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

Citation Profile [Updated: 2022-01-09 21:43:50]
5 Years H
14
Impact Factor
0
5 Years IF
0
Data available in this report

[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ] [more data in EconPapers] [trace new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators
Raw Data

 

IF AIF CIF IF5 DOC CDO CIT NCI CCU D2Y C2Y D5Y C5Y SC %SC CiY II AII
1990 0 0.14 0 0 0 0 0 0 0 0 0 0 0.07
1991 0 0.11 0 0 0 0 0 0 0 0 0 0 0.06
1992 0 0.1 0 0 0 0 0 0 0 0 0 0 0.07
1993 0 0.13 0 0 0 0 0 0 0 0 0 0 0.07
1994 0 0.13 0 0 1 1 32 0 0 0 0 0 0.06
1995 0 0.18 0 0 2 3 2 0 1 1 0 0 0.09
1996 0 0.21 0.4 0 2 5 17 1 2 3 3 1 100 1 0.5 0.12
1997 1.25 0.23 1 1.6 7 12 90 12 14 4 5 5 8 1 8.3 4 0.57 0.13
1998 0.89 0.24 0.75 0.83 8 20 135 15 29 9 8 12 10 5 33.3 3 0.38 0.15
1999 0.2 0.32 0.35 0.2 6 26 32 9 38 15 3 20 4 1 11.1 3 0.5 0.21
2000 0.43 0.44 0.47 0.52 8 34 133 15 54 14 6 25 13 5 33.3 2 0.25 0.2
2001 0.07 0.4 0.67 0.58 5 39 108 26 80 14 1 31 18 1 3.8 2 0.4 0.22
2002 0.38 0.42 0.35 0.35 7 46 185 16 96 13 5 34 12 5 31.3 1 0.14 0.23
2003 0.75 0.42 0.59 0.53 5 51 17 30 126 12 9 34 18 5 16.7 1 0.2 0.24
2004 0.75 0.47 0.78 0.77 4 55 21 43 169 12 9 31 24 4 9.3 0 0.27
2005 0.22 0.49 0.57 0.48 6 61 59 35 204 9 2 29 14 6 17.1 1 0.17 0.29
2006 0.3 0.47 0.55 0.41 1 62 10 34 238 10 3 27 11 2 5.9 0 0.27
2007 0.86 0.39 0.6 0.61 0 62 0 37 275 7 6 23 14 0 0 0.22
2008 3 0.46 0.6 0.25 0 62 0 37 312 1 3 16 4 0 0 0.23
2009 0 0.43 0.6 0.64 0 62 0 37 349 0 11 7 0 0 0.22
2010 0 0.37 0.68 0.29 0 62 0 42 391 0 7 2 0 0 0.19
2011 0 0.46 0.94 3 0 62 0 58 449 0 1 3 0 0 0.25
2012 0 0.5 0.56 0 0 62 0 35 484 0 0 0 0 0.25
2013 0 0.5 0.69 0 0 62 0 43 527 0 0 0 0 0.24
2014 0 0.53 0.87 0 0 62 0 54 581 0 0 0 0 0.27
2015 0 0.53 0.69 0 0 62 0 43 624 0 0 0 0 0.27
2016 0 0.54 0.63 0 0 62 0 39 663 0 0 0 0 0.27
2017 0 0.54 0.79 0 0 62 0 49 712 0 0 0 0 0.27
2018 0 0.53 0.58 0 0 62 0 36 748 0 0 0 0 0.26
2019 0 0.55 0.74 0 0 62 0 46 794 0 0 0 0 0.32
2020 0 0.63 0.69 0 0 62 0 43 837 0 0 0 0 0.58
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
CIF: Cumulative impact factor
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CIT: Number of citations to papers published in year y
NCI: Number of citations in year y
CCU: Cumulative number of citations to papers published until 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: selft citations in y to articles published in y-1 plus y-2
%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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124
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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119
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.

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86
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.

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68
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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41
61994The 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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33
72002An introduction to statistical finance. (2002). Bouchaud, Jean-Philippe. In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:313238.

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33
82005Financial 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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33
92002More 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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31
101997Herd 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
111998Rational 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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29
121998Noise 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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27
132001More 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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24
142001Microscopic 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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17
152004Random 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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14
162003Fluctuations 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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14
172005Theory 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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13
181999Apparent multifractality in financial time series. (1999). Potters, Marc ; Bouchaud, Jean-Philippe ; Meyer, Martin. In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:9906347.

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12
192006Relation 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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11
201999Random 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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11
211996Comment 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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9
221996Financial 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
231997Financial 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
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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8
251998Elements 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
262004Exponential 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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7
272005The 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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7
281997Phenomenology 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
291998Are 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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6
302000Power-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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6
311999Random 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
321999An 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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5
331997Missing 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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5
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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4
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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4
362000Path 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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3
371997Option 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
382000Hedged 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
392005Large 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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3
401995Real-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
412000Hedging 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
421999Worst 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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2
431997Universality 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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2
441998Strings 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
452003Comment 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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2
462000Correlation structure of extreme stock returns. (2000). Potters, Marc ; Bouchaud, Jean-Philippe ; Cizeau, Pierre . In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:0006034.

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1
471995Stock market crashes, precursors and replicas. (1995). Johansen, Anders ; Bouchaud, Jean-Philippe ; Sornette, Didier. In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:500018.

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1
482003Multiple time scales in volatility and leverage correlation: A stochastic volatility model. (2003). Perelló, Josep ; Masoliver, Jaume ; Bouchaud, Jean-Philippe. In: Science & Finance (CFM) working paper archive. RePEc:sfi:sfiwpa:50001.

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1
492005On 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
502002Statistical 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
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12000Wealth 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

28
22001The 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

23
32002Statistical 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

22
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

13
52005Financial 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

10
61997Scaling 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

6
72001More 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
81998Rational 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
92003Fluctuations 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.

Full description at Econpapers || Download paper

4
101994The 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
112004Random 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.

Full description at Econpapers || Download paper

3
122002An 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

2
132002More 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.

Full description at Econpapers || Download paper

2
Citing documents used to compute impact factor:
YearTitle
Recent citations