arXiv subjects

Jean-Philippe Bouchaud

Publications and source records attributed to Jean-Philippe Bouchaud.

At least 271 records · Page 15Linked to original sources

arXiv1998

A Langevin Approach to Stock Market Fluctuations and Crashes

We propose a non linear Langevin equation as a model for stock market fluctuations and crashes. This equation is based on an identification of the different processes influencing the demand and supply, and their mathematical transcription. We emphasize the importance of feedback effects of price variations onto themselves. Risk aversion, in particular, leads to an up-down symmetry breaking term which is responsible for crashes, where `panic' is self reinforcing. It is also responsible for the sudden collapse of speculative bubbles. Interestingly, these crashes appear as rare, `activated' events, and have an exponentially small probability of occurence. We predict that the shape of the falldown of the price during a crash should be logarithmic. The normal regime, where the stock price exhibits behavior similar to that of a random walk, however reveals non trivial correlations on different time scales, in particular on the time scale over which operators perceive a change of trend.

cond-mat↗

arXiv1998

A model for ripple instabilities in granular media

We extend the model of surface granular flow proposed in \cite{bcre} to account for the effect of an external `wind', which acts as to dislodge particles from the static bed, such that a stationary state of flowing grains is reached. We discuss in detail how this mechanism can be described in a phenomenological way, and show that a flat bed is linearly unstable against ripple formation in a certain region of parameter space. We focus in particular on the (realistic) case where the migration velocity of the instability is much smaller than the grains' velocity. In this limit, the full dispersion relation can be established. We find that the critical wave vector is of the order of the saltation length. We provide an intuitive interpretation of the instability.

cond-mat↗

arXiv1998

Rational Decisions, Random Matrices and Spin Glasses

We consider the problem of rational decision making in the presence of nonlinear constraints. By using tools borrowed from spin glass and random matrix theory, we focus on the portfolio optimisation problem. We show that the number of ``optimal'' solutions is generically exponentially large: rationality is thus de facto of limited use. In addition, this problem is related to spin glasses with Lévy-like (long-ranged) couplings, for which we show that the ground state is not exponentially degenerate.

cond-mat.dis-nn↗

arXiv1998

Triangular avalanches and uphill instabilities

Recent experiments show that an avalanche initiated from a point source propagates downwards by invading a triangular shaped region. The opening angle of this triangle appears to reach 180$^o$ for a critical inclination of the pile, beyond which avalanches also propage upwards. We propose a simple interpretation of these observations, based on an extension of a phenomenological model for surface flows.

cond-mat.soft↗

arXiv1998

Localisation in 1D random random walks

Diffusion in a one dimensional random force field leads to interesting localisation effects, which we study using the equivalence with a directed walk model with traps. We show that although the average dispersion of positions $\bar{< x^2 > - < x > ^2}$ diverges for long times, the probability that two particles occupy the same site tends to a finite constant in the small bias phase of the model. Interestingly, the long time properties of this off-equilibrium, aging phase is similar to the equilibrium phase of the Random Energy Model.

cond-mat.dis-nn↗

arXiv1998

Stick-slip Transition in the Scalar Arching Model

When some granular material contained into a silo is pushed upwards with a piston, an irregular stick-slip motion of the system of grains is observed. We show how one can adapt the `Scalar Arching Model' -- proposed as a model for giant stress fluctuations in silos -- in order to describe this stick-slip phenomenon. As a function of the sensitivity of the system to mechanical noise, the system exhibit two different phases: a `jammed' phase, and a `sliding' phase where irregular stick-slip is observed. We analyze the transition, which is found to be of mean-field type, and study the statistical properties of the intermittent stick-slip motion.

cond-mat↗

arXiv1998

Herd behavior and aggregate fluctuations in financial markets

We present a simple model of a stock market where a random communication structure between agents gives rise to a heavy tails in the distribution of stock price variations in the form of an exponentially truncated power-law, similar to distributions observed in recent empirical studies of high frequency market data. Our model provides a link between two well-known market phenomena: the heavy tails observed in the distribution of stock market returns on one hand and 'herding' behavior in financial markets on the other hand. In particular, our study suggests a relation between the excess kurtosis observed in asset returns, the market order flow and the tendency of market participants to imitate each other.

cond-mat.stat-mech↗

arXiv1997

Missing Information and Asset Allocation

When the available statistical information is imperfect, it is dangerous to follow standard optimisation procedures to construct an optimal portfolio, which usually leads to a strong concentration of the weights on very few assets. We propose a new way, based on generalised entropies, to ensure a minimal degree of diversification.

cond-mat.stat-mech↗

arXiv1997

Financial markets as adaptative ecosystems

We show, by studying in detail the market prices of options on liquid markets, that the market has empirically corrected the simple, but inadequate Black-Scholes formula to account for two important statistical features of asset fluctuations: `fat tails' and correlations in the scale of fluctuations. These aspects, although not included in the pricing models, are very precisely reflected in the price fixed by the market as a whole. Financial markets thus behave as rather efficient adaptive systems.

cond-mat↗

arXiv1997

Scaling in stock market data: stable laws and beyond

The concepts of scale invariance, self-similarity and scaling have been fruitfully applied to the study of price fluctuations in financial markets. After a brief review of the properties of stable Levy distributions and their applications to market data we indicate the shortcomings of such models and describe the truncated Levy flight as an alternative model for price movements. Furthermore, studying the dependence structure of the price increments shows that while their autocorrelation function decreases rapidly to zero, the correlation of their squares and absolute values shows a slow power law decay, indicating persistence in the scale of fluctuations, a property which can be related to the anomalous scaling of the kurtosis. In the last section we review, in the light of these empirical facts, recent attempts to draw analogies between scaling in financial markets and in turbulent flows.

cond-mat.stat-mech↗

arXiv1997

Out of equilibrium dynamics in spin-glasses and other glassy systems

We review recent theoretical progress on glassy dynamics, with special emphasis on the importance and universality of the ``aging regime'', which is relevant to many experimental situations. The three main subjects which we address are: (i) Phenomenological models of aging (coarsening, trap models), (ii) Analytical results for the low-temperature dynamics of mean-field models (corresponding to the mode-coupling equations); and (iii) Simple non-disordered models with glassy dynamics. We discuss the interrelation between these approaches, and also with previous work in the field. Several open problems are underlined -- in particular the precise relation between mean-field like (or mode-coupling) descriptions and finite dimensional problems.

cond-mat.dis-nn↗

arXiv1997

Self Consistent Screening Approximation For Critical Dynamics

We generalise Bray's self-consistent screening approximation to describe the critical dynamics of the $ϕ^4$ theory. In order to obtain the dynamical exponent $z$, we have to make an ansatz for the form of the scaling functions, which fortunately can be much constrained by general arguments. Numerical values of $z$ for $d=3$, and $n=1,...,10$ are obtained using two different ansätze, and differ by a very small amount. In particular, the value of $z \simeq 2.115$ obtained for the 3-d Ising model agrees well with recent Monte-Carlo simulations.

cond-mat↗

arXiv1996

Slow dynamics and aging in spin-glasses

Contribution presented by Eric Vincent in the Conference `Complex Behaviour of Glassy Systems', Sitges, Barcelona, Spain, June, 1996. It contains a review of the experimental results on Slow dynamics and aging in spin-glasses. It also presents their comparison with recent theoretical developments in the description of the out of equilibrium dynamics of disordered systems; namely, the trap model and the mean-field theory.

cond-mat↗

arXiv1996

Comment on ``Turbulent cascades in foreign exchange markets''

Recently, Ghashghaie et al. have shown that some statistical aspects of fully developed turbulence and exchange rate fluctuations exhibit striking similarities (Nature 381, 767 (1996)). The authors then suggested that the two problems might be deeply connected, and speculated on the existence of an `information cascade' which would play the role in finance of the well known Kolmogorov energy cascade in turbulence. Here we want to convince the reader that the two problems differ on a fundamental aspect, namely, correlations.

cond-mat↗

arXiv1996

The Large Scale Energy Landscapes of Randomly Pinned Objects

We discuss the large scale effective potential for elastic objects (manifolds) in the presence of a random pinning potential, from the point of view of the Functional Renormalisation Group (FRG) and of the replica method. Both approaches suggest that the energy landscape at large scales is a succession of parabolic wells of random depth, matching on singular points where the effective force is discontinuous. These parabolas are themselves subdivided into smaller parabolas, corresponding to the motion of smaller length scales, in a hierarchical manner. Consequences for the dynamics of these pinned objects are underlined.

cond-mat↗

arXiv1996

Models of traps and glass phenomenology

We study various models of independent particles hopping between energy `traps' with a density of energy barriers $ρ(E)$, on a $d$ dimensional lattice or on a fully connected lattice. If $ρ(E)$ decays exponentially, a true dynamical phase transition between a high temperature `liquid' phase and a low temperature `aging' phase occurs. More generally, however, one expects that for a large class of $ρ(E)$, `interrupted' aging effects appear at low enough temperatures, with an ergodic time growing faster than exponentially. The relaxation functions exhibit a characteristic shoulder, which can be fitted as stretched exponentials. A simple way of introducing interactions between the particles leads to a modified model with an effective diffusion constant in energy space, which we discuss in detail.

cond-mat↗

arXiv1995

Mode-Coupling Approximations, Glass Theory and Disordered Systems

We discuss the general link between mode-coupling like equations (which serve as the basis of some recent theories of supercooled liquids) and the dynamical equations governing mean-field spin-glass models, or the dynamics of a particle in a random potential. The physical consequences of this interrelation are underlined. It suggests to extend the mode-coupling approximation to temperatures well below the freezing temperature, in which aging effects become important. In this regime we suggest some new experiments in order to test a non-trivial prediction of the Mode-Coupling picture, which is a generalized relation between the short ($β$) and long ($α$) time regimes.

cond-mat↗

arXiv1995

Stock market crashes, Precursors and Replicas

We present an analysis of the time behavior of the $S\&P500$ (Standard and Poors) New York stock exchange index before and after the October 1987 market crash and identify precursory patterns as well as aftershock signatures and characteristic oscillations of relaxation. Combined, they all suggest a picture of a kind of dynamical critical point, with characteristic log-periodic signatures, similar to what has been found recently for earthquakes. These observations are confirmed on other smaller crashes, and strengthen the view of the stockmarket as an example of a self-organizing cooperative system.

cond-mat↗