3 papers in the archive (2026), average empirical rigor 6.8/10, average math complexity 8.7/10. Quadrant mix: Holy Grail ×2, Lab Rats ×1.
Works mostly in Market Microstructure, Volatility Modeling & Forecasting, High-Frequency Trading & Optimal Execution.
Frequent co-authors: Youssef Ouazzani Chahdi (2), Yadh Hafsi (1), Fabrizio Lillo (1), Johannes Muhle-Karbe (1), Mathieu Rosenbaum (1), Nathan De Carvalho (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 develop a framework for calibrating passive market impact, defined as the price response to liquidity-providing limit orders, in contrast to the impact of liquidity-consuming market orders. We build on the model of Ouazzani Chahdi, Rosenbaum, and Szymanski (arxiv:2412.07461), which combines Hawke
We propose a microstructural model for the order flow in financial markets that distinguishes between {\it core orders} and {\it reaction flow}, both modeled as Hawkes processes. This model has a natural scaling limit that reconciles a number of salient empirical properties: persistent signed order
We consider an optimal trading problem under a market impact model with endogenous market resistance generated by a sophisticated trader who (partially) detects metaorders and trades against them to exploit price overreactions induced by the order flow. The model features a concave transient impact