A. Ang, J. Robert, Y. Hodrick, X. Xing, and . Zhang, High idiosyncratic volatility and low returns: International and further us evidence, Journal of Financial Economics, vol.91, issue.1, pp.1-23, 2009.

J. Annaert, D. Heyman, M. Vanmaele, and S. Van-osselaer, Disposition bias and overconfidence in institutional trades, 2008.

M. Anufriev and C. Hommes, Evolutionary selection of individual expectations and aggregate outcomes, vol.9, 2009.

E. Bacry, K. Dayri, and J. Muzy, Non-parametric kernel estimation for symmetric Hawkes processes. application to high frequency financial data, The European Physical Journal B, vol.85, issue.5, pp.1-12, 2012.
URL : https://hal.archives-ouvertes.fr/hal-01313844

M. Baker, B. Bradley, and J. Wurgler, Benchmarks as limits to arbitrage: Understanding the low-volatility anomaly, Financial Analysts Journal, vol.67, issue.1, 2011.

M. Brad, T. Barber, and . Odean, Trading is hazardous to your wealth: The common stock investment performance of individual investors, The Journal of Finance, vol.55, issue.2, pp.773-806, 2000.

M. Brad, T. Barber, and . Odean, Boys will be boys: Gender, overconfidence, and common stock investment, The Quarterly Journal of Economics, vol.116, issue.1, pp.261-292, 2001.

N. Barberis and W. Xiong, What drives the disposition effect? an analysis of a long-standing preference-based explanation, the Journal of Finance, vol.64, issue.2, pp.751-784, 2009.

J. Da, G. Batista, D. Massaro, and J. Bouchaud, Damien Challet, and Cars Hommes. Do investors trade too much? a laboratory experiment, 2015.

S. Boolell-gunesh, M. Broihanne, and M. Merli, Disposition effect, investor sophistication and taxes: some French specificities. Finance, vol.30, pp.51-78, 2009.

J. Bouchaud, C. Stefano, A. Landier, G. Simon, and D. Thesmar, The excess returns of 'quality' stocks: A behavioral anomaly, 2016.
URL : https://hal.archives-ouvertes.fr/hal-01993422

A. Brock and C. H. Hommes, Heterogeneous beliefs and routes to chaos in a simple asset pricing model, Journal of Economic dynamics and Control, vol.22, issue.8-9, pp.1235-1274, 1998.

L. E. Calvet, J. Y. Campbell, and P. Sodini, Down or out: Assessing the welfare costs of household investment mistakes, Journal of Political Economy, vol.115, issue.5, pp.707-747, 2007.
URL : https://hal.archives-ouvertes.fr/hal-00674227

D. Challet and M. Marsili, Criticality and finite size effects in a realistic model of stock market, Phys. Rev. E, vol.68, p.36132, 2003.

R. Challet, M. Chicheportiche, and . Lallouache, Trader lead-lag networks and internal order crossing, 2016.

D. Challet and D. Morton-de-lachapelle, A robust measure of investor contrarian behaviour, Econophysics of Systemic Risk and Network Dynamics, pp.105-118, 2013.

D. Challet, M. Marsili, and Y. Zhang, Minority Games, 2005.

A. Charles and O. Darné, Variance-ratio tests of random walk: an overview, Journal of Economic Surveys, vol.23, issue.3, pp.503-527, 2009.
URL : https://hal.archives-ouvertes.fr/hal-00771078

R. Chicheportiche and J. Bouchaud, The fine-structure of volatility feedback, Physica A, vol.410, pp.174-195, 2014.
URL : https://hal.archives-ouvertes.fr/hal-01010333

S. Ciliberti, . Lempérière, . Beveratos, . Simon, M. Laloux et al., Deconstructing the low-vol anomaly, 2016.

M. John, J. Coates, and . Herbert, Endogenous steroids and financial risk taking on a London trading floor, Proceedings of the national academy of sciences, vol.105, pp.6167-6172, 2008.

B. Cornell, What moves stock prices: Another look, The Journal of Portfolio Management, vol.39, issue.3, pp.32-38, 2013.

M. David, J. M. Cutler, L. Poterba, . Bernstein, L. Peter et al., What moves stock prices?, pp.56-63, 1998.

H. Paul-de-grauwe, M. Dewachter, and . Embrechts, Exchange rate theory: chaotic models of foreign exchange markets, 1993.

D. Morton-de-lachapelle and D. Challet, Turnover, account value and diversification of real traders: evidence of collective portfolio optimizing behavior, New J. Phys, vol.12, p.75039, 2010.

B. Demartino, J. P. O'doherty, D. Ray, P. Bossaerts, and C. Camerer, the Mind of the Market: Theory of Mind Biases Value Computation during Financial Bubbles. Neuron, vol.80, p.1102, 2013.

D. Dorn, G. Huberman, and P. Sengmueller, Correlated trading and returns, The Journal of Finance, vol.63, issue.2, pp.885-920, 2008.

C. Ray and . Fair, Farmer. Market force, ecology and evolution, Journal of Business, vol.75, pp.713-732, 1999.

A. Jeffrey, K. A. Frankel, and . Froot, Chartists, fundamentalists, and trading in the foreign exchange market, The American Economic Review, vol.80, issue.2, pp.181-185, 1990.

A. Jeffrey, K. A. Frankel, and . Froot, Understanding the us dollar in the eighties: the expectations of chartists and fundamentalists, Economic record, vol.62, issue.1, pp.24-38, 1986.

I. Giardina and J. Bouchaud, Crashes and intermittency in agent based market models, Eur. Phys. J. B, vol.31, pp.421-437, 2003.

G. Gigerenzer and . Daniel-g-goldstein, Reasoning the fast and frugal way: models of bounded rationality, Psychological review, vol.103, issue.4, p.650, 1996.

N. William, A. Goetzmann, and . Kumar, Robin Greenwood and Andrei Shleifer. Expectations of returns and expected returns, Rev. Fin. Studies, 2005.

M. Grinblatt and M. Keloharju, The investment behavior and performance of various investor types: a study of Finland's unique data set, Journal of Financial Economics, vol.55, issue.1, pp.43-67, 2000.

J. Stephen, N. Hardiman, J. Bercot, and . Bouchaud, Critical reflexivity in financial markets: a hawkes process analysis, The European Physical Journal B, vol.86, issue.10, pp.1-9, 2013.

C. Hommes, J. Sonnemans, J. Tuinstra, and H. Van-de-velden, Coordination of expectations in asset pricing experiments, Review of Financial Studies, vol.18, issue.3, pp.955-980, 2005.

A. Jackson, The aggregate behaviour of individual investors, 2004.

A. Joulin, A. Lefevre, D. Grunberg, and J. Bouchaud, Stock price jumps: news and volume play a minor role. Wilmott Mag, 2008.

D. Kahneman and A. Tversky, Prospect theory: an analysis of decision under risk, Econometrica, vol.47, p.263, 1979.

G. Kaniel, S. Saar, and . Titman, Individual investor trading and stock returns, The Journal of Finance, vol.63, issue.1, pp.273-310, 2008.

A. Kirman, Epidemics of opinion and speculative bubbles in financial markets. Money and financial markets, pp.354-368, 1991.

J. Lakonishok, A. Shleifer, and R. W. Vishny, Risk premia: Asymmetric tail risks and excess returns, Journal of financial economics, vol.32, issue.1, pp.23-43, 1992.

Y. Lempérière, P. Seager, M. Potters, and J. P. Bouchaud, Two centuries of trend following, 2014.

F. Lillo, E. Moro, G. Vaglica, and R. N. Mantegna, Specialization and herding behavior of trading firms in a financial market, New Journal of Physics, vol.10, p.43019, 2008.

W. Andrew and . Lo, The adaptive markets hypothesis. The Journal of Portfolio Management, vol.30, pp.15-29, 2004.

W. Andrew and . Lo, Fear, greed, and financial crises: a cognitive neurosciences perspective, 2011.

W. Andrew, . Lo, B. N. Dmitry-v-repin, and . Steenbarger, Fear and greed in financial markets: A clinical study of day-traders, American Economic Review, vol.95, issue.2, pp.352-359, 2005.

T. Lohrenz, K. Mccabe, C. F. Camerer, and P. Montague, Neural signature of fictive learning signals in a sequential investment task, Proceedings of the National Academy of Sciences of the United States of America, vol.104, pp.9493-9498, 2007.

T. Lux and M. Marchesi, Scaling and criticality in a stochastic multi-agent model of a financial market, Nature, vol.397, pp.498-500, 1999.

M. Marsili, G. Raffaelli, and B. Ponsot, Dynamic instability in generic model of multi-assets markets, Journal of Economic Dynamics and Control, vol.33, issue.5, pp.1170-1181, 2009.

L. Menkhoff, Are momentum traders different? implications for the momentum puzzle, Applied Economics, vol.43, issue.29, pp.4415-4430, 2011.

T. Mizuno, H. Takayasu, and M. Takayasu, Analysis of price diffusion in financial markets using puck model, Physica A: Statistical Mechanics and its Applications, vol.382, issue.1, pp.187-192, 2007.

T. Odean, Are investors reluctant to realize their losses?, The Journal of finance, vol.53, issue.5, pp.1775-1798, 1998.

F. Patzelt and K. Pawelzik, Criticality of adaptive control dynamics, Phys. Rev. Lett, vol.107, issue.23, p.238103, 2011.

E. Ranguelova, Disposition effect and firm size: New evidence on individual investor trading activity. Available at SSRN 293618, 2001.

M. Carmen, K. Reinhart, and . Rogoff, This time is different: Eight centuries of financial folly, 2009.

S. Sapra, L. E. Beavin, and P. Zak, A combination of dopamine genes predicts success by professional wall street traders, Handbook of the Economics of Finance, vol.7, issue.1, pp.939-974, 2003.

H. Shefrin and M. Statman, The disposition to sell winners too early and ride losers too long: Theory and evidence, The Journal of finance, vol.40, issue.3, pp.777-790, 1985.

J. Robert and . Shiller, Measuring bubble expectations and investor confidence, The Journal of Psychology and Financial Markets, vol.1, issue.1, pp.49-60, 2000.

L. Vernon, G. L. Smith, A. Suchanek, and . Williams, Bubbles, crashes, and endogenous expectations in experimental spot asset markets, Econometrica: Journal of the Econometric Society, pp.1119-1151, 1988.

H. Stanley, V. Plerou, and X. Gabaix, A statistical physics view of financial fluctuations: Evidence for scaling and universality, Physica A: Statistical Mechanics and its Applications, vol.387, issue.15, pp.3967-3981, 2008.

M. Tumminello, F. Lillo, J. Piilo, and R. N. Mantegna, Identification of clusters of investors from their real trading activity in a financial market, New Journal of Physics, vol.14, p.13041, 2012.

M. Wyart and J. Bouchaud, Self-referential behaviour, overreaction and conventions in financial markets, Journal of Economic Behavior & Organization, vol.63, issue.1, pp.1-24, 2007.
URL : https://hal.archives-ouvertes.fr/hal-00012966

M. Wyart, J. Bouchaud, J. Kockelkoren, M. Potters, and M. Vettorazzo, Relation between bid-ask spread, impact and volatility in order-driven markets, Quantitative Finance, vol.8, issue.1, pp.41-57, 2008.

Y. Zhang, Towards a theory of marginally efficient markets, Physica A, vol.269, p.30, 1999.

G. Zumbach, Cross-sectional universalities in financial time series, Quantitative Finance, vol.15, issue.12, pp.1901-1912, 2015.

G. Zumbach and C. Finger, A historical perspective on market risks using the DJIA index over one century, Wilmott Journal, vol.2, issue.4, pp.193-206, 2010.