The square-root impact law also holds for option markets

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

The skewed multifractal random walk with applications to option smiles

E-print: https://arxiv.org/abs/cond-mat/0204047

The short-term price impact of trades is universal

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

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

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

The Multivariate Kyle model: more is different

E-print: https://arxiv.org/abs/1806.07791

The leverage effect in financial markets: retarded volatility and market panic

E-print: http://arxiv.org/abs/cond-mat/0101120

The joint distribution of stock returns is not elliptical

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

The fine structure of volatility feedback II overnight and intra-day effects

The fine structure of volatility feedback I: multi-scale self-reflexivity

E-print: http://arxiv.org/abs/1206.2153

The Excess Returns of 'Quality' Stocks: A Behavioral Anomaly

E-print: http://arxiv.org/pdf/1601.04478v1

The endogenous dynamics of markets: price impact and feedback loops

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

The eigenvectors of Gaussian matrices with an external source

E-print: http://arxiv.org/abs/1412.7108!

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

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

The case for long-only agnostic allocation portfolios

E-print: https://arxiv.org/abs/1906.05187

The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes

E-print: https://hal.archives-ouvertes.fr/jpa-00246951/document

The (unfortunate) complexity of the economy

E-print: http://arxiv.org/abs/0904.0805

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

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

Taming large events: portfolio selection for strongly fluctuating assets

 

Tail protection for long investors: convexity at work

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

Sudden trust collapse in networked societies

E-print: http://arxiv.org/abs/1409.8321