A shift-optimised Hill-type estimator

E-print: http://arxiv.org/PS_cache/arxiv/pdf/0905/0905.3096v1.pdf

The (unfortunate) complexity of the economy

E-print: http://arxiv.org/abs/0904.0805

Smile dynamics - a theory of the implied leverage effect

Economics needs a scientific revolution

E-print: http://arxiv.org/abs/0810.53066

Optimal Time to Sell a Stock in Black-Scholes Model: Comment on 'Thou shall buy and hold'

How markets slowly digest changes in supply and demand

Stock price jumps: news and volume play a minor role

E-print: http://arxiv.org/abs/0803.1769

Large dimension forecasting models and random singular value spectra

E-print: http://arxiv.org/abs/physics/0512090

The student ensemble of correlation matrices: eigenvalue spectrum and Kullback-Leibler entropy

Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets

E-print: http://arxiv.org/abs/physics/0603084

Trend followers lose more often than they gain

E-print: http://arxiv.org/abs/physics/0508104

Financial applications of Random Matrix Theory: old laces and new pieces

E-print: http://arxiv.org/abs/physics/0507111

On a multi-timescale statistical feedback model for volatility fluctuations

E-print: https://arxiv.org/abs/physics/0507073

Theory of collective opinion shifts: from smooth trends to abrupt swings

E-print: http://arxiv.org/abs/cond-mat/0504079

The dynamics of financial markets - Mandelbrot's multifractal cascades, and beyond

E-print: http://arxiv.org/abs/cond-mat/0501292

Experts' earning forecasts: bias, herding and gossamer information

E-print: http://arxiv.org/abs/cond-mat/0410079

Random walks, liquidity molasses and critical response in financial markets

E-print: http://arxiv.org/abs/cond-mat/0406224

A Non-Gaussian Option Pricing Model with Skew

E-print: http://arxiv.org/abs/cond-mat/0403022

Stiff Field Theory of Interest Rates and Psychological Future Time

E-print: http://arxiv.org/abs/cond-mat/0403713

Exponential weighting and random-matrix-theory-based filtering of financial covariance matrices for portfolio optimisation

E-print: http://arxiv.org/abs/cond-mat/0402573