We discuss the general link between mode-coupling like equations (which serve as the basis of some recent theories of supercooled liquids) and the dynamical equations governing mean-field spin-glass models, or the dynamics of a particle in a random potential. The physical consequences of this...

We propose a general interpretation for long-range correlation effects in the activity and volatility of financial markets. This interpretation is based on the fact that the choice between ‘active’ and ‘inactive’ strategies is subordinated to random-walk like processes. We numerically...

This paper, prepared for the proceedings of the ‘Statphys 21’ conference (Cancun, July 2001) gives an introduction to the statistical physics problems which appear in the study of structural glasses. It is a shortened and updated version of a more detailed review paper which has appeared in...

We study the off equilibrium dynamics of a mean field disordered systems which can be interpreted both as long range interaction spin glass and as a particle in a random potential. The statics of this problem is well known and exhibits a low temperature spin glass phase with continous replica...

We give a brief overview of some recent developments using concepts and techniques from spin glass theory in the study of other disordered systems. We discuss in particular the equilibrium correlations of a vortex lattice pinned by impurities. We mention how the replica approach, and the...

The recently proposed strategy for studying the equilibrium thermodynamics of the glass phase using a molecular liquid is reviewed and tested in details on the solvable case of the p-spin model. We derive the general phase diagram, and confirm the validity of this procedure. We point out the...

We investigate present some new statistical properties of order books. We analyse data from the Nasdaq and investigate (a) the statistics of incoming limit order prices, (b) the shape of the average order book, and (c) the typical life time of a limit order as a function of the distance from the...

We study Sutton's ‘microcanonical’ model for the internal organization of firms, that leads to non-trivial scaling properties for the statistics of growth rates. We show that the growth rates are asymptotically Gaussian in this model, whereas empirical results suggest that the kurtosis of...

We consider the problem of rational decision making in the presence of nonlinear constraints. By using tools borrowed from spin glass and random matrix theory, we focus on the portfolio optimisation problem. We show that the number of optimal solutions is generally exponentially large, and each...

We revisit the index leverage effect, that can be decomposed into a volatility effect and a correlation effect. We investigate the latter using a matrix regression analysis, that we call ‘Principal Regression Analysis’ (PRA) and for which we provide some analytical (using Random Matrix...