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

Tipping points in macroeconomic agent-based models

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

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

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

A proposal for impact-adjusted valuation: critical leverage and execution risk

E-print: http://arxiv.org/abs/1204.0922

Anomalous price impact and the critical nature of liquidity in financial markets

E-print: http://arxiv.org/abs/1105.1694

Goodness-of-Fit tests with dependent observations

E-print: http://arxiv.org/abs/1106.3016