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Science & Finance (CFM) working paper archive / Science & Finance, Capital Fund Management

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Impact Factor

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5-Years IF

14

5-Years H index

Main indicators

Raw data

IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.1000 (%)0.06
19910.09000 (%)0.05
19920.11000 (%)0.06
19930.14000 (%)0.07
19940.12111700 (%)0.06
19950.1623211 (%)0.1
19960.22520.411331 (9.1%)10.50.09
19970.250.210.271250.427941517 (8.9%)40.570.09
19980.890.220.92820140.71039812114 (3.9%)20.250.13
19990.20.280.2562680.31281532054 (14.3%)20.330.16
20000.290.370.44834140.417814425115 (6.4%)20.250.14
20010.070.360.58539240.625214131184 (7.7%)20.40.17
20020.460.370.41746160.3514013634147 (5%)10.140.18
20030.750.40.62551300.59101293421 (%)10.20.19
20040.580.420.65455380.691412731201 (7.1%)0.19
20050.110.430.52661300.4932912915 (%)0.21
20060.30.450.44162330.5391032712 (%)0.2
20070.860.390.7462370.6762317 (%)0.17
200830.390.1962340.5513163 (%)0.17
20090.370.5562330.530116 (%)0.18
20100.330.2962380.61072 (%)0.15
20110.41362550.89013 (%)0.2
20120.4662330.5300 (%)0.21
20130.562370.600 (%)0.21
20140.5462470.7600 (%)0.26
20150.662310.500 (%)0.3
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CCU: Cumulative number of citations to papers published until year y
CIF: Cumulative impact factor
CIT: Number of citations to papers published in year y
D2Y: Number of articles published in y-1 plus y-2
C2Y: Cites in y to articles published in y-1 plus y-2
D5Y: Number of articles published in y-1 until y-5
C5Y: Cites in y to articles published in y-1 until y-5
%SC: Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y

 

50 most cited documents in this series:

#YearTitleCited
12002Statistical properties of stock order books: empirical results and models. (2002). Potters, Marc ; Bouchaud, Jean-Philippe ; Mezard, Marc . In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:0203511.

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89
22000Wealth condensation in a simple model of economy. (2000). Bouchaud, Jean-Philippe ; Mezard, Marc . In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:500026.

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67
31998A Langevin approach to stock market fluctuations and crashes. (1998). Bouchaud, Jean-Philippe ; Cont, Rama . In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:500027.

Full description at Econpapers || Download paper

43
42001The leverage effect in financial markets: retarded volatility and market panic. (2001). Potters, Marc ; Matacz, Andrew ; Bouchaud, Jean-Philippe . In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:0101120.

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33
51997Scaling in stock market data: stable laws and beyond. (1997). Potters, Marc ; Bouchaud, Jean-Philippe ; Cont, Rama . In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:9705087.

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31
61997Herd behavior and aggregate fluctuations in financial markets. (1997). Bouchaud, Jean-Philippe ; Cont, Rama . In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:500028.

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30
72002More statistical properties of order books and price impact. (2002). Potters, Marc ; Bouchaud, Jean-Philippe . In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:0210710.

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29
81998Noise dressing of financial correlation matrices. (1998). Potters, Marc ; Bouchaud, Jean-Philippe ; Cizeau, Pierre ; Laloux, Laurent. In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:500051.

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26
91998Rational decisions, random matrices and spin glasses. (1998). Potters, Marc ; Galluccio, Stefano ; Bouchaud, Jean-Philippe . In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:500054.

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25
102002An introduction to statistical finance. (2002). Bouchaud, Jean-Philippe . In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:313238.

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24
111994The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes. (1994). Sornette, Didier ; Bouchaud, Jean-Philippe . In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:500040.

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17
122005Financial Applications of Random Matrix Theory: Old Laces and New Pieces. (2005). Potters, Marc ; Bouchaud, Jean-Philippe ; Laloux, Laurent. In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:500058.

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16
132001Microscopic models for long ranged volatility correlations. (2001). Giardina, Irene ; Mezard, Marc ; Bouchaud, Jean-Philippe . In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:500024.

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14
142001More stylized facts of financial markets: leverage effect and downside correlations. (2001). Potters, Marc ; Bouchaud, Jean-Philippe . In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:29960.

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14
151999Apparent multifractality in financial time series. (1999). Potters, Marc ; Bouchaud, Jean-Philippe . In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:9906347.

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11
162004Random walks, liquidity molasses and critical response in financial markets. (2004). Potters, Marc ; Bouchaud, Jean-Philippe ; Kockelkoren, Julien . In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:500063.

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10
172006Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets. (2006). Potters, Marc ; Bouchaud, Jean-Philippe ; Vettorazzo, Michele ; Wyart, Matthieu ; Kockelkoren, Julien . In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:500067.

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9
181996Financial markets as adaptative systems. (1996). Potters, Marc ; Bouchaud, Jean-Philippe ; Cont, Rama . In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:500037.

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9
191999Random matrix theory and financial correlations. (1999). Potters, Marc ; Bouchaud, Jean-Philippe ; Cizeau, Pierre ; Laloux, Laurent. In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:500053.

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9
202003Fluctuations and response in financial markets: the subtle nature of `random price changes. (2003). Potters, Marc ; Bouchaud, Jean-Philippe ; Gefen, Yuval ; Wyart, Matthieu . In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:0307332.

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8
211998Elements for a theory of financial risks. (1998). Bouchaud, Jean-Philippe . In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:500042.

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8
221997Financial modeling and option theory with the truncated Lévy process. (1997). Matacz, Andrew. In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:500035.

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8
232005Theory of collective opinion shifts: from smooth trends to abrupt swings. (2005). Bouchaud, Jean-Philippe ; Michard, Quentin. In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:500060.

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8
242002The skewed multifractal random walk with applications to option smiles. (2002). Pochard, Benoit ; Bouchaud, Jean-Philippe . In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:0204047.

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6
251997Phenomenology of the interest rate curve. (1997). Potters, Marc ; Bouchaud, Jean-Philippe ; Cont, Rama ; El-Karoui, Nicole ; SAGNA, Nicolas. In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:500048.

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6
262000Power-laws in economics and finance: some ideas from physics. (2000). Bouchaud, Jean-Philippe . In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:500023.

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5
271999Random matrix theory. (1999). Potters, Marc ; Bouchaud, Jean-Philippe ; Cizeau, Pierre ; Laloux, Laurent. In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:500052.

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5
281997Missing information and asset allocation. (1997). Potters, Marc ; Bouchaud, Jean-Philippe ; Aguilar, Jean-Pierre. In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:500045.

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4
291999An empirical investigation of the forward interest rate term structure. (1999). Matacz, Andrew ; Bouchaud, Jean-Philippe . In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:500047.

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4
301997Option pricing in the presence of extreme fluctuations. (1997). Potters, Marc ; Sornette, Didier ; Bouchaud, Jean-Philippe . In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:500038.

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3
312004Exponential Weighting and Random-Matrix-Theory-Based Filtering of Financial Covariance Matrices for Portfolio Optimization. (2004). Potters, Marc ; Kondor, Imre ; Pafka, Szilard . In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:500050.

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3
322000Hedged Monte-Carlo: low variance derivative pricing with objective probabilities. (2000). Potters, Marc ; Sestovic, Dragan ; Bouchaud, Jean-Philippe . In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:500031.

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3
332005The Dynamics of Financial Markets -- Mandelbrots multifractal cascades, and beyond. (2005). Zumbach, Gilles ; Borland, Lisa ; Bouchaud, Jean-Philippe ; Muzy, Jean-Francois . In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:500061.

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3
342002Bubbles, crashes and intermittency in agent based market models. (2002). Giardina, Irene ; Bouchaud, Jean-Philippe . In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:500022.

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3
352005Trend followers lose more often than they gain. (2005). Potters, Marc ; Bouchaud, Jean-Philippe . In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:500065.

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3
361995Real-world options: smile and residual risk. (1995). Iori, Giulia ; Sornette, Didier ; Bouchaud, Jean-Philippe . In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:500039.

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2
372000Hedging large risks reduces the transaction costs. (2000). Selmi, Farhat ; Bouchaud, Jean-Philippe . In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:500033.

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2
381996Comment on Turbulent cascades in foreign exchange markets. (1996). Potters, Marc ; Arneodo, Alain ; Cont, Rama ; Bouchaud, Jean-Philippe ; Muzy, Jean-Francois ; Sornette, Didier . In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:9607120.

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2
391998Strings Attached. (1998). Potters, Marc ; Bouchaud, Jean-Philippe ; Cont, Rama ; El-Karoui, Nicole ; SAGNA, Nicolas. In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:500049.

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2
402005Large dimension forecasting models and random singular value spectra. (2005). Potters, Marc ; Miceli, Augusta M. ; Laloux, Laurent ; Bouchaud, Jean-Philippe . In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:500066.

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2
411998Are financial crashes predictable?. (1998). Potters, Marc ; Bouchaud, Jean-Philippe ; Cont, Rama ; Laloux, Laurent ; Aguilar, Jean-Pierre. In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:9804111.

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2
422002Statistical models for company growth. (2002). Bouchaud, Jean-Philippe ; Wyart, Matthieu . In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:500021.

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1
432000Population dynamics in a random environment. (2000). Giardina, Irene ; Mezard, Marc ; Bouchaud, Jean-Philippe . In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:500025.

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1
442003Self-referential behaviour, overreaction and conventions in financial markets. (2003). Bouchaud, Jean-Philippe ; Wyart, Matthieu . In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:500020.

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1
452004Experts earning forecasts: bias, herding and gossamer information. (2004). Bouchaud, Jean-Philippe ; GUEDJ, OLIVIER. In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:500062.

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1
461999Worst fluctuation method for fast value-at-risk estimates. (1999). Potters, Marc ; Bouchaud, Jean-Philippe . In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:9909245.

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1
471997Universality classes for extreme value statistics. (1997). Bouchaud, Jean-Philippe ; Mezard, Marc . In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:500043.

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1
482003Comment on: Two-phase behaviour of financial markets. (2003). Potters, Marc ; Bouchaud, Jean-Philippe . In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:50002.

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1
492000Path dependent option pricing: the path integral partial averaging method. (2000). Matacz, Andrew. In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:500034.

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1
502005On a multi-timescale statistical feedback model for volatility fluctuations. (2005). Bouchaud, Jean-Philippe ; Borland, Lisa . In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:500059.

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1

50 most relevant documents in this series (papers most cited in the last two years)

#YearTitleCited
12002Statistical properties of stock order books: empirical results and models. (2002). Potters, Marc ; Bouchaud, Jean-Philippe ; Mezard, Marc . In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:0203511.

Full description at Econpapers || Download paper

31
22000Wealth condensation in a simple model of economy. (2000). Bouchaud, Jean-Philippe ; Mezard, Marc . In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:500026.

Full description at Econpapers || Download paper

22
32001The leverage effect in financial markets: retarded volatility and market panic. (2001). Potters, Marc ; Matacz, Andrew ; Bouchaud, Jean-Philippe . In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:0101120.

Full description at Econpapers || Download paper

14
41998A Langevin approach to stock market fluctuations and crashes. (1998). Bouchaud, Jean-Philippe ; Cont, Rama . In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:500027.

Full description at Econpapers || Download paper

6
52001Microscopic models for long ranged volatility correlations. (2001). Giardina, Irene ; Mezard, Marc ; Bouchaud, Jean-Philippe . In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:500024.

Full description at Econpapers || Download paper

5
62005Financial Applications of Random Matrix Theory: Old Laces and New Pieces. (2005). Potters, Marc ; Bouchaud, Jean-Philippe ; Laloux, Laurent. In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:500058.

Full description at Econpapers || Download paper

5
71998Rational decisions, random matrices and spin glasses. (1998). Potters, Marc ; Galluccio, Stefano ; Bouchaud, Jean-Philippe . In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:500054.

Full description at Econpapers || Download paper

5
82001More stylized facts of financial markets: leverage effect and downside correlations. (2001). Potters, Marc ; Bouchaud, Jean-Philippe . In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:29960.

Full description at Econpapers || Download paper

5
92002An introduction to statistical finance. (2002). Bouchaud, Jean-Philippe . In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:313238.

Full description at Econpapers || Download paper

4
102005The Dynamics of Financial Markets -- Mandelbrots multifractal cascades, and beyond. (2005). Zumbach, Gilles ; Borland, Lisa ; Bouchaud, Jean-Philippe ; Muzy, Jean-Francois . In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:500061.

Full description at Econpapers || Download paper

3
111997Scaling in stock market data: stable laws and beyond. (1997). Potters, Marc ; Bouchaud, Jean-Philippe ; Cont, Rama . In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:9705087.

Full description at Econpapers || Download paper

3
121994The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes. (1994). Sornette, Didier ; Bouchaud, Jean-Philippe . In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:500040.

Full description at Econpapers || Download paper

3
131998Noise dressing of financial correlation matrices. (1998). Potters, Marc ; Bouchaud, Jean-Philippe ; Cizeau, Pierre ; Laloux, Laurent. In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:500051.

Full description at Econpapers || Download paper

2
142005Theory of collective opinion shifts: from smooth trends to abrupt swings. (2005). Bouchaud, Jean-Philippe ; Michard, Quentin. In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:500060.

Full description at Econpapers || Download paper

2

Citing documents used to compute impact factor 0:

YearTitle

Recent citations (cites in year: CiY)

Warning!! This is still an experimental service. The results of this service should be interpreted with care, especially in research assessment exercises. The processing of documents is automatic. There still are errors and omissions in the identification of references. We are working to improve the software to increase the accuracy of the results.

Source data used to compute the impact factor of RePEc series.

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 1 2016. Contact: CitEc Team