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

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

Quadratic Hawkes processes for financial prices

Deconstructing the Low-Vol Anomaly

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

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

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

Do investors trade too much? A laboratory experiment

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

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

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

Linear models for the impact of order flow on prices I. Propagators: Transient vs. History Dependent Impact

E-print: http://arxiv.org/abs/1602.02735

Unravelling the trading invariance hypothesis

E-print: http://arxiv.org/abs/1602.03011v1

The square-root impact law also holds for option markets

E-print: http://arxiv.org/abs/1602.03043

On the overlaps between eigenvectors of correlated random matrices

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

Cleaning correlation matrices

Linear models for the impact of order flow on prices II. The Mixture Transition Distribution model

E-print: http://arxiv.org/abs/1604.07556

Why have asset price properties changed so little in 200 years

E-print: http://arxiv.org/abs/1605.00634

Tail protection for long investors: convexity at work

E-print: http://ssrn.com/abstract=2777657

Dissecting cross-impact on stock markets: An empirical analysis

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

Price impact without order book: A study of the OTC credit index market

E-print: http://arxiv.org/abs/1609.04620

Agnostic Risk Parity: Taming Known and Unknown-Unknowns

E-print: https://arxiv.org/abs/1610.08818

Trading lightly: cross-impact and optimal portfolio execution

E-print: https://arxiv.org/abs/1702.03838

The short-term price impact of trades is universal

E-print: https://arxiv.org/abs/1702.08029

A fractional reaction-diffusion description of supply and demand

E-print: https://arxiv.org/abs/1704.02638