Invariant β-ensembles and the Gauss-Wigner crossover

E-print: http://arxiv.org/abs/1205.3598

We've walked a million miles for one of these smiles

Optimal Trading with Linear Costs

The joint distribution of stock returns is not elliptical

E-print: http://arxiv.org/pdf/1009.1100.pdf

Anomalous price impact and the critical nature of liquidity in financial markets

E-print: http://arxiv.org/abs/1105.1694

Why is order flow so persistent?

E-print: http://arxiv.org/abs/1108.1632

Goodness-of-Fit tests with dependent observations

E-print: http://arxiv.org/abs/1106.3016

Eigenvector dynamics: theory and some applications

E-print: https://arxiv.org/abs/1203.6228

Models for the impact of all order book events

E-print: http://arxiv.org/abs/1107.3364

Smile dynamics - a theory of the implied leverage effect: ERRATUM

E-print: http://arxiv.org/abs/1105.5082

How does the market react to your order flow?

E-print: http://arxiv.org/abs/1104.0587

Principal Regression Analysis and the index leverage effect

E-print: http://arxiv.org/abs/1011.5810

Individual and collective stock dynamics: intra-day seasonalities

E-print: http://arxiv.org/PS_cache/arxiv/pdf/1009/1009.4785v1.pdf

The price impact of order book events: market orders, limit orders and cancellations

E-print: http://arxiv.org/abs/0904.0900

The endogenous dynamics of markets: price impact and feedback loops

E-print: http://arxiv.org/PS_cache/arxiv/pdf/1009/1009.2928v1.pdf

Population dynamics in a random environment

Spatial correlations in vote statistics: a diffusive field model for decision-making

E-print: http://arxiv.org/abs/1003.2807

Of Songs and Men: a Model for Multiple Choice with Herding

Price Impact

E-print: https://arxiv.org/abs/0903.2428v1

Financial applications of Random Matrix Theory: a short review