| Publication | Date of Publication | Type |
|---|
Why is the estimation of metaorder impact with public market data so challenging?
Quantitative Finance | 2026-04-15 | Paper |
Dimensionality reduction techniques to support insider trading detection
Quantitative Finance | 2026-04-15 | Paper |
Reinforcement Learning for Optimal Execution When Liquidity Is Time-Varying
Applied Mathematical Finance | 2025-09-03 | Paper |
Online learning of order flow and market impact with Bayesian change-point detection methods
Quantitative Finance | 2025-04-03 | Paper |
Modeling shock propagation and resilience in financial temporal networks
Chaos | 2025-04-03 | Paper |
Bayesian autoregressive online change-point detection with time-varying parameters
Communications in Nonlinear Science and Numerical Simulation | 2025-02-14 | Paper |
A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics
Journal of Business and Economic Statistics | 2024-10-11 | Paper |
Transient impact from the Nash equilibrium of a permanent market impact game
Dynamic Games and Applications | 2024-06-17 | Paper |
Instabilities in multi-asset and multi-agent market impact games
Annals of Operations Research | 2024-06-04 | Paper |
Unimodal maps perturbed by heteroscedastic noise: an application to financial systems
Journal of Statistical Physics | 2023-11-06 | Paper |
Analysis of Bank Leverage via Dynamical Systems and Deep Neural Networks
SIAM Journal on Financial Mathematics | 2023-07-04 | Paper |
From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution
Quantitative Finance | 2023-06-20 | Paper |
A tale of two sentiment scales: disentangling short-run and long-run components in multivariate sentiment dynamics
Quantitative Finance | 2023-06-20 | Paper |
A continuous and efficient fundamental price on the discrete order book grid
Physica A | 2022-06-28 | Paper |
Liquidity fluctuations and the latent dynamics of price impact
Quantitative Finance | 2022-04-05 | Paper |
Temporal mixture ensemble models for probabilistic forecasting of intraday cryptocurrency volume
Decisions in Economics and Finance | 2022-01-06 | Paper |
Tail Granger causalities and where to find them: extreme risk spillovers vs spurious linkages
Journal of Economic Dynamics and Control | 2021-11-16 | Paper |
Better to stay apart: asset commonality, bipartite network centrality, and investment strategies
Annals of Operations Research | 2021-11-08 | Paper |
Unveiling the relation between herding and liquidity with trader lead-lag networks
Quantitative Finance | 2021-09-03 | Paper |
On the performance of learned data structures
Theoretical Computer Science | 2021-06-08 | Paper |
On the equivalence between the kinetic Ising model and discrete autoregressive processes
Journal of Statistical Mechanics: Theory and Experiment | 2021-06-08 | Paper |
Are trading invariants really invariant? Trading costs matter
Quantitative Finance | 2020-12-07 | Paper |
Discrete homotopy analysis for optimal trading execution with nonlinear transient market impact
Communications in Nonlinear Science and Numerical Simulation | 2020-09-19 | Paper |
Co-impact: crowding effects in institutional trading activity
Quantitative Finance | 2020-09-14 | Paper |
Centrality metrics and localization in core-periphery networks
Journal of Statistical Mechanics: Theory and Experiment | 2020-08-11 | Paper |
Competitive allocation of resources on a network: an agent-based model of air companies competing for the best routes
Journal of Statistical Mechanics: Theory and Experiment | 2020-08-11 | Paper |
Disentangling group and link persistence in dynamic stochastic block models
Journal of Statistical Mechanics: Theory and Experiment | 2020-08-11 | Paper |
Modeling the coupled return-spread high frequency dynamics of large tick assets
Journal of Statistical Mechanics: Theory and Experiment | 2020-08-11 | Paper |
A dynamic network model with persistent links and node-specific latent variables, with an application to the interbank market
European Journal of Operational Research | 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
Dynamic Games and Applications | 2019-05-03 | Paper |
When panic makes you blind: a chaotic route to systemic risk
Journal of Economic Dynamics and Control | 2019-03-27 | Paper |
Wright meets Markowitz: how standard portfolio theory changes when assets are technologies following experience curves
Journal of Economic Dynamics and Control | 2019-03-27 | Paper |
What really causes large price changes?
Quantitative Finance | 2019-01-15 | Paper |
On the origin of power-law tails in price fluctuations
Quantitative Finance | 2019-01-15 | Paper |
Optimal execution with non-linear transient market impact
Quantitative Finance | 2018-11-19 | Paper |
The role of volume in order book dynamics: a multivariate Hawkes process analysis
Quantitative Finance | 2018-11-19 | Paper |
Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction
Journal of Economic Dynamics and Control | 2018-11-16 | Paper |
Why is equity order flow so persistent?
Journal of Economic Dynamics and Control | 2018-11-15 | Paper |
The impact of systemic and illiquidity risk on financing with risky collateral
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 |
Collective synchronization and high frequency systemic instabilities in financial markets
Quantitative Finance | 2018-11-14 | Paper |
Do firms share the same functional form of their growth rate distribution? A statistical test
Journal of Economic Dynamics and Control | 2018-11-01 | Paper |
The multiplex structure of interbank networks
Quantitative Finance | 2018-09-19 | Paper |
Modelling systemic price cojumps with Hawkes factor models
Quantitative Finance | 2018-09-19 | Paper |
Modelling systemic price cojumps with Hawkes factor models
Quantitative Finance | 2018-09-19 | Paper |
How news affects the trading behaviour of different categories of investors in a financial market
Quantitative Finance | 2018-09-19 | Paper |
Interbank markets and multiplex networks: centrality measures and statistical null models
Understanding Complex Systems | 2017-08-31 | Paper |
Disentangling bipartite and core-periphery structure in financial networks
Chaos, Solitons and Fractals | 2017-02-10 | Paper |
When micro prudence increases macro risk: the destabilizing effects of financial innovation, leverage, and diversification
Operations Research | 2016-12-20 | Paper |
The effect of round-off error on long memory processes
Studies in Nonlinear Dynamics & Econometrics | 2016-01-19 | Paper |
How efficiency shapes market impact
Quantitative Finance | 2014-01-23 | Paper |
Hierarchically nested factor model from multivariate data
Europhysics Letters | 2012-08-11 | Paper |
The non-random walk of stock prices: the long-term correlation between signs and sizes
The European Physical Journal B. Condensed Matter and Complex Systems | 2010-06-25 | Paper |
Cluster analysis for portfolio optimization
Journal of Economic Dynamics and Control | 2010-01-19 | Paper |
Diffusive behavior and the modeling of characteristic times in limit order executions
Quantitative Finance | 2009-11-16 | Paper |
| Spectral properties of correlation matrices for some hierarchically nested factor models | 2008-11-03 | Paper |
SPANNING TREES AND BOOTSTRAP RELIABILITY ESTIMATION IN CORRELATION-BASED NETWORKS
International Journal of Bifurcation and Chaos in Applied Sciences and Engineering | 2008-07-04 | Paper |
There's more to volatility than volume
Quantitative Finance | 2007-05-09 | Paper |
Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary?
Quantitative Finance | 2006-08-21 | Paper |
The Long Memory of the Efficient Market
Studies in Nonlinear Dynamics & Econometrics | 2006-01-27 | Paper |
| scientific article; zbMATH DE number 2067987 (Why is no real title available?) | 2004-05-27 | Paper |
| scientific article; zbMATH DE number 2067988 (Why is no real title available?) | 2004-05-27 | Paper |
Degree stability of a minimum spanning tree of price return and volatility
Physica A | 2003-05-21 | Paper |
Volatility in financial markets: Stochastic models and empirical results
Physica A | 2002-12-03 | Paper |
Levels of complexity in financial markets
Physica A | 2001-10-23 | Paper |
Ensemble properties of securities traded in the NASDAQ market
Physica A | 2001-10-23 | Paper |
STATISTICAL PROPERTIES OF STATISTICAL ENSEMBLES OF STOCK RETURNS
International Journal of Theoretical and Applied Finance | 2001-07-05 | Paper |
