Zooming in on Equity Factor Crowding

E-print: https://arxiv.org/pdf/2001.04185.pdf

You are in a drawdown. When should you start worrying?

E-print: https://arxiv.org/abs/1707.01457

Worst fluctuation method for fast value-at-risk estimates

E-print: http://arxiv.org/abs/cond-mat/9909245

Why is order flow so persistent?

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

Why have asset price properties changed so little in 200 years

E-print: http://arxiv.org/abs/1605.00634

Why do markets crash? Bitcoin data offers unprecedented insights

E-print: http://arxiv.org/abs/1503.06704

Welcome to a non-Black-Scholes world

Article: https://www.tandfonline.com/toc/rquf20/1/5?nav=tocList

Weighted Kolmogorov-Smirnov test: Accounting for the tails

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

Wealth condensation in a simple model of economy

E-print: http://arxiv.org/abs/cond-mat/0002374

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

V-, U-, L-, or W-shaped recovery after COVID? Insights from an Agent Based Model

E-print: https://arxiv.org/abs/2006.08469

 

Unravelling the trading invariance hypothesis

E-print: http://arxiv.org/abs/1602.03011v1

Universality classes for extreme value statistics

E-print: http://arxiv.org/abs/cond-mat/9707047

Universal scaling and nonlinearity of aggregate price impact in financial markets

E-print: https://arxiv.org/abs/1706.04163

Two centuries of trend following

E-print: http://arxiv.org/abs/1404.3274

Trend followers lose more often than they gain

E-print: http://arxiv.org/abs/physics/0508104

Trading lightly: cross-impact and optimal portfolio execution

E-print: https://arxiv.org/abs/1702.03838

Tipping points in macroeconomic agent-based models

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

Theory of collective opinion shifts: from smooth trends to abrupt swings

E-print: http://arxiv.org/abs/cond-mat/0504079

The student ensemble of correlation matrices: eigenvalue spectrum and Kullback-Leibler entropy