Fluctuations and response in financial markets: the subtle nature of 'random' price changes

E-print: http://arxiv.org/abs/cond-mat/03073322

More statistical properties of order books and price impact

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

Statistical properties of stock order books: empirical results and models

E-print: http://arxiv.org/abs/cond-mat/0203511

Introducing Variety in Risk Management

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

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

 

 

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

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

Correlation structure of extreme stock returns

E-print: http://arxiv.org/abs/cond-mat/0006034

Explaining the forward interest rate term structure

An empirical investigation of the forward interest rate term structure

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

Apparent multifractality in financial time series

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

Random matrix theory and financial correlations

Published in: International Journal of Theoretical and Applied Finance - Volume 03, Issue 03, July 2000

 

 

Noise Dressing of Financial Correlation Matrices

E-print: http://arxiv.org/abs/cond-mat/9810255

Are financial crashes predictable?

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

Phenomenology of the interest rate curve

E-print: http://arxiv.org/abs/cond-mat/9712164

Scaling in stock market data: stable laws and beyond

E-print: http://arxiv.org/abs/cond-mat/9705087

Comment on Turbulent cascades in foreign exchange markets

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