Random walks, liquidity molasses and critical response in financial markets

E print: arXiv:cond-mat/0406224

A Non-Gaussian Option Pricing Model with Skew

E print: arXiv:cond-mat/0403022

Stiff Field Theory of Interest Rates and Psychological Future Time

E print: arXiv:cond-mat/0403713

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

E print: arXiv:cond-mat/0402573

Option pricing and hedging with minimum expected shortfall

E print: arXiv:cond-mat/0308570

Fluctuations and response in financial markets: the subtle nature of 'random' price changes

E print:arXiv:cond-mat/0307332

Comment on Two-phase behaviour of financial markets

E print: arXiv:cond-mat/0304514

Self-referential behaviour, overreaction and conventions in financial markets

E print: arXiv:cond-mat/0303584

Multiple time scales in volatility and leverage correlation: A stochastic volatility model

E print: arXiv:cond-mat/0302095

More statistical properties of order books and price impact

E print: arXiv:cond-mat/0210710

Statistical models for company growth

Published in: Physica A, Elsevier, 2003, 326, pp.241-255

An introduction to statistical finance

Bubbles, crashes and intermittency in agent based market models

E print: arXiv:cond-mat/0206222

Statistical properties of stock order books: empirical results and models

E print: arXiv:cond-mat/0203511

The skewed multifractal random walk with applications to option smiles

E print: arXiv:cond-mat/0204047

Introducing Variety in Risk Management

E print: arXiv:cond-mat/0107208

Microscopic models for long ranged volatility correlations

E print: arXiv:cond-mat/0105076

Hedge your Monte Carlo

Published in: Risk Magazine 14 3, 133-136

More stylized facts of financial markets: leverage effect and downside correlations

Published:  Physica A: Statistical Mechanics and its Applications - Volume 299, Issues 1–2, 1 October 2001, Pages 60–70

 

The leverage effect in financial markets: retarded volatility and market panic

E print: arXiv:cond-mat/0101120