper archive.
[Citation analysis]
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paper
2006Random walks, liquidity molasses and critical response in financial markets.(2006) In: Quantitative Finance.
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article
1997Scaling in stock market data: stable laws and beyond In: Papers.
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paper47
1997Scaling in stock market data: stable laws and beyond.(1997) In: Science & Finance (CFM) working paper archive.
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1997Missing Information and Asset Allocation In: Papers.
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paper4
1997Missing information and asset allocation.(1997) In: Science & Finance (CFM) working paper archive.
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paper
1997Phenomenology of the Interest Rate Curve In: Papers.
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paper16
1997Phenomenology of the interest rate curve.(1997) In: Science & Finance (CFM) working paper archive.
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paper
1999Phenomenology of the interest rate curve.(1999) In: Applied Mathematical Finance.
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article
1998Rational Decisions, Random Matrices and Spin Glasses In: Papers.
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paper25
1998Rational decisions, random matrices and spin glasses.(1998) In: Science & Finance (CFM) working paper archive.
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This paper has another version. Agregated cites: 25
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1998Are Financial Crashes Predictable? In: Papers.
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1998Are financial crashes predictable?.(1998) In: Science & Finance (CFM) working paper archive.
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This paper has another version. Agregated cites: 10
paper
2005Financial Applications of Random Matrix Theory: Old Laces and New Pieces In: Papers.
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2005Financial Applications of Random Matrix Theory: Old Laces and New Pieces.(2005) In: Science & Finance (CFM) working paper archive.
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2005Trend followers lose more often than they gain In: Papers.
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2005Trend followers lose more often than they gain.(2005) In: Science & Finance (CFM) working paper archive.
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This paper has another version. Agregated cites: 3
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2005Large dimension forecasting models and random singular value spectra In: Papers.
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paper3
2005Large dimension forecasting models and random singular value spectra.(2005) In: Science & Finance (CFM) working paper archive.
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2007Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets In: Papers.
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paper11
2006Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets.(2006) In: Science & Finance (CFM) working paper archive.
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2001The leverage effect in financial markets: retarded volatility and market panic In: Science & Finance (CFM) working paper archive.
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paper56
2002Statistical properties of stock order books: empirical results and models In: Science & Finance (CFM) working paper archive.
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paper100
2002Reply to Johansens comment In: Science & Finance (CFM) working paper archive.
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paper0
2002More statistical properties of order books and price impact In: Science & Finance (CFM) working paper archive.
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paper27
2001More stylized facts of financial markets: leverage effect and downside correlations In: Science & Finance (CFM) working paper archive.
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paper17
2003Comment on: Two-phase behaviour of financial markets In: Science & Finance (CFM) working paper archive.
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paper2
2000Option pricing and hedging with temporal correlations In: Science & Finance (CFM) working paper archive.
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paper0
2000Hedged Monte-Carlo: low variance derivative pricing with objective probabilities In: Science & Finance (CFM) working paper archive.
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paper3
2001Hedge your Monte Carlo In: Science & Finance (CFM) working paper archive.
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paper0
1998Back to basics: historical option pricing revisited In: Science & Finance (CFM) working paper archive.
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paper0
1996Financial markets as adaptative systems In: Science & Finance (CFM) working paper archive.
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paper9
1997Option pricing in the presence of extreme fluctuations In: Science & Finance (CFM) working paper archive.
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paper3
1998Strings Attached In: Science & Finance (CFM) working paper archive.
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paper1
1998Noise dressing of financial correlation matrices In: Science & Finance (CFM) working paper archive.
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paper27
1999Random matrix theory In: Science & Finance (CFM) working paper archive.
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paper5
1999Random matrix theory and financial correlations In: Science & Finance (CFM) working paper archive.
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paper11
1996Comment on Turbulent cascades in foreign exchange markets In: Science & Finance (CFM) working paper archive.
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paper4
1999Apparent multifractality in financial time series In: Science & Finance (CFM) working paper archive.
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paper12
1999Worst fluctuation method for fast value-at-risk estimates In: Science & Finance (CFM) working paper archive.
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paper2
2008Relation between bid-ask spread, impact and volatility in order-driven markets In: Quantitative Finance.
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article35
1997Phenomenology of the interest curve In: Finance.
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paper0

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