Radical Complexity
General Finance
2022-01-05 v1 Statistical Mechanics
Abstract
This is an informal and sketchy review of six topical, somewhat unrelated subjects in quantitative finance: rough volatility models; random covariance matrix theory; copulas; crowded trades; high-frequency trading & market stability; and "radical complexity" & scenario based (macro)economics. Some open questions and research directions are briefly discussed.
Cite
@article{arxiv.2103.09692,
title = {Radical Complexity},
author = {Jean-Philippe Bouchaud},
journal= {arXiv preprint arXiv:2103.09692},
year = {2022}
}
Comments
10 pages, edited columns published in Risk.net