Comment on Turbulent cascades in foreign exchange markets

E-print: http://arxiv.org/abs/cond-mat/9607120

Co-impact: Crowding effects in institutional trading activity

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

 

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

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

Cleaning correlation matrices

Bubbles, crashes and intermittency in agent based market models

E-print: https://arxiv.org/abs/cond-mat/0206222

Branching ratio approximation for the self-exciting Hawkes process

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

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

Back to basics: historical option pricing revisited

E-print: http://arxiv.org/abs/cond-mat/9808206

Are trading invariants really invariant? Trading costs matter

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

Are financial crashes predictable?

E-print: http://arxiv.org/abs/cond-mat/9804111

Apparent multifractality in financial time series

E-print: http://arxiv.org/abs/cond-mat/9906347

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

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

Anomalous impact in reaction-diffusion models

E-print: http://arxiv.org/abs/1403.3571

An introduction to statistical finance

An instanton approach to large N Harish-Chandra-Itzykson-Zuber integrals

E-print: http://arxiv.org/abs/1403.7763

An empirical investigation of the forward interest rate term structure

E-print: http://arxiv.org/abs/cond-mat/9907297

Agnostic Risk Parity: Taming Known and Unknown-Unknowns

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

Agent-based models for latent liquidity and concave price impact

A shift-optimised Hill-type estimator

E-print: http://arxiv.org/PS_cache/arxiv/pdf/0905/0905.3096v1.pdf

A proposal for impact-adjusted valuation: critical leverage and execution risk

E-print: http://arxiv.org/abs/1204.0922