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

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

A fractional reaction-diffusion description of supply and demand

E-print: https://arxiv.org/abs/1704.02638

A fully consistent, minimal model for non-linear market impact

A Langevin approach to stock market fluctuations and crashes

E-print: http://arxiv.org/abs/cond-mat/9801279

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

A Non-Gaussian Option Pricing Model with Skew

E-print: http://arxiv.org/abs/cond-mat/0403022

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

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

A shift-optimised Hill-type estimator

E-print: http://arxiv.org/PS_cache/arxiv/pdf/0905/0905.3096v1.pdf

Agent-based models for latent liquidity and concave price impact

Agnostic Risk Parity: Taming Known and Unknown-Unknowns

E-print: https://arxiv.org/abs/1610.08818

An empirical investigation of the forward interest rate term structure

E-print: http://arxiv.org/abs/cond-mat/9907297

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

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

An introduction to statistical finance

Anomalous impact in reaction-diffusion models

E-print: http://arxiv.org/abs/1403.3571

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

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

Apparent multifractality in financial time series

E-print: http://arxiv.org/abs/cond-mat/9906347

Are financial crashes predictable?

E-print: http://arxiv.org/abs/cond-mat/9804111

Are trading invariants really invariant? Trading costs matter

E-print: https://arxiv.org/abs/1902.03457

Back to basics: historical option pricing revisited

E-print: http://arxiv.org/abs/cond-mat/9808206

Black was right: Price is within a factor 2 of Value

E-print: https://ssrn.com/abstract=3070850