| Publication | Date of Publication | Type |
|---|
| Decentralized finance and automated market making: predictable loss and optimal liquidity provision | 2024-10-23 | Paper |
| Deep attentive survival analysis in limit order books: estimating fill probabilities with convolutional-transformers | 2024-04-12 | Paper |
| Predictable Losses of Liquidity Provision in Constant Function Markets and Concentrated Liquidity Markets | 2024-01-11 | Paper |
| Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning | 2024-01-05 | Paper |
| AI-driven liquidity provision in OTC financial markets | 2023-06-20 | Paper |
| Double-Execution Strategies Using Path Signatures | 2023-01-04 | Paper |
| Optimal execution with stochastic delay | 2022-12-28 | Paper |
| The Relationship between the Volatility of Returns and the Number of Jumps in Financial Markets | 2022-06-03 | Paper |
| Optimal Cross-Border Electricity Trading | 2022-03-18 | Paper |
| LATENCY AND LIQUIDITY RISK | 2022-03-11 | Paper |
| Adaptive Robust Control in Continuous Time | 2021-10-22 | Paper |
| Online drift estimation for jump-diffusion processes | 2021-09-10 | Paper |
| The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets | 2021-05-04 | Paper |
| Hedging nontradable risks with transaction costs and price impact | 2021-03-23 | Paper |
| Spoofing and Price Manipulation in Order-Driven Markets | 2020-10-20 | Paper |
| Trading Foreign Exchange Triplets | 2020-09-28 | Paper |
| MARKET MAKING WITH ALPHA SIGNALS | 2020-08-05 | Paper |
| Hedge and Speculate: Replicating Option Payoffs with Limit and Market Orders | 2019-11-22 | Paper |
| Market making with minimum resting times | 2019-09-26 | Paper |
| Trading co‐integrated assets with price impact | 2019-05-23 | Paper |
| Foreign exchange markets with last look | 2019-05-08 | Paper |
| Optimal execution with limit and market orders | 2019-02-06 | Paper |
| Enhancing trading strategies with order book signals | 2018-12-03 | Paper |
| Modelling Asset Prices for Algorithmic and High-Frequency Trading | 2018-09-05 | Paper |
| Algorithmic Trading, Stochastic Control, and Mutually Exciting Processes | 2018-08-14 | Paper |
| TRADING STRATEGIES WITHIN THE EDGES OF NO-ARBITRAGE | 2018-06-07 | Paper |
| Algorithmic Trading with Model Uncertainty | 2018-03-12 | Paper |
| IRREVERSIBLE INVESTMENTS AND AMBIGUITY AVERSION | 2017-11-29 | Paper |
| Assessing the Performance of Different Volatility Estimators: A Monte Carlo Analysis | 2017-10-05 | Paper |
| A closed-form execution strategy to target volume weighted average price | 2016-11-11 | Paper |
| Algorithmic trading of co-integrated assets | 2016-10-24 | Paper |
| Incorporating order-flow into optimal execution | 2016-06-29 | Paper |
| Algorithmic trading with learning | 2016-06-22 | Paper |
| Model Uncertainty in Commodity Markets | 2016-01-21 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5263525 | 2015-07-17 | Paper |
| RISK METRICS AND FINE TUNING OF HIGH‐FREQUENCY TRADING STRATEGIES | 2015-07-15 | Paper |
| Buy Low, Sell High: A High Frequency Trading Perspective | 2015-01-20 | Paper |
| Derivatives pricing with marked point processes using tick-by-tick data | 2014-02-08 | Paper |
| How Duration Between Trades of Underlying Securities Affects Option Prices* | 2010-12-17 | Paper |
| Option pricing with Lévy-Stable processes generated by Lévy-Stable integrated variance | 2010-02-05 | Paper |
| Modelling Electricity Prices with Forward Looking Capacity Constraints | 2009-09-13 | Paper |
| Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality | 2006-03-08 | Paper |
