Branching ratio approximation for the self-exciting Hawkes process

Bubbles, crashes and intermittency in agent based market models

E-print: https://arxiv.org/abs/cond-mat/0206222

Cleaning correlation matrices

Co-existence of Trend and Value in financial markets: Estimating an Extended Chiarella Model

E-print: https://arxiv.org/abs/1807.11751

Co-impact: Crowding effects in institutional trading activity

E-print: https://arxiv.org/pdf/1804.09565.pdf

 

Comment on Turbulent cascades in foreign exchange markets

E-print: http://arxiv.org/abs/cond-mat/9607120

Comment on Two-phase behaviour of financial markets

E-print: http://arxiv.org/abs/cond-mat/0304514

Conditional Correlations and Principal Regression Analysis for Futures

E-print: https://arxiv.org/abs/1912.12354

Correlation structure of extreme stock returns

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

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

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

Critical reflexivity in financial markets: a Hawkes process analysis

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

Crossover from linear to square-root market impact

E-print: https://arxiv.org/abs/1811.05230

Deconstructing the Low-Vol Anomaly

E-print: http://arxiv.org/abs/1510.01679

Deep deterministic portfolio optimisation

E-print: https://arxiv.org/abs/2003.06497

Dissecting cross-impact on stock markets: An empirical analysis

E-print: http://arxiv.org/abs/1609.02395

Do investors trade too much? A laboratory experiment

E-print: http://arxiv.org/abs/1512.03743v1

Economics needs a scientific revolution

E-print: http://arxiv.org/abs/0810.53066

Econophysics: still fringe after 30 years?

E-print: https://arxiv.org/abs/1901.03691

Eigenvector dynamics: theory and some applications

E-print: https://arxiv.org/abs/1203.6228

Eigenvectors dynamic and local density of states under free addition

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