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

Option pricing and hedging with minimum expected shortfall

E-print: http://arxiv.org/abs/cond-mat/0308570

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

E-print: http://arxiv.org/abs/cond-mat/03073322

Comment on Two-phase behaviour of financial markets

E-print: http://arxiv.org/abs/cond-mat/0304514

Self-referential behaviour, overreaction and conventions in financial markets

E-print: http://arxiv.org/abs/cond-mat/0303584

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

E-print: http://arxiv.org/abs/cond-mat/0302095

Statistical models for company growth

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

More statistical properties of order books and price impact

E-print: http://arxiv.org/abs/cond-mat/0210710

An introduction to statistical finance

Bubbles, crashes and intermittency in agent based market models

E-print: https://arxiv.org/abs/cond-mat/0206222

Statistical properties of stock order books: empirical results and models

E-print: http://arxiv.org/abs/cond-mat/0203511

The skewed multifractal random walk with applications to option smiles

E-print: https://arxiv.org/abs/cond-mat/0204047

Introducing Variety in Risk Management

E-print: http://arxiv.org/abs/cond-mat/0107208

Microscopic models for long ranged volatility correlations

E-print: http://arxiv.org/abs/cond-mat/0105076

Hedge your Monte Carlo

Published in: Risk Magazine 14 3, 133-136