A Fokker-Planck description for the queue dynamics of large tick stocks

E-print: http://arxiv.org/abs/1304.6819

A nested factor model for non-linear dependences in stock returns

An empirical investigation of the forward interest rate term structure

E-print: http://arxiv.org/abs/cond-mat/9907297

Apparent multifractality in financial time series

E-print: http://arxiv.org/abs/cond-mat/9906347

Are financial crashes predictable?

E-print: http://arxiv.org/abs/cond-mat/9804111

Are trading invariants really invariant? Trading costs matter

E-print: https://arxiv.org/abs/1902.03457

Branching ratio approximation for the self-exciting Hawkes process

Comment on Turbulent cascades in foreign exchange markets

E-print: http://arxiv.org/abs/cond-mat/9607120

Correlation structure of extreme stock returns

E-print: http://arxiv.org/abs/cond-mat/0006034

Critical reflexivity in financial markets: a Hawkes process analysis

E-print: http://arxiv.org/abs/1302.1405

Deconstructing the Low-Vol Anomaly

E-print: http://arxiv.org/abs/1510.01679

Dissecting cross-impact on stock markets: An empirical analysis

E-print: http://arxiv.org/abs/1609.02395

Do investors trade too much? A laboratory experiment

E-print: http://arxiv.org/abs/1512.03743v1

Election turnout statistics in many countries: similarities, differences, and a diffusive field model for decision-making

E-print: http://arxiv.org/abs/1201.052

Experts' earning forecasts: bias, herding and gossamer information

E-print: http://arxiv.org/abs/cond-mat/0410079

Explaining the forward interest rate term structure

Fluctuations and response in financial markets: the subtle nature of 'random' price changes

E-print: http://arxiv.org/abs/cond-mat/03073322

How does the market react to your order flow?

E-print: http://arxiv.org/abs/1104.0587

How markets slowly digest changes in supply and demand

Individual and collective stock dynamics: intra-day seasonalities

E-print: http://arxiv.org/PS_cache/arxiv/pdf/1009/1009.4785v1.pdf