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

More statistical properties of order books and price impact

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

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

Published in: 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: http://arxiv.org/abs/cond-mat/0101120

Welcome to a non-Black-Scholes world

Article: https://www.tandfonline.com/toc/rquf20/1/5?nav=tocList

Option pricing and hedging with temporal correlations

E-print: https://arxiv.org/abs/cond-mat/0011506

Hedged Monte-Carlo: low variance derivative pricing with objective probabilities

E-print: http://arxiv.org/abs/cond-mat/0008147

Power-laws in economics and finance: some ideas from physics

E-print: http://arxiv.org/abs/cond-mat/0008103

Correlation structure of extreme stock returns

E-print: http://arxiv.org/abs/cond-mat/0006034