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

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

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

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

Nonlinear price impact from linear models

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

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

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

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

Universal scaling and nonlinearity of aggregate price impact in financial markets

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

A fractional reaction-diffusion description of supply and demand

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

The short-term price impact of trades is universal

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

Trading lightly: cross-impact and optimal portfolio execution

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

Agnostic Risk Parity: Taming Known and Unknown-Unknowns

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

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

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

Dissecting cross-impact on stock markets: An empirical analysis

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

Tail protection for long investors: convexity at work

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

Why have asset price properties changed so little in 200 years

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

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

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

Cleaning correlation matrices

On the overlaps between eigenvectors of correlated random matrices

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

The square-root impact law also holds for option markets

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

Unravelling the trading invariance hypothesis

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

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