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: arXiv: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: arXiv:1605.00634

Why do markets crash? Bitcoin data offers unprecedented insights

E print: arXiv:1503.06704

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: arXiv:cond-mat/0002374

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

Unravelling the trading invariance hypothesis

E print: arXiv:1602.03011v1

Universality classes for extreme value statistics

E print: arXiv: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: arXiv: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: arXiv:cond-mat/0504079

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

E-print: http://xxx.lanl.gov/abs/0710.0802

The square-root impact law also holds for option markets

E-print: http://arxiv.org/abs/1602.03043

The skewed multifractal random walk with applications to option smiles

E print: arXiv:cond-mat/0204047

The short-term price impact of trades is universal

E print https://arxiv.org/abs/1702.08029