Skew and implied leverage effect: smile dynamics revisited

Agent-based models for latent liquidity and concave price impact

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

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

Branching ratio approximation for the self-exciting Hawkes process

Anomalous impact in reaction-diffusion models

E-print: http://arxiv.org/abs/1403.3571

Momentum Strategies with L1 Filter

E-print: http://arxiv.org/abs/1403.4069

Two centuries of trend following

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

Signal-wise performance attribution for constrained portfolio optimisation

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

Slow decay of impact in equity markets

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

Risk Premia: Asymmetric Tail Risks and Excess Returns

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

Sudden trust collapse in networked societies

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

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

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

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

The eigenvectors of Gaussian matrices with an external source

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

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

Rotational invariant estimator for general noisy matrices

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

Why do markets crash? Bitcoin data offers unprecedented insights

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

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

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