| Publication | Date of Publication | Type |
|---|
| Statistical inference for rough volatility: minimax theory | 2024-10-18 | Paper |
| Volatility is rough | 2024-09-06 | Paper |
| Statistical inference for rough volatility: central limit theorems | 2024-08-22 | Paper |
| AHEAD: \textit{ad hoc} electronic auction design | 2024-07-31 | Paper |
| On the universality of the volatility formation process: when machine learning and rough volatility agree | 2024-06-04 | Paper |
| Market Making and Incentives Design in the Presence of a Dark Pool: A Stackelberg Actor–Critic Approach | 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 | 2023-11-23 | Paper |
| Optimal make–take fees for market making regulation | 2023-09-27 | Paper |
| A characterisation of cross-impact kernels | 2023-06-26 | Paper |
| An expansion formula for Hawkes processes and application to cyber-insurance derivatives | 2023-05-17 | Paper |
| Optimal Liquidity-Based Trading Tactics | 2022-06-24 | Paper |
| Optimal Auction Duration: A Price Formation Viewpoint | 2022-02-16 | Paper |
| From microscopic price dynamics to multidimensional rough volatility models | 2022-01-18 | Paper |
| Algorithmic and High-Frequency Trading | 2021-09-03 | Paper |
| Optimal Make-Take Fees in a Multi Market-Maker Environment | 2021-05-17 | Paper |
| No‐arbitrage implies power‐law market impact and rough volatility | 2021-03-23 | Paper |
| The Zumbach effect under rough Heston | 2020-09-14 | Paper |
| Short-Term At-the-Money Asymptotics under Stochastic Volatility Models | 2019-07-10 | Paper |
| Linear and Conic Programming Estimators in High Dimensional Errors-in-variables Models | 2019-05-09 | Paper |
| The characteristic function of rough Heston models | 2019-05-08 | Paper |
| Perfect hedging in rough Heston models | 2018-12-17 | Paper |
| Estimation of Volatility Functionals: The Case of a $$\sqrt{n}$$ Window | 2018-12-11 | Paper |
| Volatility is rough | 2018-11-14 | Paper |
| Fractional Brownian motion with zero Hurst parameter: a rough volatility viewpoint | 2018-10-24 | Paper |
| Asymptotic optimal tracking: feedback strategies | 2018-09-04 | Paper |
| On the Law of a Triplet Associated with the Pseudo-Brownian Bridge | 2018-06-21 | Paper |
| The microstructural foundations of leverage effect and rough volatility | 2018-04-06 | Paper |
| Ergodicity and Diffusivity of Markovian Order Book Models: A General Framework | 2018-03-12 | Paper |
| Asymptotic lower bounds for optimal tracking: a linear programming approach | 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 | 2017-10-13 | Paper |
| The Different Asymptotic Regimes of Nearly Unstable Autoregressive Processes | 2017-01-16 | Paper |
| Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes | 2016-12-09 | Paper |
| An \(\{\ell_{1},\ell_{2},\ell_{\infty}\}\)-regularization approach to high-dimensional errors-in-variables models | 2016-09-07 | Paper |
| Optimal discretization of hedging strategies with directional views | 2016-03-31 | Paper |
| Some explicit formulas for the Brownian bridge, Brownian meander and Bessel process under uniform sampling | 2016-02-12 | Paper |
| Optimization and statistical methods for high frequency finance | 2016-01-29 | Paper |
| Random scaling and sampling of Brownian motion | 2016-01-12 | Paper |
| Improved matrix uncertainty selector | 2015-07-30 | Paper |
| Limit theorems for nearly unstable Hawkes processes | 2015-04-27 | Paper |
| Testing the local volatility assumption: a statistical approach | 2014-11-12 | Paper |
| Asymptotically optimal discretization of hedging strategies with jumps | 2014-06-13 | Paper |
| On the expectation of normalized Brownian functionals up to first hitting times | 2014-05-02 | Paper |
| Estimating the efficient price from the order flow: a Brownian Cox process approach | 2014-04-28 | Paper |
| Quarticity and other functionals of volatility: efficient estimation | 2013-09-25 | Paper |
| Estimation of the lead-lag parameter from non-synchronous data | 2013-05-30 | Paper |
| Testing the type of a semi-martingale: Itō against multifractal | 2013-05-27 | Paper |
| VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS | 2013-02-28 | Paper |
| Central limit theorems for realized volatility under hitting times of an irregular grid | 2012-10-26 | Paper |
| Testing the finiteness of the support of a distribution: a statistical look at Tsirelson's equation | 2012-10-23 | Paper |
| A new microstructure noise index | 2011-07-28 | Paper |
| Asymptotic results for time-changed Lévy processes sampled at hitting times | 2011-07-08 | Paper |
| Sparse recovery under matrix uncertainty | 2010-11-15 | Paper |
| Integrated volatility and round-off error | 2010-11-12 | Paper |
| On the limiting spectral distribution of the covariance matrices of time-lagged processes | 2010-11-10 | Paper |
| On the Microstructural Hedging Error | 2010-08-11 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3550814 | 2010-04-06 | Paper |
| First order \(p\)-variations and Besov spaces | 2009-01-21 | Paper |
| Estimation of the volatility persistence in a discretely observed diffusion model | 2008-08-13 | Paper |
| Weak dependence for infinite ARCH-type bilinear models | 2007-12-03 | Paper |
