Why and how systematic strategies decay

E-print:https://arxiv.org/abs/2105.01380

 

Is Factor Momentum More than Stock Momentum?

E-print:https://arxiv.org/abs/2009.04824

 

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

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

 

Econophysics: still fringe after 30 years?

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

Sticky Expectations and the Profitability Anomaly

E-print: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2742730

Mini-symposium on automatic differentiation and its applications in the financial industry

E-print: https://doi.org/10.1051/proc/201759056

Nonlinear price impact from linear models

A fractional reaction-diffusion description of supply and demand

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

Quadratic Hawkes processes for financial prices

On growth-optimal tax rates and the issue of wealth inequalities

E-print: http://arxiv.org/abs/1508.00275v2

From Walras' auctioneer to continuous time double auctions: A general dynamic theory of supply and demand

E-print: http://arxiv.org/abs/1506.03758

Monetary Policy and Dark Corners in a stylized Agent-Based Model

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

Explore or exploit? A generic model and an exactly solvable case

E-print: http://arxiv.org/abs/1310.5114

Sudden trust collapse in networked societies

E-print: http://arxiv.org/abs/1409.8321

Endogenous crisis waves: a stochastic model with synchronised collective behavior

E-print: http://arxiv.org/abs/1409.3296

Instabilities in large economies: aggregate volatility without idiosyncratic shocks

Anomalous impact in reaction-diffusion models

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

Agent-based models for latent liquidity and concave price impact

On the emergence of an 'intention field' for socially cohesive agents

E-print: http://arxiv.org/abs/1311.0810