User profiles for J. Bouchaud

Jean-Philippe Bouchaud

Head of Research, CFM
Verified email at cfm.fr
Cited by 52623

Anomalous diffusion in disordered media: statistical mechanisms, models and physical applications

JP Bouchaud, A Georges - Physics reports, 1990 - Elsevier
The subject of this paper is the evolution of Brownian particles in disordered environments.
The “Ariadne's clew” we follow is understanding of the general statistical mechanisms which …

[HTML][HTML] Cleaning large correlation matrices: tools from random matrix theory

J Bun, JP Bouchaud, M Potters - Physics Reports, 2017 - Elsevier
… | β ( ∏ i = 1 N d ν i ) ( d Ω ) , where the Vandermonde determinant ( ∏ | ν i − ν j | β )comes
from the change of variables (from the M i j to the ν i and Ω i j ). This representation is extremely …

[BOOK][B] Theory of financial risks

JP Bouchaud, M Potters - 2000 - ndl.ethernet.edu.et
… We thank Claude Godrèche, who edited the French version of this book, for his friendly
advice and support Finally, J.-PB wants to thank Elisabeth Bouchaud for sharing so many far …

Financial applications of random matrix theory: a short review

JP Bouchaud, M Potters - arXiv preprint arXiv:0910.1205, 2009 - arxiv.org
We discuss the applications of Random Matrix Theory in the context of financial markets
and econometric models, a topic about which a considerable number of papers have been …

Jamming, force chains, and fragile matter

ME Cates, JP Wittmer, JP Bouchaud, P Claudin - Physical review letters, 1998 - APS
We consider materials whose mechanical integrity is the result of a jamming process. We
argue that such media are generically “fragile,” unable to support certain types of incremental …

[BOOK][B] Theory of financial risk and derivative pricing: from statistical physics to risk management

JP Bouchaud, M Potters - 2003 - books.google.com
… & Finance, a research company in Paris founded by J.-P. … Jean-Philippe Bouchaud and
Marc Potters have been … As most economists, Bouchaud and Potters believe that models in …

Noise dressing of financial correlation matrices

L Laloux, P Cizeau, JP Bouchaud, M Potters - Physical review letters, 1999 - APS
We show that results from the theory of random matrices are potentially of great interest to
understand the statistical structure of the empirical correlation matrices appearing in the study …

Weak ergodicity breaking and aging in disordered systems

JP Bouchaud - Journal de Physique I, 1992 - jp1.journaldephysique.org
We present a phenomenological model for the dynamics of disordered (complex) systems.
We postulate that the lifetimes of the many metastable states are distributed according to a …

Herd behavior and aggregate fluctuations in financial markets

R Cont, JP Bouchaud - Macroeconomic dynamics, 2000 - cambridge.org
… For any pair of agents i and j, let pij be the probability that i and j are linked together. Again,
to simplify, we assume that pij = p is independent of i and j: all links are equally probable. …

Direct experimental evidence of a growing length scale accompanying the glass transition

L Berthier, G Biroli, JP Bouchaud, L Cipelletti, DE Masri… - Science, 2005 - science.org
Understanding glass formation is a challenge, because the existence of a true glass state,
distinct from liquid and solid, remains elusive: Glasses are liquids that have become too …