Momentum Strategies with L1 Filter

E-print: http://arxiv.org/abs/1403.4069

Branching ratio approximation for the self-exciting Hawkes process

An instanton approach to large N Harish-Chandra-Itzykson-Zuber integrals

E-print: http://arxiv.org/abs/1403.7763

Agent-based models for latent liquidity and concave price impact

Skew and implied leverage effect: smile dynamics revisited

On the emergence of an 'intention field' for socially cohesive agents

E-print: http://arxiv.org/abs/1311.0810

A nested factor model for non-linear dependences in stock returns

The fine structure of volatility feedback II overnight and intra-day effects

Tipping points in macroeconomic agent-based models

E-print: http://arxiv.org/abs/1307.5319

Some applications of first-passage ideas to finance

E-print: http://arxiv.org/abs/1306.3110

A Fokker-Planck description for the queue dynamics of large tick stocks

E-print: http://arxiv.org/abs/1304.6819

Critical reflexivity in financial markets: a Hawkes process analysis

E-print: http://arxiv.org/abs/1302.1405

Eigenvectors dynamic and local density of states under free addition

E-print: http://arxiv.org/abs/1301.4939

Weighted Kolmogorov-Smirnov test: Accounting for the tails

E-print: http://arxiv.org/abs/1207.7308

Invariant β-Wishart ensembles, crossover densities and asymptotic corrections to the Marchenko-Pastur law

E-print: http://arxiv.org/abs/1209.6171

Crises and collective socio-economic phenomena: simple models and challenges

E-print: http://arxiv.org/pdf/1209.0453.pdf

A proposal for impact-adjusted valuation: critical leverage and execution risk

E-print: http://arxiv.org/abs/1204.0922

The fine structure of volatility feedback I: multi-scale self-reflexivity

E-print: http://arxiv.org/abs/1206.2153

Election turnout statistics in many countries: similarities, differences, and a diffusive field model for decision-making

E-print: http://arxiv.org/abs/1201.052

Invariant β-ensembles and the Gauss-Wigner crossover

E-print: http://arxiv.org/abs/1205.3598