Jean-Philippe Bouchaud

Affiliation

Chairman and Head of Research at Capital Fund Management (CFM), Paris. Professor at École normale supérieure, École polytechnique, and Collège de France. Member of the French Academy of Sciences.

Key contributions

• Propagator model of price impact — co-creator of the transient impact framework reconciling long-memory order flow with near-martingale prices. Core reference for modelling meta-order execution cost.
• Event-type impact decomposition — with Eisler and Kockelkoren, extended the propagator to six distinct order-book event types (market, limit, cancel × inside-spread / at-best). See event-type-impact-decomposition.
• Square-root law of impact — empirical and theoretical work establishing that meta-order impact scales as \(\sqrt{Q/V} \cdot \sigma\) across many markets. The Patzelt–Bouchaud (2017) universality extension generalised the scaling to non-linear regimes.
• Slow decay of impact / deconvolution — with Brokmann and CFM, separated the "structural" impact decay from the spurious persistence caused by a trader's own correlated order flow. Shows the true propagator decays to zero, contradicting the "2/3 permanent impact" folklore. See brokmann-slow-decay-impact.
• Dissecting cross-impact — with Benzaquen, Mastromatteo, Eisler, empirical decomposition of multi-asset impact — the precursor to the current cross-impact literature.
• Random matrix theory for finance — Laloux–Cizeau–Potters–Bouchaud (2000) seminal paper on cleaning empirical covariance matrices for portfolio construction.
• Econophysics methodology — long-standing advocate of the physicist's empirical approach to finance ("eyeball econometrics" plus parsimonious models), distinct from equilibrium micro-economics.

Notable papers (in this wiki)

• bouchaud-farmer-lillo-propagator — "How Markets Slowly Digest Changes in Supply and Demand" (with Farmer, Lillo, 2008).
• eisler-bouchaud-kockelkoren-order-book-events — "The Price Impact of Order Book Events: Market Orders, Limit Orders and Cancellations" (with Eisler, Kockelkoren, 2009/2012).
• models-for-all-order-book-events — "Models for the Impact of All Order Book Events" (with Eisler, Kockelkoren, 2011).
• brokmann-slow-decay-impact — "Slow Decay of Impact in Equity Markets" (with Brokmann, Lempérière, 2014).

Connections

• zoltan-eisler — frequent collaborator on impact decomposition work at CFM.
• price-impact — Bouchaud's research programme has largely defined the modern empirical theory of price impact.
• propagator-model — the framework most directly associated with his name.
• event-type-impact-decomposition — the refinement that generalises the propagator to the full LOB event stream.