| Publication | Date of Publication | Type |
|---|
| Unimodal maps perturbed by heteroscedastic noise: an application to financial systems | 2023-11-06 | Paper |
| Analysis of Bank Leverage via Dynamical Systems and Deep Neural Networks | 2023-07-04 | Paper |
| A tale of two sentiment scales: disentangling short-run and long-run components in multivariate sentiment dynamics | 2023-06-20 | Paper |
| From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution | 2023-06-20 | Paper |
| A continuous and efficient fundamental price on the discrete order book grid | 2022-06-28 | Paper |
| Liquidity fluctuations and the latent dynamics of price impact | 2022-04-05 | Paper |
| Temporal mixture ensemble models for probabilistic forecasting of intraday cryptocurrency volume | 2022-01-06 | Paper |
| Tail Granger causalities and where to find them: extreme risk spillovers vs spurious linkages | 2021-11-16 | Paper |
| Better to stay apart: asset commonality, bipartite network centrality, and investment strategies | 2021-11-08 | Paper |
| Unveiling the relation between herding and liquidity with trader lead-lag networks | 2021-09-03 | Paper |
| On the performance of learned data structures | 2021-06-08 | Paper |
| On the equivalence between the kinetic Ising model and discrete autoregressive processes | 2021-06-08 | Paper |
| Are trading invariants really invariant? Trading costs matter | 2020-12-07 | Paper |
| Discrete homotopy analysis for optimal trading execution with nonlinear transient market impact | 2020-09-19 | Paper |
| Co-impact: crowding effects in institutional trading activity | 2020-09-14 | Paper |
| Modeling the coupled return-spread high frequency dynamics of large tick assets | 2020-08-11 | Paper |
| Competitive allocation of resources on a network: an agent-based model of air companies competing for the best routes | 2020-08-11 | Paper |
| Centrality metrics and localization in core-periphery networks | 2020-08-11 | Paper |
| Disentangling group and link persistence in dynamic stochastic block models | 2020-08-11 | Paper |
| A dynamic network model with persistent links and node-specific latent variables, with an application to the interbank market | 2019-10-17 | Paper |
| Non-Markovian temporal networks with auto- and cross-correlated link dynamics | 2019-09-17 | Paper |
| Strategic allocation of flight plans in air traffic management: an evolutionary point of view | 2019-05-03 | Paper |
| When panic makes you blind: a chaotic route to systemic risk | 2019-03-27 | Paper |
| Wright meets Markowitz: how standard portfolio theory changes when assets are technologies following experience curves | 2019-03-27 | Paper |
| What really causes large price changes? | 2019-01-15 | Paper |
| On the origin of power-law tails in price fluctuations | 2019-01-15 | Paper |
| Optimal execution with non-linear transient market impact | 2018-11-19 | Paper |
| The role of volume in order book dynamics: a multivariate Hawkes process analysis | 2018-11-19 | Paper |
| Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction | 2018-11-16 | Paper |
| The impact of systemic and illiquidity risk on financing with risky collateral | 2018-11-15 | Paper |
| Why is equity order flow so persistent? | 2018-11-15 | Paper |
| Collective synchronization and high frequency systemic instabilities in financial markets | 2018-11-14 | Paper |
| Linear models for the impact of order flow on prices. I. History dependent impact models | 2018-11-14 | Paper |
| Linear models for the impact of order flow on prices. II. The Mixture Transition Distribution model | 2018-11-14 | Paper |
| Do firms share the same functional form of their growth rate distribution? A statistical test | 2018-11-01 | Paper |
| How news affects the trading behaviour of different categories of investors in a financial market | 2018-09-19 | Paper |
| The multiplex structure of interbank networks | 2018-09-19 | Paper |
| Modelling systemic price cojumps with Hawkes factor models | 2018-09-19 | Paper |
| Interbank Markets and Multiplex Networks: Centrality Measures and Statistical Null Models | 2017-08-31 | Paper |
| Disentangling bipartite and core-periphery structure in financial networks | 2017-02-10 | Paper |
| When Micro Prudence Increases Macro Risk: The Destabilizing Effects of Financial Innovation, Leverage, and Diversification | 2016-12-20 | Paper |
| The effect of round-off error on long memory processes | 2016-01-19 | Paper |
| How efficiency shapes market impact | 2014-01-23 | Paper |
| Hierarchically nested factor model from multivariate data | 2012-08-11 | Paper |
| The non-random walk of stock prices: the long-term correlation between signs and sizes | 2010-06-25 | Paper |
| Cluster analysis for portfolio optimization | 2010-01-19 | Paper |
| Diffusive behavior and the modeling of characteristic times in limit order executions | 2009-11-16 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3534411 | 2008-11-03 | Paper |
| SPANNING TREES AND BOOTSTRAP RELIABILITY ESTIMATION IN CORRELATION-BASED NETWORKS | 2008-07-04 | Paper |
| There's more to volatility than volume | 2007-05-09 | Paper |
| Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary? | 2006-08-21 | Paper |
| The Long Memory of the Efficient Market | 2006-01-27 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4464581 | 2004-05-27 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4464583 | 2004-05-27 | Paper |
| Degree stability of a minimum spanning tree of price return and volatility | 2003-05-21 | Paper |
| Volatility in financial markets: Stochastic models and empirical results | 2002-12-03 | Paper |
| Levels of complexity in financial markets | 2001-10-23 | Paper |
| Ensemble properties of securities traded in the NASDAQ market | 2001-10-23 | Paper |
| STATISTICAL PROPERTIES OF STATISTICAL ENSEMBLES OF STOCK RETURNS | 2001-07-05 | Paper |
