arXiv subjects

J. -Ph. Bouchaud

Publications and source records attributed to J. -Ph. Bouchaud.

3 recordsLinked to original sources

arXiv2016

Optimal Trading with Linear and (small) Non-Linear Costs

We reconsider the problem of optimal trading in the presence of linear and quadratic costs, for arbitrary linear costs but in the limit where quadratic costs are small. Using matched asymptotic expansion techniques, we find that the trading speed vanishes inside a band that is narrower than in the absence of quadratic costs, by an amount that scales as the one-third power of quadratic costs. Outside of the band, we find three regimes: a small boundary layer where the velocity vanishes linearly with the distance to the band, an intermediate region where the velocity behaves as a square-root of that distance, and a far region where it becomes linear. Our solution is consistent with available numerical results. We determine the conditions in which our expansion is useful in practical applications, and generalize our solution to other forms of non-linear costs.

q-fin.TR↗

arXiv2005

On a multi-timescale statistical feedback model for volatility fluctuations

We study, both analytically and numerically, an ARCH-like, multiscale model of volatility, which assumes that the volatility is governed by the observed past price changes on different time scales. With a power-law distribution of time horizons, we obtain a model that captures most stylized facts of financial time series: Student-like distribution of returns with a power-law tail, long-memory of the volatility, slow convergence of the distribution of returns towards the Gaussian distribution, multifractality and anomalous volatility relaxation after shocks. At variance with recent multifractal models that are strictly time reversal invariant, the model also reproduces the time assymmetry of financial time series: past large scale volatility influence future small scale volatility. In order to quantitatively reproduce all empirical observations, the parameters must be chosen such that our model is close to an instability, meaning that (a) the feedback effect is important and substantially increases the volatility, and (b) that the model is intrinsically difficult to calibrate because of the very long range nature of the correlations. By imposing the consistency of the model predictions with a large set of different empirical observations, a reasonable range of the parameters value can be determined. The model can easily be generalized to account for jumps, skewness and multiasset correlations.

physics.soc-ph↗

arXiv1999

Stresses in silos: Comparison between theoretical models and new experiments

We present precise and reproducible mean pressure measurements at the bottom of a cylindrical granular column. If a constant overload is added, the pressure is linear in overload and nonmonotonic in the column height. The results are {\em quantitatively} consistent with a local, linear relation between stress components, as was recently proposed by some of us. They contradict the simplest classical (Janssen) approximation, and may pose a rather severe test of competing models.

cond-mat↗