Statistical models for company growth

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

Multiple time scales in volatility and leverage correlation: A stochastic volatility model

E-print: http://arxiv.org/abs/cond-mat/0302095

Self-referential behaviour, overreaction and conventions in financial markets

E-print: http://arxiv.org/abs/cond-mat/0303584

Comment on Two-phase behaviour of financial markets

E-print: http://arxiv.org/abs/cond-mat/0304514

Fluctuations and response in financial markets: the subtle nature of 'random' price changes

E-print: http://arxiv.org/abs/cond-mat/03073322

Option pricing and hedging with minimum expected shortfall

E-print: http://arxiv.org/abs/cond-mat/0308570

Exponential weighting and random-matrix-theory-based filtering of financial covariance matrices for portfolio optimisation

E-print: http://arxiv.org/abs/cond-mat/0402573

Stiff Field Theory of Interest Rates and Psychological Future Time

E-print: http://arxiv.org/abs/cond-mat/0403713

A Non-Gaussian Option Pricing Model with Skew

E-print: http://arxiv.org/abs/cond-mat/0403022

Random walks, liquidity molasses and critical response in financial markets

E-print: http://arxiv.org/abs/cond-mat/0406224

Experts' earning forecasts: bias, herding and gossamer information

E-print: http://arxiv.org/abs/cond-mat/0410079

The dynamics of financial markets - Mandelbrot's multifractal cascades, and beyond

E-print: http://arxiv.org/abs/cond-mat/0501292

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

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

On a multi-timescale statistical feedback model for volatility fluctuations

E-print: https://arxiv.org/abs/physics/0507073

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

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

Trend followers lose more often than they gain

E-print: http://arxiv.org/abs/physics/0508104

Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets

E-print: http://arxiv.org/abs/physics/0603084

The student ensemble of correlation matrices: eigenvalue spectrum and Kullback-Leibler entropy

Large dimension forecasting models and random singular value spectra

E-print: http://arxiv.org/abs/physics/0512090

Stock price jumps: news and volume play a minor role

E-print: http://arxiv.org/abs/0803.1769