Universal scaling and nonlinearity of aggregate price impact in financial markets

E-print: https://arxiv.org/abs/1706.04163

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

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

The 'Size Premium' in Equity Markets: Where is the Risk?

E-print: https://arxiv.org/abs/1708.00644

Nonlinear price impact from linear models

Mini-symposium on automatic differentiation and its applications in the financial industry

E-print: https://doi.org/10.1051/proc/201759056

Black was right: Price is within a factor 2 of Value

E-print: https://ssrn.com/abstract=3070850

Sticky Expectations and the Profitability Anomaly

E-print: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2742730

Co-impact: Crowding effects in institutional trading activity

E-print: https://arxiv.org/pdf/1804.09565.pdf

 

Is ESG an equity factor or just an investment guide?

E-print: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3207372

Co-existence of Trend and Value in financial markets: Estimating an Extended Chiarella Model

E-print: https://arxiv.org/abs/1807.11751

Portfolio Construction Matters

E-print: https://arxiv.org/abs/1810.08384

Crossover from linear to square-root market impact

E-print: https://arxiv.org/abs/1811.05230

The Multivariate Kyle model: more is different

E-print: https://arxiv.org/abs/1806.07791

Econophysics: still fringe after 30 years?

E-print: https://arxiv.org/abs/1901.03691

Optimal cleaning for singular values of cross-covariance matrices

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

Slow decay of impact in equity markets: insights from the ANcerno database

E-print: https://arxiv.org/abs/1901.05332

How should you discount your backtest PnL?

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

Are trading invariants really invariant? Trading costs matter

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

Impact is not just volatility

E-print: https://arxiv.org/abs/1905.04569

The case for long-only agnostic allocation portfolios

E-print: https://arxiv.org/abs/1906.05187