| Publication | Date of Publication | Type |
|---|
The subtle interplay between square-root impact, order imbalance & volatility: a unifying framework
Quantitative Finance | 2026-08-13 | Paper |
Free convolution and generalized Dyson Brownian motion
Journal of Statistical Physics | 2026-08-05 | Paper |
Stationary distributions of the mode-switching Chiarella model
Chaos | 2026-07-07 | Paper |
On the Bethe ansatz for random directed polymers
Journal of Statistical Physics | 2026-04-27 | Paper |
Emergent inequalities in a primitive agent-based good-exchange model
Journal of Statistical Mechanics: Theory and Experiment | 2026-04-24 | Paper |
The ‘double’ square-root law: evidence for the mechanical origin of market impact using Tokyo stock exchange data
Quantitative Finance | 2026-04-15 | Paper |
Identifying new classes of financial price jumps with wavelets
Proceedings of the National Academy of Sciences of the United States of America | 2026-03-13 | Paper |
Distribution of the diagonal entries of the resolvent of a complex Ginibre matrix
Journal of Physics A: Mathematical and Theoretical | 2025-08-19 | Paper |
Revisiting elastic string models of forward interest rates
Quantitative Finance | 2025-02-10 | Paper |
Scale dependencies and self-similar models with wavelet scattering spectra
Applied and Computational Harmonic Analysis | 2025-01-06 | Paper |
Path shadowing Monte Carlo
Quantitative Finance | 2025-01-06 | Paper |
Distribution of the Diagonal Entries of the Resolvent of a Complex Ginibre Matrix
(available as arXiv preprint) | 2024-01-01 | Paper |
An Interacting Particle System Interpretation of Free Convolution
(available as arXiv preprint) | 2024-01-01 | Paper |
| Wrapping and unwrapping multifractal fields | 2023-10-03 | Paper |
Sudden trust collapse in networked societies
The European Physical Journal B. Condensed Matter and Complex Systems | 2023-07-26 | Paper |
Multivariate quadratic Hawkes processes—part I: theoretical analysis
Quantitative Finance | 2023-06-20 | Paper |
Optimal cleaning for singular values of cross-covariance matrices
The Annals of Applied Probability | 2023-06-05 | Paper |
Matrix Kesten recursion, inverse-Wishart ensemble and fermions in a Morse potential
Journal of Physics A: Mathematical and Theoretical | 2023-02-07 | Paper |
The inelastic market hypothesis: a microstructural interpretation
Quantitative Finance | 2022-10-14 | Paper |
Occupation time of a renewal process coupled to a discrete Markov chain
Journal of Statistical Mechanics: Theory and Experiment | 2022-08-01 | Paper |
Out-of-equilibrium dynamics and excess volatility in firm networks
Journal of Economic Dynamics and Control | 2022-05-16 | Paper |
Exogenous and endogenous price jumps belong to different dynamical classes
Journal of Statistical Mechanics: Theory and Experiment | 2022-02-16 | Paper |
| Will Random Cone-wise Linear Systems Be Stable? | 2022-01-04 | Paper |
| On Hawkes Processes with Infinite Mean Intensity | 2021-12-28 | Paper |
A new spin on optimal portfolios and ecological equilibria
Journal of Statistical Mechanics: Theory and Experiment | 2021-10-26 | Paper |
How does latent liquidity get revealed in the limit order book?
Journal of Statistical Mechanics: Theory and Experiment | 2021-08-17 | Paper |
Good speciation and endogenous business cycles in a constraint satisfaction macroeconomic model
Journal of Statistical Mechanics: Theory and Experiment | 2021-08-17 | Paper |
Optimal multi-asset trading with linear costs: a mean-field approach
Quantitative Finance | 2021-06-02 | Paper |
Self-planting: digging holes in rough landscapes
Journal of Statistical Mechanics: Theory and Experiment | 2021-03-16 | Paper |
Greedy algorithms and Zipf laws
Journal of Statistical Mechanics: Theory and Experiment | 2021-03-02 | Paper |
Matrix Kesten Recursion, Inverse-Wishart Ensemble and Fermions in a Morse Potential
(available as arXiv preprint) | 2021-01-20 | Paper |
Are trading invariants really invariant? Trading costs matter
Quantitative Finance | 2020-12-07 | Paper |
Endogenous liquidity crises
Journal of Statistical Mechanics: Theory and Experiment | 2020-11-19 | Paper |
| A first course in random matrix theory: for physicists, engineers and data scientists | 2020-10-15 | Paper |
| On a Generalisation of the Marcenko-Pastur Problem | 2020-09-15 | Paper |
Co-impact: crowding effects in institutional trading activity
Quantitative Finance | 2020-09-14 | Paper |
Instabilities in large economies: aggregate volatility without idiosyncratic shocks
Journal of Statistical Mechanics: Theory and Experiment | 2020-08-11 | Paper |
On the emergence of an ``intention field'' for socially cohesive agents
Journal of Statistical Mechanics: Theory and Experiment | 2020-08-11 | Paper |
On growth-optimal tax rates and the issue of wealth inequalities
Journal of Statistical Mechanics: Theory and Experiment | 2020-08-11 | Paper |
From Walras' auctioneer to continuous time double auctions: a general dynamic theory of supply and demand
Journal of Statistical Mechanics: Theory and Experiment | 2020-08-11 | Paper |
Nonlinear price impact from linear models
Journal of Statistical Mechanics: Theory and Experiment | 2020-08-11 | Paper |
By force of habit: self-trapping in a dynamical utility landscape
Chaos: An Interdisciplinary Journal of Nonlinear Science | 2020-08-04 | Paper |
By force of habit: self-trapping in a dynamical utility landscape
Chaos: An Interdisciplinary Journal of Nonlinear Science | 2020-08-04 | Paper |
The multivariate Kyle model: more is different
SIAM Journal on Financial Mathematics | 2020-06-08 | Paper |
Co-existence of trend and value in financial markets: estimating an extended Chiarella model
Journal of Economic Dynamics and Control | 2020-05-07 | Paper |
Extreme value problems in random matrix theory and other disordered systems
Journal of Statistical Mechanics: Theory and Experiment | 2019-10-22 | Paper |
Two short pieces around the Wigner problem
Journal of Physics A: Mathematical and Theoretical | 2019-10-07 | Paper |
A nested factor model for non-linear dependencies in stock returns
Quantitative Finance | 2019-02-06 | Paper |
Market impact with multi-timescale liquidity
Quantitative Finance | 2019-02-06 | Paper |
Fluctuations and response in financial markets: the subtle nature of `random' price changes
Quantitative Finance | 2019-01-15 | Paper |
A non-Gaussian option pricing model with skew
(available as arXiv preprint) | 2019-01-15 | Paper |
Option pricing and hedging with minimum local expected shortfall
(available as arXiv preprint) | 2019-01-15 | Paper |
Power laws in economics and finance: some ideas from physics
Quantitative Finance | 2019-01-14 | Paper |
On a universal mechanism for long-range volatility correlations
Quantitative Finance | 2019-01-14 | Paper |
Correlation structure of extreme stock returns
Quantitative Finance | 2019-01-14 | Paper |
Statistical properties of stock order books: empirical results and models
Quantitative Finance | 2019-01-14 | Paper |
The skewed multifractal random walk with applications to option smiles
Quantitative Finance | 2019-01-14 | Paper |
Quadratic Hawkes processes for financial prices
Quantitative Finance | 2018-11-19 | Paper |
Tipping points in macroeconomic agent-based models
Journal of Economic Dynamics and Control | 2018-11-15 | Paper |
Linear models for the impact of order flow on prices. I. History dependent impact models
Quantitative Finance | 2018-11-14 | Paper |
Linear models for the impact of order flow on prices. II: The mixture transition distribution model
Quantitative Finance | 2018-11-14 | Paper |
The fine structure of volatility feedback. II: Overnight and intra-day effects
Physica A | 2018-09-20 | Paper |
The fine-structure of volatility feedback. I: Multi-scale self-reflexivity
Physica A | 2018-09-20 | Paper |
A fully consistent, minimal model for nonlinear market impact
Quantitative Finance | 2018-09-19 | Paper |
Random matrix theory and (big) data analysis
Stochastic Processes and Random Matrices | 2018-04-23 | Paper |
The Student ensemble of correlation matrices: eigenvalue spectrum and Kullback-Leibler entropy
(available as arXiv preprint) | 2017-09-27 | Paper |
| The Student ensemble of correlation matrices: eigenvalue spectrum and Kullback-Leibler entropy | 2017-09-27 | Paper |
Financial applications of random matrix theory: old laces and new pieces
(available as arXiv preprint) | 2017-09-27 | Paper |
| Financial applications of random matrix theory: old laces and new pieces | 2017-09-27 | Paper |
Rotational Invariant Estimator for General Noisy Matrices
IEEE Transactions on Information Theory | 2017-04-28 | Paper |
Cleaning large correlation matrices: tools from random matrix theory
Physics Reports | 2017-04-12 | Paper |
Skew and implied leverage effect: smile dynamics revisited
International Journal of Theoretical and Applied Finance | 2015-07-23 | Paper |
| The eigenvectors of Gaussian matrices with an external source | 2014-12-22 | Paper |
Eigenvector dynamics under free addition
Random Matrices: Theory and Applications | 2014-11-19 | Paper |
| Revisiting Directed Polymers with heavy-tailed disorder | 2014-11-05 | Paper |
| Instanton Approach to Large N Harish-Chandra-Itzykson-Zuber Integrals | 2014-03-30 | Paper |
The price impact of order book events: market orders, limit orders and cancellations
Quantitative Finance | 2014-01-24 | Paper |
Instanton Approach to Large $N$ Harish-Chandra-Itzykson-Zuber Integrals
(available as arXiv preprint) | 2014-01-01 | Paper |
Revisiting Directed Polymers with heavy-tailed disorder
(available as arXiv preprint) | 2014-01-01 | Paper |
The eigenvectors of Gaussian matrices with an external source
(available as arXiv preprint) | 2014-01-01 | Paper |
Crises and collective socio-economic phenomena: simple models and challenges
Journal of Statistical Physics | 2013-06-07 | Paper |
Invariant \(\beta\)-Wishart ensembles, crossover densities and asymptotic corrections to the Marčenko-Pastur law
Journal of Physics A: Mathematical and Theoretical | 2013-01-24 | Paper |
On the top eigenvalue of heavy-tailed random matrices
Europhysics Letters | 2012-08-11 | Paper |
The joint distribution of stock returns is not elliptical
International Journal of Theoretical and Applied Finance | 2012-06-25 | Paper |
| Invariant $\beta$-ensembles and the Gauss-Wigner crossover | 2012-05-16 | Paper |
| Eigenvector dynamics: general theory and some applications | 2012-03-28 | Paper |
Financial applications of random matrix theory: a short review
(available as arXiv preprint) | 2012-01-05 | Paper |
Eigenvector dynamics: general theory and some applications
(available as arXiv preprint) | 2012-01-01 | Paper |
Invariant \beta-ensembles and the Gauss-Wigner crossover
(available as arXiv preprint) | 2012-01-01 | Paper |
Benoit Mandelbrot: a personal tribute
Quantitative Finance | 2011-03-28 | Paper |
Spatial correlations in vote statistics: a diffusive field model for decision-making
The European Physical Journal B. Condensed Matter and Complex Systems | 2011-01-04 | Paper |
Large dimension forecasting models and random singular value spectra
The European Physical Journal B. Condensed Matter and Complex Systems | 2010-06-25 | Paper |
| Theory of Financial Risk and Derivative Pricing | 2009-08-03 | Paper |
| Theory of Financial Risk and Derivative Pricing | 2009-07-03 | Paper |
Optimal time to sell a stock in the Black–Scholes model: comment on ‘Thou shalt buy and hold’, by A. Shiryaev, Z. Xu and X.Y. Zhou
Quantitative Finance | 2009-02-23 | Paper |
Freezing and extreme-value statistics in a random energy model with logarithmically correlated potential
Journal of Physics A: Mathematical and Theoretical | 2008-10-08 | Paper |
Statistical mechanics of a single particle in a multiscale random potential: Parisi landscapes in finite-dimensional Euclidean spaces
Journal of Physics A: Mathematical and Theoretical | 2008-09-01 | Paper |
Relation between bid–ask spread, impact and volatility in order-driven markets
Quantitative Finance | 2008-08-07 | Paper |
TheKolmogorov Legacy in Physics
Lecture Notes in Physics | 2008-06-30 | Paper |
Random walks, liquidity molasses and critical response in financial markets
Quantitative Finance | 2006-08-21 | Paper |
EXPERTS' EARNING FORECASTS: BIAS, HERDING AND GOSSAMER INFORMATION
International Journal of Theoretical and Applied Finance | 2005-12-15 | Paper |
The Kovacs effect in model glasses
Journal of Physics A: Mathematical and General | 2005-10-18 | Paper |
OPTION PRICING AND HEDGING WITH TEMPORAL CORRELATIONS
International Journal of Theoretical and Applied Finance | 2005-06-22 | Paper |
