Radical Complexity |
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Authors: | Jean-Philippe Bouchaud |
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Affiliation: | 1.Capital Fund Management, 75007 Paris, France;2.Académie des Sciences, 75006 Paris, France |
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Abstract: | This is an informal and sketchy review of five topical, somewhat unrelated subjects in quantitative finance and econophysics: (i) models of price changes; (ii) linear correlations and random matrix theory; (iii) non-linear dependence copulas; (iv) high-frequency trading and market stability; and finally—but perhaps most importantly—(v) “radical complexity” that prompts a scenario-based approach to macroeconomics heavily relying on Agent-Based Models. Some open questions and future research directions are outlined. |
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Keywords: | financial markets covariance matrices copulas high-frequency trading market stability agent-based models |
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