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

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

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

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

Goodness-of-Fit tests with dependent observations

E-print: http://arxiv.org/abs/1106.3016

The endogenous dynamics of markets: price impact and feedback loops

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

Population dynamics in a random environment

The (unfortunate) complexity of the economy

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

Economics needs a scientific revolution

E-print: http://arxiv.org/abs/0810.53066

The student ensemble of correlation matrices: eigenvalue spectrum and Kullback-Leibler entropy

On a multi-timescale statistical feedback model for volatility fluctuations

E-print: https://arxiv.org/abs/physics/0507073

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

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

A Non-Gaussian Option Pricing Model with Skew

E-print: http://arxiv.org/abs/cond-mat/0403022

Option pricing and hedging with minimum expected shortfall

E-print: http://arxiv.org/abs/cond-mat/0308570

Comment on Two-phase behaviour of financial markets

E-print: http://arxiv.org/abs/cond-mat/0304514

Self-referential behaviour, overreaction and conventions in financial markets

E-print: http://arxiv.org/abs/cond-mat/0303584

Multiple time scales in volatility and leverage correlation: A stochastic volatility model

E-print: http://arxiv.org/abs/cond-mat/0302095

An introduction to statistical finance

Bubbles, crashes and intermittency in agent based market models

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

The skewed multifractal random walk with applications to option smiles

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

Microscopic models for long ranged volatility correlations

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

Hedge your Monte Carlo

Published in: Risk Magazine 14 3, 133-136