Jean-Philippe Bouchaud

Jean-Philippe Bouchaud (born 1962) is a French physicist born in 1962. He is founder and Chairman of Capital Fund Management (CFM) and professor of physics at École polytechnique.

Biography

Born in Paris in 1962, Jean-Philippe Bouchaud studied at the French Lycée in London. Graduated from École Normale Supérieure in 1985, he worked on his PhD at the Laboratory of Hertzian Spectroscopy, studying spin-polarized quantum gases with Claire Lhuillier. He then worked for the French National Center for Scientific Research, in particular on liquid Helium 3 and diffusion in random media. He spent a year at the Cavendish Laboratory, University of Cambridge in 1992 before joining the Laboratory of Condensed Matter Physics of the French Atomic Energy and Alternative Energies Commission (Commissariat à l'énergie atomique or CEA)^[1] à Saclay. Pioneer in econophysics, he co-founded the company Science et Finance in 1994, which later merged with Capital Fund Management (CFM)^[2] in 2000. He is now the Chairman of CFM. After teaching statistical mechanics for ten years at ESPCI, he was appointed as an adjunct Professor at École Polytechnique,^[3] where he teaches a course on Complex systems. His work covers the physics of disordered and glassy systems, granular materials, the statistics of price formation, stock market fluctuations and the modelling of financial risks. He has repeatedly criticized the dogma of the efficient-market hypothesis and the methodology of economics and mathematical finance,^[4] in particular the use of the Black–Scholes model which leads to a systematic underestimation of risk in options trading.^[5]

Awards

• IBM Young Researcher Prize in 1989^[6]
• CNRS Silver medal in 1995^[7]

Bibliography

• Anomalous diffusion in disordered media: Statistical mechanisms, models and physical application, Jean-Philippe Bouchaud, Antoine Georges, Physics Reports, Volume 195, Issues 4-5, November 1990, Pages 127-293
• Les caprices de marchés financiers : régularité et turbulences, Conférence à l'Université de tous les savoirs, 2000
• Lévy Statistics and Laser Cooling: How Rare Events Bring Atoms to Rest by François Bardou, Jean-Philippe Bouchaud, Alain Aspect and Claude Cohen-Tannoudji (Cambridge University Press, 2002)
• Theory of Financial Risk and Derivative Pricing, J-P Bouchaud, M. Potters (Cambridge University Press, 2003)
• Complex Systems, Volume LXXXV: Lecture Notes of the Les Houches Summer School 2006 by Jean-Philippe Bouchaud, Marc Mézard and Jean Dalibard (Elsevier Science, 2007)
• Economics needs a scientific revolution, Jean-Philippe Bouchaud, Nature, 455, 1191 (2008), available here
• How markets slowly digest changes in supply and demand, JP Bouchaud, JD Farmer, F. Lillo in Handbook of financial markets: dynamics and evolution by Thorsten Hens,Klaus Reiner Schenk-Hoppé (North Holland, 2009)
• Endogenous Dynamics of Markets: Price Impact, Feedback Loops and Instabilities, in Lessons from the Financial Crisis Edited By Arthur M. Berd (Risk Books 2010)
• Dynamical Heterogeneities in Glasses, Colloids, and Granular Media (International Series of Monographs on Physics) by Ludovic Berthier, Giulio Biroli, Jean-Philippe Bouchaud and Luca Cipelletti (Oxford University Press, 2011)
• Financial applications of random matrix theory: a short review, Jean-Philippe Bouchaud, Marc Potters, in The Oxford Handbook of Random Matrix Theory Edited by Gernot Akemann, Jinho Baik, and Philippe Di Francesco (Oxford University Press, 2011)
• Crises and Collective Socio-Economic Phenomena: Simple Models and Challenges, Jean-Philippe Bouchaud, Journal of Statistical Physics, 151, Issue 3-4, pp 567–606, 2013.
• Tipping points in macroeconomic Agent-Based models, Stanislao Gualdi, Marco Tarzia, Francesco Zamponi, Jean-Philippe Bouchaud, Journal of Economic Dynamics & Control 50, 29-61 (2015)
• Instabilities in large economies: aggregate volatility without idiosyncratic shocks, Julius Bonart, Jean-Philippe Bouchaud, Augustin Landier, David Thesmar, J. Stat. Mech. (2014) P10040

Footnotes

1. ↑ http://www-llb.cea.fr/en/Phocea/Vie_des_labos/Ast/ast_service.php?id_unit=468
2. ↑ http://www.cfm.fr/us/organisation.php
3. ↑ École Polytechnique
4. ↑ "Reliance on models based on incorrect axioms has clear and large effects. The Black–Scholes model for example, which was invented in 1973 to price options, is still used extensively. But it assumes that the probability of extreme price changes is negligible, when in reality, stock prices are much jerkier than this. Twenty years ago, unwarranted use of the model spiralled into the worldwide October 1987 crash; the Dow Jones index dropped 23% in a single day, dwarfing recent market hiccups." in "Economics needs a scientific revolution"
5. ↑ "Welcome to a non Black–Scholes world"
6. ↑ Prix IBM
7. ↑ Médaille d'argent du CNRS