1. A Stochastic Volatility Approximation for a Tick-By-Tick Price Model with Mean-Field Interaction. (2025). Pigato, Paolo ; Pra, Paolo Dai.
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2. Optimal Liquidation with Signals: the General Propagator Case. (2025). Jaber, Eduardo Abi ; Neuman, Eyal.
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   RePEc:hal:journl:hal-03835948.

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3. Nonnegativity preserving convolution kernels. Application to Stochastic Volterra Equations in closed convex domains and their approximation. (2025). Alfonsi, Aurlien.
   In: Stochastic Processes and their Applications.
   RePEc:eee:spapps:v:181:y:2025:i:c:s0304414924002436.

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4. Agent-based Liquidity Risk Modelling for Financial Markets. (2025). Stillman, Namid ; Baggott, Rory ; Vytelingum, Perukrishnen ; Zhang, Jianfei ; Chen, Tao ; Zhu, Dingqiu ; Lyon, Justin.
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5. A stochastic volatility approximation for a tick-by-tick price model with mean-field interaction. (2025). Pigato, Paolo ; Pra, Paolo Dai.
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   RePEc:arx:papers:2504.03445.

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6. Randomization in Optimal Execution Games. (2025). Campbell, Steven ; Nutz, Marcel.
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   RePEc:arx:papers:2503.08833.

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7. To Hedge or Not to Hedge: Optimal Strategies for Stochastic Trade Flow Management. (2025). Gu, Olivier ; Bergault, Philippe ; Bodor, Hamza.
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   RePEc:arx:papers:2503.02496.

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8. In-Context Operator Learning for Linear Propagator Models. (2025). Farolfi, Giulio ; Detering, Nils ; Voss, Moritz ; Meng, Tingwei ; Menz, Georg ; Osher, Stanley.
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9. Deep Learning Meets Queue-Reactive: A Framework for Realistic Limit Order Book Simulation. (2025). Bodor, Hamza ; Carlier, Laurent.
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   RePEc:arx:papers:2501.08822.

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10. MarS: a Financial Market Simulation Engine Powered by Generative Foundation Model. (2025). Liu, Yang ; Fang, Shikai ; Wang, Lewen ; Bian, Jiang ; Xu, Chang.
    In: Papers.
    RePEc:arx:papers:2409.07486.

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11. Statistical Learning with Sublinear Regret of Propagator Models. (2025). Zhang, Yufei ; Neuman, Eyal.
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    RePEc:arx:papers:2301.05157.

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12. Optimal liquidation using extended trading close for multiple trading days. (2024). Zhu, Jianchang ; Sun, Xuchu ; Zhang, Leilei.
    In: Financial Innovation.
    RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-024-00613-7.

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13. A theory of passive market impact. (2024). Szymanski, Gr'Egoire ; Rosenbaum, Mathieu ; Chahdi, Youssef Ouazzani.
    In: Papers.
    RePEc:arx:papers:2412.07461.

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14. Competitive equilibria in trading. (2024). Chriss, Neil A.
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    RePEc:arx:papers:2410.13583.

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15. Optimal position-building strategies in competition. (2024). Chriss, Neil A.
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    RePEc:arx:papers:2409.03586.

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16. Can market volumes reveal traders rationality and a new risk premium?. (2024). Wang, Tai-Ho ; Giacalone, Roberto ; Recchioni, Maria Cristina ; Mariani, Francesca.
    In: Papers.
    RePEc:arx:papers:2406.05854.

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17. Trade execution games in a Markovian environment. (2024). Ohnishi, Masamitsu ; Shimoshimizu, Makoto.
    In: Papers.
    RePEc:arx:papers:2405.07184.

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18. Optimal Portfolio Choice with Cross-Impact Propagators. (2024). Tuschmann, Sturmius ; Neuman, Eyal ; Jaber, Eduardo Abi.
    In: Papers.
    RePEc:arx:papers:2403.10273.

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19. Nonnegativity preserving convolution kernels. Application to Stochastic Volterra Equations in closed convex domains and their approximation. (2024). Alfonsi, Aur'Elien.
    In: Papers.
    RePEc:arx:papers:2302.07758.

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20. Deep learning for high-dimensional continuous-time stochastic optimal control without explicit solution. (2024). Hainaut, Donatien ; Dupret, Jean-Loup.
    In: LIDAM Discussion Papers ISBA.
    RePEc:aiz:louvad:2024016.

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21. Diversification and Systemic Risk of Networks Holding Common Assets. (2023). Liu, Taoxiong ; Huang, Yajing.
    In: Computational Economics.
    RePEc:kap:compec:v:61:y:2023:i:1:d:10.1007_s10614-021-10211-9.

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22. Portfolio homogeneity and systemic risk of financial networks. (2023). Liu, Taoxiong ; Huang, Yajing ; Lien, Donald.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:70:y:2023:i:c:p:248-275.

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23. Optimal liquidation with temporary and permanent price impact, an application to cryptocurrencies. (2023). Sanchez, J F ; Ramirez, H.
    In: Documentos de Trabajo.
    RePEc:col:000092:020669.

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24. Portfolio Choice In Dynamic Thin Markets: Merton Meets Cournot. (2023). Jacka, Saul D ; Gupta, Puru.
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    RePEc:arx:papers:2309.16047.

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25. PRIME: A Price-Reverting Impact Model of a cryptocurrency Exchange. (2023). Norman, Timothy J ; Nunes, Manuel ; Cho, Christopher J.
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    RePEc:arx:papers:2305.07559.

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26. Optimal liquidation with temporary and permanent price impact, an application to cryptocurrencies. (2023). Sanchez, Juli'An Fernando ; Ramirez, Hugo E.
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    RePEc:arx:papers:2303.10043.

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27. Do price trajectory data increase the efficiency of market impact estimation?. (2023). Nevmyvaka, Yuriy ; Ihnatiuk, Vitalii ; Kinnear, Ryan ; Li, Fengpei ; Schneider, Anderson.
    In: Papers.
    RePEc:arx:papers:2205.13423.

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28. Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies. (2023). Horst, Ulrich ; Kivman, Evgueni.
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    RePEc:arx:papers:2103.05957.

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29. Optimal liquidation under indirect price impact with propagator. (2023). Dupret, Jean-Loup ; Hainaut, Donatien.
    In: LIDAM Discussion Papers ISBA.
    RePEc:aiz:louvad:2023012.

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30. A Finite Difference Scheme for Pairs Trading with Transaction Costs. (2022). Li, Zequn ; Tourin, Agnes.
    In: Computational Economics.
    RePEc:kap:compec:v:60:y:2022:i:2:d:10.1007_s10614-021-10159-w.

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31. Optimal Pair–Trade Execution with Generalized Cross–Impact. (2022). Ohnishi, Masamitsu ; Shimoshimizu, Makoto.
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:29:y:2022:i:2:d:10.1007_s10690-021-09349-1.

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32. Optimal Liquidation with Signals: the General Propagator Case. (2022). Neuman, Eyal ; Jaber, Eduardo Abi.
    In: Working Papers.
    RePEc:hal:wpaper:hal-03835948.

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33. Market Impact: Empirical Evidence, Theory and Practice. (2022). Said, Emilio.
    In: Working Papers.
    RePEc:hal:wpaper:hal-03668669.

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34. Derivatives under market impact: Disentangling cost and information. (2022). Barigou, Karim ; Alimoradian, Behzad ; Eyraud-Loisel, Anne.
    In: Working Papers.
    RePEc:hal:wpaper:hal-03668432.

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35. Do fundamentals shape the price response? A critical assessment of linear impact models. (2022). Toth, Bence ; Vodret, Michele ; Benzaquen, Michael ; Mastromatteo, Iacopo.
    In: Post-Print.
    RePEc:hal:journl:hal-03797375.

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36. Optimal liquidation problem in illiquid markets. (2022). Sadoghi, Amirhossein ; Vecer, Jan.
    In: Post-Print.
    RePEc:hal:journl:hal-03696768.

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37. Mean–Variance Portfolio Efficiency under Leverage Aversion and Trading Impact. (2022). Jeong, Jaehwan ; Edirisinghe, Chanaka.
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    RePEc:gam:jjrfmx:v:15:y:2022:i:3:p:98-:d:756769.

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38. Optimal liquidation problem in illiquid markets. (2022). Vecer, Jan ; Sadoghi, Amirhossein.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:296:y:2022:i:3:p:1050-1066.

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39. Optimal Liquidation with Signals: the General Propagator Case. (2022). Neuman, Eyal ; Jaber, Eduardo Abi.
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    RePEc:arx:papers:2211.00447.

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40. Market Impact: Empirical Evidence, Theory and Practice. (2022). Said, Emilio.
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    RePEc:arx:papers:2205.07385.

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41. Multi-asset optimal execution and statistical arbitrage strategies under Ornstein-Uhlenbeck dynamics. (2022). Bergault, Philippe ; Gu, Olivier ; Drissi, Fayccal.
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    RePEc:arx:papers:2103.13773.

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42. Market Impact: A Systematic Study of Limit Orders. (2022). Markets, Global ; Abergel, Frederic ; Fr'ed'eric Abergel, ; Said, Emilio ; Paribas, Bnp ; Husson, Alexandre ; Hadj, Ahmed Bel ; Bel, Ahmed ; Ayed, Hadj.
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43. Liquidity Stress Testing in Asset Management - Part 2. Modeling the Asset Liquidity Risk. (2021). Roncalli, Thierry ; Regnault, Margaux ; Karray-Meziou, Fatma ; Cherief, Amina.
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44. Research on the Effects of Institutional Liquidation Strategies on the Market Based on Multi-agent Model. (2021). Shi, YU ; Zhou, Xuan ; Luo, Qixuan ; Li, Handong.
    In: Computational Economics.
    RePEc:kap:compec:v:58:y:2021:i:4:d:10.1007_s10614-020-09987-z.

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45. The Analysis of Some Trading Strategy on the Stock Market with the Liquidity Shortage. (2021). Kocinski, Marek Andrzej.
    In: European Research Studies Journal.
    RePEc:ers:journl:v:xxiv:y:2021:i:4:p:273-286.

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46. The Analysis of Some Trading Strategy on the Stock Market with the Liquidity Shortage. (2021). Kocinski, Marek Andrzej.
    In: European Research Studies Journal.
    RePEc:ers:journl:v:xxiv:y:2021:i:4-part1:p:273-286.

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47. A closed formula for illiquid corporate bonds and an application to the European market. (2021). Baviera, Roberto ; Nastasi, Emanuele ; Nassigh, Aldo.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:71:y:2021:i:c:s1042443121000020.

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48. Do fundamentals shape the price response? A critical assessment of linear impact models. (2021). Vodret, Michele ; Benzaquen, Michael ; Mastromatteo, Iacopo.
    In: Papers.
    RePEc:arx:papers:2112.04245.

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49. A characterisation of cross-impact kernels. (2021). Tomas, Mehdi ; Rosenbaum, Mathieu.
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    RePEc:arx:papers:2107.08684.

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50. Liquidity Stress Testing in Asset Management -- Part 2. Modeling the Asset Liquidity Risk. (2021). Roncalli, Thierry ; Regnault, Margaux ; Karray-Meziou, Fatma ; Cherief, Amina.
    In: Papers.
    RePEc:arx:papers:2105.08377.

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51. Order flow and price formation. (2021). Lillo, Fabrizio.
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    RePEc:arx:papers:2105.00521.

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52. Price formation and optimal trading in intraday electricity markets. (2021). Tankov, Peter ; Tinsi, Laura.
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    RePEc:arx:papers:2009.04786.

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53. Optimal trade execution in an order book model with stochastic liquidity parameters. (2021). Kruse, Thomas ; Urusov, Mikhail ; Ackermann, Julia.
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    RePEc:arx:papers:2006.05843.

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54. Applications of Machine Learning to Estimating the Sizes and Market Impact of Hidden Orders in the BRICS Financial Markets. (2020). Maake, Witness ; van Zyl, Terence.
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    RePEc:pra:mprapa:99075.

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55. Optimal liquidation trajectories for the Almgren-Chriss model. (2020). Xu, Junwei ; Lokka, A.
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    RePEc:ehl:lserod:106977.

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56. No‐arbitrage implies power‐law market impact and rough volatility. (2020). Jusselin, Paul ; Rosenbaum, Mathieu.
    In: Mathematical Finance.
    RePEc:bla:mathfi:v:30:y:2020:i:4:p:1309-1336.

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57. When does the tail wag the dog? Curvature and market making. (2020). Chitra, Tarun ; Angeris, Guillermo ; Evans, Alex.
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    RePEc:arx:papers:2012.08040.

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58. Comparing the market microstructure between two South African exchanges. (2020). Gebbie, Tim ; Chang, Patrick ; Jericevich, Ivan.
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59. On Detecting Spoofing Strategies in High Frequency Trading. (2020). Tao, Xuan ; Drapeau, Samuel ; Ling, Lan ; Day, Andrew.
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60. Adaptive trading strategies across liquidity pools. (2020). Manziuk, Iuliia ; Baldacci, Bastien.
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61. A central bank strategy for defending a currency peg. (2020). Xue, Xiaole ; Neuman, Eyal ; Weng, Chengguo ; Schied, Alexander.
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62. Optimal execution with liquidity risk in a diffusive order book market. (2020). Lee, Kiseop.
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63. Optimal liquidation for a risk averse investor in a one-sided limit order book driven by a Levy process. (2020). Xu, Junwei ; Lokka, Arne.
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64. Optimal liquidation trajectories for the Almgren-Chriss model with Levy processes. (2020). Xu, Junwei ; Lokka, Arne.
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65. Conservation Laws in a Limit Order Book. (2020). Rosenzweig, Jan.
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66. Risk management with machine-learning-based algorithms. (2020). Warin, Xavier ; Fecamp, Simon ; Mikael, Joseph.
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67. A closed formula for illiquid corporate bonds and an application to the European market. (2020). Baviera, Roberto ; Nastasi, Emanuele ; Nassigh, Aldo.
    In: Papers.
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68. Portfolio Choice with Small Temporary and Transient Price Impact. (2020). Muhle-Karbe, Johannes ; Ekren, Ibrahim.
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69. A Market Impact Game Under Transient Price Impact. (2019). Zhang, Tao ; Schied, Alexander.
    In: Mathematics of Operations Research.
    RePEc:inm:ormoor:v:44:y:2019:i:1:p:102-121.

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70. How Option Hedging Shapes Market Impact. (2019). Abergel, Frederic ; Said, Emilio.
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71. A MEAN FIELD GAME OF PORTFOLIO TRADING AND ITS CONSEQUENCES ON PERCEIVED CORRELATIONS. (2019). LEHALLE, Charles-Albert ; Mouzouni, Charafeddine.
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72. An FBSDE approach to market impact games with stochastic parameters. (2019). Drapeau, Samuel ; Luo, Peng ; Xiong, Dewen ; Schied, Alexander.
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73. Get Real: Realism Metrics for Robust Limit Order Book Market Simulations. (2019). Balch, Tucker Hybinette ; Vyetrenko, Svitlana ; Petosa, Nick ; Veloso, Manuela ; Mahfouz, Mahmoud ; Byrd, David ; Dervovic, Danial.
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74. How Option Hedging Shapes Market Impact. (2019). Fr'ed'eric Abergel, ; Said, Emilio.
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75. A Mean Field Game of Portfolio Trading and Its Consequences On Perceived Correlations. (2019). LEHALLE, Charles-Albert ; Mouzouni, Charafeddine.
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76. Optimal VWAP execution under transient price impact. (2019). Lillo, Fabrizio ; Barzykin, Alexander.
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77. Optimal execution with dynamic risk adjustment. (2019). Cheng, Xue ; Wang, Tai-Ho ; di Giacinto, Marina.
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78. Nash equilibrium for risk-averse investors in a market impact game with transient price impact. (2019). Luo, Xiangge ; Schied, Alexander.
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79. Learning zero-cost portfolio selection with pattern matching. (2018). Gebbie, Tim ; Loonat, Fayyaaz.
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80. Market Impact: A systematic study of limit orders. (2018). Abergel, Frederic ; Said, Emilio ; Husson, Alexandre ; Hadj, Ahmed Bel.
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81. Market Impact: A Systematic Study of Limit Orders. (2018). Hadj, Ahmed Bel ; Abergel, Frederic ; Said, Emilio ; Husson, Alexandre.
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    RePEc:hal:journl:hal-01561128.

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82. Optimal trade execution under endogenous pressure to liquidate: Theory and numerical solutions. (2018). Černý, Aleš ; ÄŒerný, AleÅ¡ ; Brunovsk, Pavol ; Komadel, Jan.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:264:y:2018:i:3:p:1159-1171.

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83. Cross-Sectional Variation of Intraday Liquidity, Cross-Impact, and their Effect on Portfolio Execution. (2018). Min, Seungki ; Maglaras, Costis ; Moallemi, Ciamac C.
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84. No-arbitrage implies power-law market impact and rough volatility. (2018). Jusselin, Paul ; Rosenbaum, Mathieu.
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85. On the minimizers of energy forms with completely monotone kernel. (2018). Strehle, Elias ; Schied, Alexander.
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86. Optimal execution with non-linear transient market impact. (2017). Gatheral, Jim ; Curato, Gianbiagio ; Lillo, Fabrizio.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:17:y:2017:i:1:p:41-54.

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87. Boundedness of the Value Function of the Worst-Case Portfolio Selection Problem with Linear Constraints. (2017). Andreev, Nikolay.
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88. Deviations in expected price impact for small transaction volumes under fee restructuring. (2017). Gebbie, T ; Harvey, M ; Wilcox, D ; Hendricks, D.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:471:y:2017:i:c:p:416-426.

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89. The economics of commodity market manipulation: A survey. (2017). Pirrong, Craig.
    In: Journal of Commodity Markets.
    RePEc:eee:jocoma:v:5:y:2017:i:c:p:1-17.

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90. Cross-impact and no-dynamic-arbitrage. (2017). Schneider, Michael ; Lillo, Fabrizio.
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91. High-frequency limit of Nash equilibria in a market impact game with transient price impact. (2017). Zhang, Tao ; Strehle, Elias ; Schied, Alexander.
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92. A market impact game under transient price impact. (2017). Zhang, Tao ; Schied, Alexander.
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93. Multivariate Transient Price Impact and Matrix-Valued Positive Definite Functions. (2016). Klock, Florian ; Alfonsi, Aurelien ; Schied, Alexander.
    In: Mathematics of Operations Research.
    RePEc:inm:ormoor:v:41:y:2016:i:3:p:914-934.

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94. The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making. (2016). Guéant, Olivier ; Gueant, Olivier.
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95. Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2016). Alfonsi, Aurelien ; Blanc, Pierre.
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96. Dynamic portfolio management with views at multiple horizons. (2016). nicolosi, marco ; Meucci, A.
    In: Applied Mathematics and Computation.
    RePEc:eee:apmaco:v:274:y:2016:i:c:p:495-518.

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97. LQG for portfolio optimization. (2016). Brokmann, X ; Abeille, M ; Serie, E ; Lazaric, A.
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98. Limit order trading with a mean reverting reference price. (2016). Ren, Weiluo ; Yang, Tzu-Wei ; Ahuja, Saran ; Papanicolaou, George.
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99. Market impact as anticipation of the order flow imbalance. (2015). Jaisson, Thibault.
    In: Quantitative Finance.
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100. A fully consistent, minimal model for non-linear market impact. (2015). Donier, J ; Bonart, J ; Mastromatteo, I.
     In: Quantitative Finance.
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101. Simulating and Analyzing Order Book Data: The Queue-Reactive Model. (2015). LEHALLE, Charles-Albert ; Huang, Weibing ; Rosenbaum, Mathieu.
     In: Journal of the American Statistical Association.
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102. Adaptive Execution: Exploration and Learning of Price Impact. (2015). Park, Beomsoo ; van Roy, Benjamin.
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103. Worst-Case Approach To Strategic Optimal Portfolio Selection Under Transaction Costs And Trading Limits. (2015). Andreev, Nikolay.
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104. Option pricing and hedging with execution costs and market impact. (2015). Guéant, Olivier ; Pu, Jiang ; Gueant, Olivier.
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105. Why is equity order flow so persistent?. (2015). Farmer, J. ; Palit, Imon ; Lillo, Fabrizio ; Toth, Bence.
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106. Optimum Liquidation Problem Associated with the Poisson Cluster Process. (2015). Vecer, J ; Sadoghi, A.
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107. Extension and calibration of a Hawkes-based optimal execution model. (2015). Blanc, Pierre ; Alfonsi, Aur'Elien.
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108. Optimal Portfolio Liquidation in Target Zone Models and Catalytic Superprocesses. (2015). Neuman, Eyal ; Schied, Alexander.
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109. A Million Metaorder Analysis of Market Impact on the Bitcoin. (2015). Bonart, Julius ; Donier, Jonathan.
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110. Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2015). Blanc, Pierre ; Alfonsi, Aur'Elien.
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111. Trading with Small Price Impact. (2015). Soner, Mete H. ; Moreau, Ludovic ; Muhle-Karbe, Johannes.
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112. Multivariate transient price impact and matrix-valued positive definite functions. (2015). Klock, Florian ; Alfonsi, Aur'Elien ; Schied, Alexander.
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113. Efficiency of the Price Formation Process in Presence of High Frequency Participants: a Mean Field Game analysis. (2015). LEHALLE, Charles-Albert ; Lions, Pierre-Louis ; Lasry, Jean-Michel ; Aim'e Lachapelle, .
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114. Mathematical Formulation of an Optimal Execution Problem with Uncertain Market Impact. (2015). Kato, Takashi ; Ishitani, Kensuke.
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115. Optimal liquidation in dark pools. (2014). Schöneborn, Torsten ; Schoneborn, Torsten ; Kratz, Peter.
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116. Hawkes model for price and trades high-frequency dynamics. (2014). Muzy, Jean-Franois ; Bacry, Emmanuel.
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117. Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2014). Blanc, Pierre ; Alfonsi, Aurelien.
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118. Optimal execution and price manipulations in time-varying limit order books. (2014). Alfonsi, Aurelien ; Acevedo, Jose Infante.
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119. Stability analysis of financial contagion due to overlapping portfolios. (2014). Farmer, J. ; Shrestha, Munik ; Caccioli, Fabio ; Moore, Cristopher.
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120. Optimal execution with nonlinear transient market impact. (2014). Gatheral, Jim ; Curato, Gianbiagio ; Lillo, Fabrizio.
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121. Beyond the square root: Evidence for logarithmic dependence of market impact on size and participation rate. (2014). Farmer, J. ; Treccani, Michele ; Lillo, Fabrizio ; Zarinelli, Elia .
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122. Market impacts and the life cycle of investors orders. (2014). LEHALLE, Charles-Albert ; Lasnier, Matthieu ; Bacry, Emmanuel ; Iuga, Adrian .
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123. A convex duality method for optimal liquidation with participation constraints. (2014). Olivier Gu'eant, ; Pu, Jiang ; Lasry, Jean-Michel.
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124. Market impact as anticipation of the order flow imbalance. (2014). Jaisson, Thibault.
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125. Simulating and analyzing order book data: The queue-reactive model. (2014). LEHALLE, Charles-Albert ; Huang, Weibing ; Rosenbaum, Mathieu.
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126. Permanent market impact can be nonlinear. (2014). Olivier Gu'eant, .
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127. Optimal execution and block trade pricing: a general framework. (2014). Olivier Gu'eant, .
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128. Price manipulation in a market impact model with dark pool. (2014). Sun, Yuemeng ; Klock, Florian ; Schied, Alexander.
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129. An Optimal Execution Problem with a Geometric Ornstein-Uhlenbeck Price Process. (2014). Kato, Takashi.
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130. How efficiency shapes market impact. (2013). Farmer, J. ; Waelbroeck, Henri ; Lillo, Fabrizio ; Gerig, Austin.
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131. Optimization and statistical methods for high frequency finance. (2013). LEHALLE, Charles-Albert ; Labadie, Mauricio ; Rosenbaum, Mathieu ; Hoffmann, Marc ; Pham, Huyen ; Pages, Gilles.
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132. Multiperiod portfolio selection with transaction and market-impact costs. (2013). Mei, Xiaoling ; Demiguel, Victor ; Nogales, Francisco J..
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133. A Monte Carlo method for optimal portfolio executions. (2013). Achtsis, Nico ; Nuyens, Dirk.
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134. Market Impact Paradoxes. (2013). Skachkov, Igor .
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135. Probabilistic aspects of finance. (2013). Follmer, Hans ; Schied, Alexander.
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136. Market Microstructure Knowledge Needed for Controlling an Intra-Day Trading Process. (2013). LEHALLE, Charles-Albert.
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137. Hawkes model for price and trades high-frequency dynamics. (2013). J. F Muzy, ; Bacry, E..
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138. Execution and block trade pricing with optimal constant rate of participation. (2013). Olivier Gu'eant, .
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139. General Intensity Shapes in Optimal Liquidation. (2013). LEHALLE, Charles-Albert ; Olivier Gu'eant, .
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140. Limit Order Books. (2013). Williams, Stacy ; Howison, Sam D. ; Porter, Mason A. ; Gould, Martin D. ; McDonald, Mark ; Fenn, Daniel J..
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141. Hedging through a Limit Order Book with Varying Liquidity. (2012). Agliardi, Rossella ; Genay, Ramazan.
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142. Optimal execution and price manipulations in time-varying limit order books. (2012). Acevedo, Jose Infante ; Alfonsi, Aurelien.
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143. Stability analysis of financial contagion due to overlapping portfolios. (2012). Farmer, J. ; Shrestha, Munik ; Caccioli, Fabio ; Moore, Cristopher.
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144. Adaptive Execution: Exploration and Learning of Price Impact. (2012). Park, Beomsoo ; van Roy, Benjamin.
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2. UPSIDE BETA RATIO: A PERFORMANCE MEASURE FOR POTENTIAL-SEEKING INVESTORS. (2020). Selvaraju, N ; Mondal, Dipankar.
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3. Omega and Sharpe ratio. (2020). Benhamou, Eric ; Paris, Nicolas ; Guez, Beatrice.
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4. Valuation and pricing of electricity delivery contracts: the producer’s view. (2019). Kovacevic, Raimund.
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5. Computing the Substantial-Gain–Loss-Ratio. (2019). Mentemeier, Sebastian ; Voelzke, Jan.
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6. Time-frequency analysis of behaviourally classified financial asset markets. (2019). ALAGIDEDE, IMHOTEP ; Omane-Adjepong, Maurice ; Ababio, Kofi Agyarko.
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7. Higher-order Omega: A performance index with a decision-theoretic foundation. (2019). Huang, Rachel ; Zhu, Wei ; Tzeng, Larry Y ; Bi, Hongwei.
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8. The role of bitcoin in well diversified portfolios: A comparative global study. (2019). Kajtazi, Anton ; Moro, Andrea.
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9. Optimal strategies under Omega ratio. (2019). Vanduffel, Steven ; Ye, Jiang ; Bernard, Carole.
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10. Screening rules and portfolio performance. (2019). Navarro, Lluis ; Nieto, Belen ; Leon, Angel.
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11. Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR. (2019). Cui, Xiangyu ; Strub, Moris S ; Gao, Jianjun ; Li, Duan.
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12. Omega and Sharpe ratio. (2019). Benhamou, Eric ; Guez, Beatrice.
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13. “On the (Ab)use of Omega?”. (2018). Caporin, Massimiliano ; Costola, Michele ; Jannin, Gregory ; Maillet, Bertrand.
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14. Naive versus optimal diversification: Tail risk and performance. (2018). Xu, Simon ; Hwang, In Chang ; In, Francis.
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15. Surplus-invariant risk measures. (2018). Gao, Niushan ; Munari, Cosimo.
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16. Investors favourite - A different look at valuing individual labour income. (2017). Voelzke, Jan ; Gossling, Fabian ; Weigt, Till ; Diesteldorf, Jeanne.
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17. Mutual Funds Performance Assessment Techniques: Comparative Analysis. (2017). Olkova, Anna E.
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18. One-sided performance measures under Gram-Charlier distributions. (2017). Moreno, Manuel ; Leon, Angel.
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19. Equilibrium asset pricing with Epstein-Zin and loss-averse investors. (2017). He, Xuedong ; Guo, Jing.
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20. Investors favourite - A different look at valuing individual labour income. (2017). Weigt, Till ; Diesteldorf, Jeanne ; Voelzke, Jan ; Goessling, Fabian.
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21. Computing the Substantial-Gain-Loss-Ratio. (2017). Mentemeier, Sebastian ; Voelzke, Jan.
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22. A double clustering algorithm for financial time series based on extreme events. (2017). Paola, Zuccolotto ; Luca, DE.
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23. Partial hedging and cash requirements in discrete time. (2016). Akyildirim, Erdn ; Altarovici, Albert.
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24. Individual labour income, stock prices and whom it may concern. (2016). Voelzke, J.
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25. Good deal bounds with convex constraints: --- examples and proofs ---. (2016). Arai, Takuji.
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26. Multivariate Factorisable Sparse Asymmetric Least Squares Regression. (2016). Härdle, Wolfgang ; Chao, Shih-Kang ; Hardle, Wolfgang K ; Huang, Chen.
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27. Robust option pricing: Hannan and Blackwell meet Black and Scholes. (2016). DeMarzo, Peter ; Mansour, Yishay ; Kremer, Ilan.
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28. On the time scale behavior of equity-commodity links: Implications for portfolio management. (2016). Uddin, Gazi ; Nguyen, Duc Khuong ; Bekiros, Stelios ; Sjo, BO.
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29. Estimation of bid-ask prices for options on LIBOR based instruments. (2016). Sonono, Masimba Energy ; Mashele, Hopolang Phillip.
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30. Should We Like it? - A Social Welfare Based Quantification of Policy Attractiveness. (2016). Voelzke, Jan ; Goessling, Fabian.
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32. Asymmetries and Portfolio Choice. (2015). Tedongap, Romeo ; Dahlquist, Magnus ; Farago, Adam.
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35. A SURVEY ON THE FOUR FAMILIES OF PERFORMANCE MEASURES. (2014). Maillet, Bertrand ; Lisi, Francesco ; Jannin, Gregory ; Caporin, Massimiliano.
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36. Measuring the Economic Significance of Structural Exchange Rate Models. (2011). Kaleem, Muhammad ; cerrato, mario ; Crosby, John.
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37. No-dynamic-arbitrage and market impact. (2010). Gatheral, Jim.
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38. Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming. (2010). Salih, Aslihan ; PInar, Mustafa Ç., ; CamcI, Ahmet .
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39. Carry Trade. (2010). Jorda, Oscar.
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42. Measuring investment skills of fund managers. (2007). Chua, Choong Tze .
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43. Accruals, Net Stock Issues and Value-Glamour Anomalies: New Evidence on their Relation. (2007). Thomakos, Dimitrios ; Wang, Tao ; Hardouvelis, Gikas ; Papanastasopoulos, George .
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45. Dynamic utility-based good deal bounds. (2007). Martin, Schweizer ; Susanne, Kloppel .
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46. Monetary utility over coherent risk ratios. (2006). Johannes, Leitner.
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47. Enhancing returns on yen: minimizing risk reversal costs. (2005). Nikolov, Kristijan ; Vanderlinden, David.
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48. Optimal portfolios with expected loss constraints and shortfall risk optimal martingale measures. (2005). Johannes, Leitner.
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49. Generalised Sharpe Ratios and Asset Pricing in Incomplete Markets. (2003). Černý, Aleš ; ÄŒerný, AleÅ¡.
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50. Measuring risk-adjusted returns in alternative investments. (2002). Till, Hilary.
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