5 papers in the archive (2023–2025), average empirical rigor 3.7/10, average math complexity 8.8/10. Quadrant mix: Holy Grail ×1, Lab Rats ×4.
Works mostly in Market Microstructure, Stochastic Control & Optimal Stopping, Risk Management & Tail Risk.
Frequent co-authors: Eduardo Abi Jaber (1), Moritz Voß (1), Johannes Muhle-Karbe (1), Yonatan Shadmi (1), Natascha Hey (1), Sturmius Tuschmann (1).
Scores are our LLM-assisted heuristics (methodology), not peer review or citation counts. Author pages are generated from paper metadata; name variants may split one person across pages. arXiv author page →
Ordered by a blend of empirical rigor (60%) and math complexity (40%).
We introduce an offline nonparametric estimator for concave multi-asset propagator models based on a dataset of correlated price trajectories and metaorders. Compared to parametric models, our framework avoids parameter explosion in the multi-asset case and yields confidence bounds for the estimator
As the FX markets continue to evolve, many institutions have started offering passive access to their internal liquidity pools. Market makers act as principal and have the opportunity to fill those orders as part of their risk management, or they may choose to adjust pricing to their external OTC fr
We consider a class of learning problems in which an agent liquidates a risky asset while creating both transient price impact driven by an unknown convolution propagator and linear temporary price impact with an unknown parameter. We characterize the trader’s performance as maximization of a revenu
We consider a general class of finite-player stochastic games with mean-field interaction, in which the linear-quadratic cost functional includes linear operators acting on controls in $L^2$. We propose a novel approach for deriving the Nash equilibrium of the game semi-explicitly in terms of operat
Maglaras, Moallemi, and Zheng (2021) have introduced a flexible queueing model for fragmented limit-order markets, whose fluid limit remains remarkably tractable. In the present study we prove that, in the limit of small and frequent orders, the discrete system indeed converges to the fluid limit, w