The Excess Returns of 'Quality' Stocks: A Behavioral Anomaly

E-print: http://arxiv.org/pdf/1601.04478v1

Do investors trade too much? A laboratory experiment

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

Optimal Trading with Linear and (small) Non-Linear Costs

E-print: http://arxiv.org/abs/1511.07359v2

Deconstructing the Low-Vol Anomaly

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

Quadratic Hawkes processes for financial prices

On growth-optimal tax rates and the issue of wealth inequalities

E-print: http://arxiv.org/abs/1508.00275v2

From Walras' auctioneer to continuous time double auctions: A general dynamic theory of supply and demand

E-print: http://arxiv.org/abs/1506.03758

Why do markets crash? Bitcoin data offers unprecedented insights

E-print: http://arxiv.org/abs/1503.06704

Rotational invariant estimator for general noisy matrices

E-print: http://arxiv.org/abs/1502.06736!

Monetary Policy and Dark Corners in a stylized Agent-Based Model

The eigenvectors of Gaussian matrices with an external source

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

A fully consistent, minimal model for non-linear market impact

Explore or exploit? A generic model and an exactly solvable case

E-print: http://arxiv.org/abs/1310.5114

Sudden trust collapse in networked societies

E-print: http://arxiv.org/abs/1409.8321

Endogenous crisis waves: a stochastic model with synchronised collective behavior

E-print: http://arxiv.org/abs/1409.3296

Instabilities in large economies: aggregate volatility without idiosyncratic shocks

Risk Premia: Asymmetric Tail Risks and Excess Returns

Slow decay of impact in equity markets

E-print: http://arxiv.org/abs/1407.3390

Signal-wise performance attribution for constrained portfolio optimisation

E-print: http://arxiv.org/abs/1404.4798

Two centuries of trend following

E-print: http://arxiv.org/abs/1404.3274