| Publication | Date of Publication | Type |
|---|
| Wrapping and unwrapping multifractal fields | 2023-10-03 | Paper |
| Sudden trust collapse in networked societies | 2023-07-26 | Paper |
| Multivariate quadratic Hawkes processes—part I: theoretical analysis | 2023-06-20 | Paper |
| Optimal cleaning for singular values of cross-covariance matrices | 2023-06-05 | Paper |
| Matrix Kesten recursion, inverse-Wishart ensemble and fermions in a Morse potential | 2023-02-07 | Paper |
| The inelastic market hypothesis: a microstructural interpretation | 2022-10-14 | Paper |
| Occupation time of a renewal process coupled to a discrete Markov chain | 2022-08-01 | Paper |
| Out-of-equilibrium dynamics and excess volatility in firm networks | 2022-05-16 | Paper |
| Exogenous and endogenous price jumps belong to different dynamical classes | 2022-02-16 | Paper |
| Will Random Cone-wise Linear Systems Be Stable? | 2022-01-04 | Paper |
| On Hawkes Processes with Infinite Mean Intensity | 2021-12-28 | Paper |
| A new spin on optimal portfolios and ecological equilibria | 2021-10-26 | Paper |
| How does latent liquidity get revealed in the limit order book? | 2021-08-17 | Paper |
| Good speciation and endogenous business cycles in a constraint satisfaction macroeconomic model | 2021-08-17 | Paper |
| Optimal multi-asset trading with linear costs: a mean-field approach | 2021-06-02 | Paper |
| Self-planting: digging holes in rough landscapes | 2021-03-16 | Paper |
| Greedy algorithms and Zipf laws | 2021-03-02 | Paper |
| Matrix Kesten Recursion, Inverse-Wishart Ensemble and Fermions in a Morse Potential | 2021-01-20 | Paper |
| Are trading invariants really invariant? Trading costs matter | 2020-12-07 | Paper |
| Endogenous liquidity crises | 2020-11-19 | Paper |
| A First Course in Random Matrix Theory | 2020-10-15 | Paper |
| On a Generalisation of the Marcenko-Pastur Problem | 2020-09-15 | Paper |
| Co-impact: crowding effects in institutional trading activity | 2020-09-14 | Paper |
| Instabilities in large economies: aggregate volatility without idiosyncratic shocks | 2020-08-11 | Paper |
| On the emergence of an ‘intention field’ for socially cohesive agents | 2020-08-11 | Paper |
| On growth-optimal tax rates and the issue of wealth inequalities | 2020-08-11 | Paper |
| From Walras’ auctioneer to continuous time double auctions: a general dynamic theory of supply and demand | 2020-08-11 | Paper |
| Nonlinear price impact from linear models | 2020-08-11 | Paper |
| By force of habit: Self-trapping in a dynamical utility landscape | 2020-08-04 | Paper |
| The Multivariate Kyle Model: More is Different | 2020-06-08 | Paper |
| Co-existence of trend and value in financial markets: estimating an extended Chiarella model | 2020-05-07 | Paper |
| Extreme value problems in random matrix theory and other disordered systems | 2019-10-22 | Paper |
| Two short pieces around the Wigner problem | 2019-10-07 | Paper |
| A nested factor model for non-linear dependencies in stock returns | 2019-02-06 | Paper |
| Market impact with multi-timescale liquidity | 2019-02-06 | Paper |
| Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes | 2019-01-15 | Paper |
| A non-Gaussian option pricing model with skew | 2019-01-15 | Paper |
| Option pricing and hedging with minimum local expected shortfall | 2019-01-15 | Paper |
| Power laws in economics and finance: some ideas from physics | 2019-01-14 | Paper |
| On a universal mechanism for long-range volatility correlations | 2019-01-14 | Paper |
| Correlation structure of extreme stock returns | 2019-01-14 | Paper |
| Statistical properties of stock order books: empirical results and models | 2019-01-14 | Paper |
| The skewed multifractal random walk with applications to option smiles | 2019-01-14 | Paper |
| Quadratic Hawkes processes for financial prices | 2018-11-19 | Paper |
| Tipping points in macroeconomic agent-based models | 2018-11-15 | Paper |
| Linear models for the impact of order flow on prices. I. History dependent impact models | 2018-11-14 | Paper |
| Linear models for the impact of order flow on prices. II. The Mixture Transition Distribution model | 2018-11-14 | Paper |
| The fine structure of volatility feedback. II: Overnight and intra-day effects | 2018-09-20 | Paper |
| The fine-structure of volatility feedback. I: Multi-scale self-reflexivity | 2018-09-20 | Paper |
| A fully consistent, minimal model for non-linear market impact | 2018-09-19 | Paper |
| Random matrix theory and (big) data analysis | 2018-04-23 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5361361 | 2017-09-27 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5359671 | 2017-09-27 | Paper |
| Rotational Invariant Estimator for General Noisy Matrices | 2017-04-28 | Paper |
| Cleaning large correlation matrices: tools from random matrix theory | 2017-04-12 | Paper |
| SKEW AND IMPLIED LEVERAGE EFFECT: SMILE DYNAMICS REVISITED | 2015-07-23 | Paper |
| The eigenvectors of Gaussian matrices with an external source | 2014-12-22 | Paper |
| Eigenvector dynamics under free addition | 2014-11-19 | Paper |
| Revisiting Directed Polymers with heavy-tailed disorder | 2014-11-05 | Paper |
| Instanton Approach to Large $N$ Harish-Chandra-Itzykson-Zuber Integrals | 2014-03-30 | Paper |
| The price impact of order book events: market orders, limit orders and cancellations | 2014-01-24 | Paper |
| Crises and collective socio-economic phenomena: simple models and challenges | 2013-06-07 | Paper |
| Invariant β-Wishart ensembles, crossover densities and asymptotic corrections to the Marčenko–Pastur law | 2013-01-24 | Paper |
| On the top eigenvalue of heavy-tailed random matrices | 2012-08-11 | Paper |
| THE JOINT DISTRIBUTION OF STOCK RETURNS IS NOT ELLIPTICAL | 2012-06-25 | Paper |
| Invariant $\beta$-ensembles and the Gauss-Wigner crossover | 2012-05-16 | Paper |
| Eigenvector dynamics: general theory and some applications | 2012-03-28 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3105281 | 2012-01-05 | Paper |
| Benoit Mandelbrot: a personal tribute | 2011-03-28 | Paper |
| Spatial correlations in vote statistics: a diffusive field model for decision-making | 2011-01-04 | Paper |
| Large dimension forecasting models and random singular value spectra | 2010-06-25 | Paper |
| Theory of Financial Risk and Derivative Pricing | 2009-08-03 | Paper |
| Theory of Financial Risk and Derivative Pricing | 2009-07-03 | Paper |
| Optimal time to sell a stock in the Black–Scholes model: comment on ‘Thou shalt buy and hold’, by A. Shiryaev, Z. Xu and X.Y. Zhou | 2009-02-23 | Paper |
| Freezing and extreme-value statistics in a random energy model with logarithmically correlated potential | 2008-10-08 | Paper |
| Statistical mechanics of a single particle in a multiscale random potential: Parisi landscapes in finite-dimensional Euclidean spaces | 2008-09-01 | Paper |
| Relation between bid–ask spread, impact and volatility in order-driven markets | 2008-08-07 | Paper |
| TheKolmogorov Legacy in Physics | 2008-06-30 | Paper |
| Random walks, liquidity molasses and critical response in financial markets | 2006-08-21 | Paper |
| EXPERTS' EARNING FORECASTS: BIAS, HERDING AND GOSSAMER INFORMATION | 2005-12-15 | Paper |
| The Kovacs effect in model glasses | 2005-10-18 | Paper |
| OPTION PRICING AND HEDGING WITH TEMPORAL CORRELATIONS | 2005-06-22 | Paper |
| Multiple time scales in volatility and leverage correlations: a stochastic volatility model | 2005-02-18 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4810064 | 2004-08-31 | Paper |
| Dynamical ultrametricity in the critical trap model | 2004-06-09 | Paper |
| Temperature shifts in the Sinai model: static and dynamical effects | 2004-06-09 | Paper |
| Renormalization group approach to error-correcting codes | 2004-06-09 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4464585 | 2004-05-27 | Paper |
| Statistical models for company growth | 2003-07-13 | Paper |
| Volatility clustering in agent based market models | 2003-05-21 | Paper |
| More statistical properties of order books and price impact | 2003-05-21 | Paper |
| An introduction to statistical finance | 2002-09-24 | Paper |
| Phenomenology of the interest rate curve | 2002-09-04 | Paper |
| Levy Statistics and Laser Cooling | 2002-05-12 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4524816 | 2002-02-25 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2760406 | 2002-01-06 | Paper |
| Microscopic models for long ranged volatility correlations | 2001-10-23 | Paper |
| More stylized facts of financial markets: leverage effect and downside correlations | 2001-10-23 | Paper |
| EXPLAINING THE FORWARD INTEREST RATE TERM STRUCTURE | 2001-10-23 | Paper |
| RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS | 2001-10-23 | Paper |
| Proliferation assisted transport in a random environment | 2001-09-11 | Paper |
| Jamming and static stress transmission in granular materials | 2001-08-14 | Paper |
| Back to basics: historical option pricing revisited | 2001-06-27 | Paper |
| Universality classes for extreme-value statistics | 2001-01-29 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4524819 | 2001-01-15 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4523525 | 2001-01-14 | Paper |
| Hedged Monte-Carlo: low variance derivative pricing with objective probabilities | 2001-01-09 | Paper |
| Elements for a theory of financial risks | 2000-08-29 | Paper |
| HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS | 2000-01-01 | Paper |
| AN EMPIRICAL INVESTIGATION OF THE FORWARD INTEREST RATE TERM STRUCTURE | 2000-01-01 | Paper |
| Development of stresses in cohesionless poured sand | 1999-06-09 | Paper |
| Localization in one-dimensional random random walks | 1999-04-06 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4218375 | 1998-11-11 | Paper |
| Models of traps and glass phenomenology | 1998-09-30 | Paper |
| Entropy barriers and slow relaxation in some random walk models | 1997-11-26 | Paper |
| Self-consistent screening approximation for critical dynamics | 1997-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4850573 | 1996-01-15 | Paper |
| Long time, large scale properties of the noisy driven-diffusion equation | 1995-02-26 | Paper |
| The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes | 1994-07-21 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3795421 | 1988-01-01 | Paper |
| Critical behaviour and intermittency in Sinai's billiard | 1986-01-01 | Paper |
| Rigorous bounds and the replica method for products of random matrices | 1986-01-01 | Paper |
