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

E print: arXiv: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: arXiv:1206.2153

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

E print: arXiv:1201.0524

Invariant β-ensembles and the Gauss-Wigner crossover

E print: arXiv:1205.3598

We've walked a million miles for one of these smiles

Optimal Trading with Linear Costs

The joint distribution of stock returns is not elliptical

E print http://arxiv.org/pdf/1009.1100.pdf

Anomalous price impact and the critical nature of liquidity in financial markets

E print http://arxiv.org/abs/1105.1694

Why is order flow so persistent?

E print http://arxiv.org/abs/1108.1632

Goodness-of-Fit tests with dependent observations

E print http://arxiv.org/abs/1106.3016

Eigenvector dynamics: theory and some applications

E print arxiv.org/abs/1203.6228

Models for the impact of all order book events

E print http://arxiv.org/abs/1107.3364

Smile dynamics - a theory of the implied leverage effect:ERRATUM

E print http://arxiv.org/abs/1105.5082

How does the market react to your order flow?

E print http://arxiv.org/abs/1104.0587

Principal Regression Analysis and the index leverage effect

E print http://arxiv.org/abs/1011.5810 ;

Individual and collective stock dynamics: intra-day seasonalities

E print http://arxiv.org/PS_cache/arxiv/pdf/1009/1009.4785v1.pdf

The price impact of order book events: market orders, limit orders and cancellations

E print http://arxiv.org/abs/0904.0900

The endogenous dynamics of markets: price impact and feedback loops

E print http://arxiv.org/PS_cache/arxiv/pdf/1009/1009.2928v1.pdf