| Publication | Date of Publication | Type |
|---|
Statistical inference for rough volatility: minimax theory
The Annals of Statistics | 2024-10-18 | Paper |
| Volatility is rough | 2024-09-06 | Paper |
Statistical inference for rough volatility: central limit theorems
The Annals of Applied Probability | 2024-08-22 | Paper |
AHEAD: \textit{ad hoc} electronic auction design
Frontiers of Mathematical Finance | 2024-07-31 | Paper |
On the universality of the volatility formation process: when machine learning and rough volatility agree
Frontiers of Mathematical Finance | 2024-06-04 | Paper |
Market Making and Incentives Design in the Presence of a Dark Pool: A Stackelberg Actor–Critic Approach
Operations Research | 2024-03-12 | Paper |
| The two square root laws of market impact and the role of sophisticated market participants | 2023-11-30 | Paper |
On Bid and Ask Side-Specific Tick Sizes
SIAM Journal on Financial Mathematics | 2023-11-23 | Paper |
Optimal make–take fees for market making regulation
Mathematical Finance | 2023-09-27 | Paper |
A characterisation of cross-impact kernels
Frontiers of Mathematical Finance | 2023-06-26 | Paper |
An expansion formula for Hawkes processes and application to cyber-insurance derivatives
Stochastic Processes and their Applications | 2023-05-17 | Paper |
Optimal liquidity-based trading tactics
Stochastic Systems | 2022-06-24 | Paper |
Optimal auction duration: a price formation viewpoint
Operations Research | 2022-02-16 | Paper |
From microscopic price dynamics to multidimensional rough volatility models
Advances in Applied Probability | 2022-01-18 | Paper |
Algorithmic and High-Frequency Trading
Quantitative Finance | 2021-09-03 | Paper |
Optimal make-take fees in a multi market-maker environment
SIAM Journal on Financial Mathematics | 2021-05-17 | Paper |
No‐arbitrage implies power‐law market impact and rough volatility
Mathematical Finance | 2021-03-23 | Paper |
The Zumbach effect under rough Heston
Quantitative Finance | 2020-09-14 | Paper |
Short-term at-the-money asymptotics under stochastic volatility models
SIAM Journal on Financial Mathematics | 2019-07-10 | Paper |
Linear and conic programming estimators in high dimensional errors-in-variables models
Journal of the Royal Statistical Society Series B: Statistical Methodology | 2019-05-09 | Paper |
The characteristic function of rough Heston models
Mathematical Finance | 2019-05-08 | Paper |
Perfect hedging in rough Heston models
The Annals of Applied Probability | 2018-12-17 | Paper |
Perfect hedging in rough Heston models
The Annals of Applied Probability | 2018-12-17 | Paper |
Estimation of volatility functionals: the case of a \(\sqrt{n}\) window
Springer Proceedings in Mathematics & Statistics | 2018-12-11 | Paper |
Volatility is rough
Quantitative Finance | 2018-11-14 | Paper |
Volatility is rough
Quantitative Finance | 2018-11-14 | Paper |
Fractional Brownian motion with zero Hurst parameter: a rough volatility viewpoint
Electronic Communications in Probability | 2018-10-24 | Paper |
Fractional Brownian motion with zero Hurst parameter: a rough volatility viewpoint
Electronic Communications in Probability | 2018-10-24 | Paper |
Asymptotic optimal tracking: feedback strategies
Stochastics | 2018-09-04 | Paper |
On the law of a triplet associated with the pseudo-Brownian bridge
Lecture Notes in Mathematics | 2018-06-21 | Paper |
The microstructural foundations of leverage effect and rough volatility
Finance and Stochastics | 2018-04-06 | Paper |
Ergodicity and diffusivity of Markovian order book models: a general framework
SIAM Journal on Financial Mathematics | 2018-03-12 | Paper |
Asymptotic lower bounds for optimal tracking: a linear programming approach
The Annals of Applied Probability | 2017-11-07 | Paper |
Asymptotic lower bounds for optimal tracking: a linear programming approach
The Annals of Applied Probability | 2017-11-07 | Paper |
| Asymptotic behavior of local times related statistics for fractional Brownian motion | 2017-10-23 | Paper |
Simulating and analyzing order book data: the queue-reactive model
Journal of the American Statistical Association | 2017-10-13 | Paper |
The different asymptotic regimes of nearly unstable autoregressive processes
The Fascination of Probability, Statistics and their Applications | 2017-01-16 | Paper |
Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes
The Annals of Applied Probability | 2016-12-09 | Paper |
An \(\{\ell_{1},\ell_{2},\ell_{\infty}\}\)-regularization approach to high-dimensional errors-in-variables models
Electronic Journal of Statistics | 2016-09-07 | Paper |
An \(\{\ell_{1},\ell_{2},\ell_{\infty}\}\)-regularization approach to high-dimensional errors-in-variables models
Electronic Journal of Statistics | 2016-09-07 | Paper |
Optimal discretization of hedging strategies with directional views
SIAM Journal on Financial Mathematics | 2016-03-31 | Paper |
Some explicit formulas for the Brownian bridge, Brownian meander and Bessel process under uniform sampling
European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics | 2016-02-12 | Paper |
Optimization and statistical methods for high frequency finance
ESAIM: Proceedings and Surveys | 2016-01-29 | Paper |
Random scaling and sampling of Brownian motion
Journal of the Mathematical Society of Japan | 2016-01-12 | Paper |
Improved matrix uncertainty selector
Institute of Mathematical Statistics Collections | 2015-07-30 | Paper |
Limit theorems for nearly unstable Hawkes processes
The Annals of Applied Probability | 2015-04-27 | Paper |
Limit theorems for nearly unstable Hawkes processes
The Annals of Applied Probability | 2015-04-27 | Paper |
Testing the local volatility assumption: a statistical approach
Annals of Finance | 2014-11-12 | Paper |
Asymptotically optimal discretization of hedging strategies with jumps
The Annals of Applied Probability | 2014-06-13 | Paper |
Asymptotically optimal discretization of hedging strategies with jumps
The Annals of Applied Probability | 2014-06-13 | Paper |
On the expectation of normalized Brownian functionals up to first hitting times
Electronic Journal of Probability | 2014-05-02 | Paper |
Estimating the efficient price from the order flow: a Brownian Cox process approach
Stochastic Processes and their Applications | 2014-04-28 | Paper |
Quarticity and other functionals of volatility: efficient estimation
The Annals of Statistics | 2013-09-25 | Paper |
Quarticity and other functionals of volatility: efficient estimation
The Annals of Statistics | 2013-09-25 | Paper |
Estimation of the lead-lag parameter from non-synchronous data
Bernoulli | 2013-05-30 | Paper |
Estimation of the lead-lag parameter from non-synchronous data
Bernoulli | 2013-05-30 | Paper |
Testing the type of a semi-martingale: Itō against multifractal
Electronic Journal of Statistics | 2013-05-27 | Paper |
Volatility and covariation estimation when microstructure noise and trading times are endogenous
Mathematical Finance | 2013-02-28 | Paper |
Central limit theorems for realized volatility under hitting times of an irregular grid
Stochastic Processes and their Applications | 2012-10-26 | Paper |
Testing the finiteness of the support of a distribution: a statistical look at Tsirelson's equation
Electronic Communications in Probability | 2012-10-23 | Paper |
A new microstructure noise index
Quantitative Finance | 2011-07-28 | Paper |
Asymptotic results for time-changed Lévy processes sampled at hitting times
Stochastic Processes and their Applications | 2011-07-08 | Paper |
Sparse recovery under matrix uncertainty
The Annals of Statistics | 2010-11-15 | Paper |
Integrated volatility and round-off error
Bernoulli | 2010-11-12 | Paper |
On the limiting spectral distribution of the covariance matrices of time-lagged processes
Journal of Multivariate Analysis | 2010-11-10 | Paper |
On the microstructural hedging error
SIAM Journal on Financial Mathematics | 2010-08-11 | Paper |
| Study of some problems of statistical estimation in finance. | 2010-04-06 | Paper |
First order \(p\)-variations and Besov spaces
Statistics & Probability Letters | 2009-01-21 | Paper |
Estimation of the volatility persistence in a discretely observed diffusion model
Stochastic Processes and their Applications | 2008-08-13 | Paper |
Weak dependence for infinite ARCH-type bilinear models
Statistics | 2007-12-03 | Paper |
