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

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

Election turnout statistics in many countries: similarities, differences, and a diffusive field model for decision-making

E-print: http://arxiv.org/abs/1201.052

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

The joint distribution of stock returns is not elliptical

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

Why is order flow so persistent?

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

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

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

Smile dynamics - a theory of the implied leverage effect

How markets slowly digest changes in supply and demand

Stock price jumps: news and volume play a minor role

E-print: http://arxiv.org/abs/0803.1769

Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets

E-print: http://arxiv.org/abs/physics/0603084

Experts' earning forecasts: bias, herding and gossamer information

E-print: http://arxiv.org/abs/cond-mat/0410079

Random walks, liquidity molasses and critical response in financial markets

E-print: http://arxiv.org/abs/cond-mat/0406224

Stiff Field Theory of Interest Rates and Psychological Future Time

E-print: http://arxiv.org/abs/cond-mat/0403713