Are trading invariants really invariant? Trading costs matter

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

Is ESG an equity factor or just an investment guide?

E-print: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3207372

Universal scaling and nonlinearity of aggregate price impact in financial markets

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

Price impact without order book: A study of the OTC credit index market

E-print: http://arxiv.org/abs/1609.04620

Dissecting cross-impact on stock markets: An empirical analysis

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

Why have asset price properties changed so little in 200 years

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

Linear models for the impact of order flow on prices II. The Mixture Transition Distribution model

E-print: http://arxiv.org/abs/1604.07556

The square-root impact law also holds for option markets

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

Unravelling the trading invariance hypothesis

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

Linear models for the impact of order flow on prices I. Propagators: Transient vs. History Dependent Impact

E-print: http://arxiv.org/abs/1602.02735

The Excess Returns of 'Quality' Stocks: A Behavioral Anomaly

E-print: http://arxiv.org/pdf/1601.04478v1

Do investors trade too much? A laboratory experiment

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

Deconstructing the Low-Vol Anomaly

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

Why do markets crash? Bitcoin data offers unprecedented insights

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

Branching ratio approximation for the self-exciting Hawkes process

Skew and implied leverage effect: smile dynamics revisited

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

The fine structure of volatility feedback II overnight and intra-day effects

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

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

Critical reflexivity in financial markets: a Hawkes process analysis

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