How markets slowly digest changes in supply and demand

How should you discount your backtest PnL?

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

Impact is not just volatility

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

Individual and collective stock dynamics: intra-day seasonalities

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

Instabilities in large economies: aggregate volatility without idiosyncratic shocks

Introducing Variety in Risk Management

E-print: http://arxiv.org/abs/cond-mat/0107208

Invariant β-ensembles and the Gauss-Wigner crossover

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

Invariant β-Wishart ensembles, crossover densities and asymptotic corrections to the Marchenko-Pastur law

E-print: http://arxiv.org/abs/1209.6171

Is ESG an equity factor or just an investment guide?

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

Large dimension forecasting models and random singular value spectra

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

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

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

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

Microscopic models for long ranged volatility correlations

E-print: http://arxiv.org/abs/cond-mat/0105076

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

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

Missing information and asset allocation

E-print: http://arxiv.org/abs/cond-mat/9707042

Models for the impact of all order book events

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

Momentum Strategies with L1 Filter

E-print: http://arxiv.org/abs/1403.4069

Monetary Policy and Dark Corners in a stylized Agent-Based Model

More statistical properties of order books and price impact

E-print: http://arxiv.org/abs/cond-mat/0210710

More stylized facts of financial markets: leverage effect and downside correlations

Published in: Physica A: Statistical Mechanics and its Applications - Volume 299, Issues 1–2, 1 October 2001, Pages 60–70