Biomedical subjects

J P Bouchaud

Publications and source records attributed to J P Bouchaud.

2 recordsLinked to original sources

PubMed2002

Multiscale clustering in granular surface flows.

We investigate steady granular surface flows in a rotating drum and demonstrate the existence of rigid clusters of grains embedded in the flowing layer. These clusters appear to be fractal and their size is power law distributed from the grain size scale up to the thickness of the flowing layer. The implications of the absence of a characteristic length scale on available theoretical models of dense granular flows are discussed. Finally, we suggest a possible explanation of the difference between velocity profiles observed in surface flows and in flows down a rough inclined plane.

Journal Article↗

PubMed2001

Leverage effect in financial markets: the retarded volatility model.

We investigate quantitatively the so-called "leverage effect," which corresponds to a negative correlation between past returns and future volatility. For individual stocks this correlation is moderate and decays over 50 days, while for stock indices it is much stronger but decays faster. For individual stocks the magnitude of this correlation has a universal value that can be rationalized in terms of a new "retarded" model which interpolates between a purely additive and a purely multiplicative stochastic process. For stock indices a specific amplification phenomenon seems to be necessary to account for the observed amplitude of the effect.

Journal Article↗