A shift-optimised Hill-type estimator

E-print: http://arxiv.org/PS_cache/arxiv/pdf/0905/0905.3096v1.pdf

An instanton approach to large N Harish-Chandra-Itzykson-Zuber integrals

E-print: http://arxiv.org/abs/1403.7763

Eigenvectors dynamic and local density of states under free addition

E-print: http://arxiv.org/abs/1301.4939

Financial applications of Random Matrix Theory: a short review

Financial applications of Random Matrix Theory: old laces and new pieces

E-print: http://arxiv.org/abs/physics/0507111

How should you discount your backtest PnL?

E-print: https://arxiv.org/abs/1902.01802

Invariant β-ensembles and the Gauss-Wigner crossover

E-print: http://arxiv.org/abs/1205.3598

Invariant β-Wishart ensembles, crossover densities and asymptotic corrections to the Marchenko-Pastur law

E-print: http://arxiv.org/abs/1209.6171

On the overlaps between eigenvectors of correlated random matrices

E-print: http://arxiv.org/abs/1603.04364v1

Optimal cleaning for singular values of cross-covariance matrices

E-print: https://arxiv.org/abs/1901.05543

Path dependent option pricing: the path integral partial averaging method

E-print: http://arxiv.org/abs/cond-mat/0005319

Some applications of first-passage ideas to finance

E-print: http://arxiv.org/abs/1306.3110

Statistical models for company growth

Published in: Physica A, Elsevier, 2003, 326, pp.241-255

The eigenvectors of Gaussian matrices with an external source

E-print: http://arxiv.org/abs/1412.7108!

Theory of collective opinion shifts: from smooth trends to abrupt swings

E-print: http://arxiv.org/abs/cond-mat/0504079

Universality classes for extreme value statistics

E-print: http://arxiv.org/abs/cond-mat/9707047

Weighted Kolmogorov-Smirnov test: Accounting for the tails

E-print: http://arxiv.org/abs/1207.7308

Worst fluctuation method for fast value-at-risk estimates

E-print: http://arxiv.org/abs/cond-mat/9909245

You are in a drawdown. When should you start worrying?

E-print: https://arxiv.org/abs/1707.01457