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

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: https://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