| Publication | Date of Publication | Type |
|---|
Covariance matrix filtering and portfolio optimisation: the average oracle vs non-linear shrinkage and all the variants of DCC-NLS
Quantitative Finance | 2025-01-06 | Paper |
When is cross impact relevant?
Quantitative Finance | 2024-05-29 | Paper |
The origins of extreme wealth inequality in the talent versus luck model
Advances in Complex Systems | 2024-05-06 | Paper |
STATISTICALLY VALIDATED LEAD-LAG NETWORKS AND INVENTORY PREDICTION IN THE FOREIGN EXCHANGE MARKET
Advances in Complex Systems | 2024-03-27 | Paper |
Sudden trust collapse in networked societies
The European Physical Journal B. Condensed Matter and Complex Systems | 2023-07-26 | Paper |
Filtering time-dependent covariance matrices using time-independent eigenvalues
Journal of Statistical Mechanics: Theory and Experiment | 2023-03-07 | Paper |
Deep prediction of investor interest: a supervised clustering approach
Algorithmic Finance | 2021-10-12 | Paper |
The limits of statistical significance of Hawkes processes fitted to financial data
Quantitative Finance | 2021-07-16 | Paper |
The market nanostructure origin of asset price time reversal asymmetry
Quantitative Finance | 2021-06-02 | Paper |
Testing the causality of Hawkes processes with time reversal
Journal of Statistical Mechanics: Theory and Experiment | 2021-03-02 | Paper |
Strategic Behaviour and Indicative Price Diffusion in Paris Stock Exchange Auctions
New Economic Windows | 2019-07-26 | Paper |
Minority games with finite score memory
Journal of Statistical Mechanics: Theory and Experiment | 2019-07-12 | Paper |
Non-constant rates and over-diffusive prices in a simple model of limit order markets
Quantitative Finance | 2019-01-14 | Paper |
A robust measure of investor contrarian behaviour
Econophysics of Systemic Risk and Network Dynamics | 2018-10-11 | Paper |
Sharper asset ranking from total drawdown durations
Applied Mathematical Finance | 2018-04-06 | Paper |
Sharper asset ranking from total drawdown durations
Applied Mathematical Finance | 2015-05-06 | Paper |
Prediction accuracy and sloppiness of log-periodic functions
Quantitative Finance | 2014-02-08 | Paper |
Minority games. Interacting agents in financial markets
| 2013-11-21 | Paper |
The tick-by-tick dynamical consistency of price impact in limit order books
Applied Mathematical Finance | 2012-06-08 | Paper |
Emergence of product differentiation from consumer heterogeneity and asymmetric information
The European Physical Journal B. Condensed Matter and Complex Systems | 2010-06-25 | Paper |
Inter-pattern speculation: beyond minority, majority and \$-games
Journal of Economic Dynamics and Control | 2010-01-19 | Paper |
Optimal approximations of power laws with exponentials: application to volatility models with long memory
Quantitative Finance | 2008-01-31 | Paper |
News and price returns from threshold behaviour and vice-versa: exact solution of an agent-based market model
Journal of Physics A: Mathematical and General | 2007-02-08 | Paper |
Price return autocorrelation and predictability in agent-based models of financial markets
Quantitative Finance | 2006-03-08 | Paper |
scientific article; zbMATH DE number 2226167 (Why is no real title available?)
| 2005-11-08 | Paper |
Optimal static and dynamic recycling of defective binary devices
Journal of Statistical Mechanics: Theory and Experiment | 2005-02-01 | Paper |
scientific article; zbMATH DE number 2118872 (Why is no real title available?)
| 2004-11-24 | Paper |
Limit order market analysis and modelling: on a universal cause for over-diffusive prices
Physica A | 2003-05-21 | Paper |
Exact Hurst exponent and crossover behavior in a limit order market model
Physica A | 2002-11-26 | Paper |
Analyzing and modeling 1+1d markets
Physica A | 2001-10-23 | Paper |
Minority games and stylized facts
Physica A | 2001-10-23 | Paper |
Stylized facts of financial markets and market crashes in Minority Games
Physica A | 2001-06-21 | Paper |
TRADING BEHAVIOR AND EXCESS VOLATILITY IN TOY MARKETS
Advances in Complex Systems | 2001-01-01 | Paper |
PHASE TRANSITION IN A TOY MARKET
International Journal of Theoretical and Applied Finance | 2000-12-19 | Paper |
