8 papers in the archive (2022–2026), average empirical rigor 5/10, average math complexity 7.3/10. Quadrant mix: Holy Grail ×3, Lab Rats ×4, Street Traders ×1.
Works mostly in Market Microstructure, Volatility Modeling & Forecasting, Market Simulation & Agent-Based Models, Commodities & Energy Markets.
Frequent co-authors: Jianfei Zhang (2), Emmanuel Gnabeyeu (1), Gilles Pagès (1), Johannes Muhle-Karbe (1), Youssef Ouazzani Chahdi (1), Grégoire Szymanski (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 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 introduce a practical, interactive simulator of the limit order book for large-tick assets, designed to produce realistic execution, costs, and P&L. The book state is projected onto a tractable representation based on spread and volume imbalance, enabling robust estimation from market data. Event
Transfer learning is an emerging and popular paradigm for utilizing existing knowledge from previous learning tasks to improve the performance of new ones. In this paper, we propose a novel concept of transfer risk and and analyze its properties to evaluate transferability of transfer learning. We a
Given the promising results on joint modeling of SPX/VIX smiles of the recently introduced quadratic rough Heston model, we consider a multi-asset market making problem on SPX and its derivatives, e.g. VIX futures, SPX and VIX options. The market maker tries to maximize its profit from spread captur
News can convey bearish or bullish views on financial assets. Institutional investors need to evaluate automatically the implied news sentiment based on textual data. Given the huge amount of news articles published each day, most of which are neutral, we present a systematic news screening method t
True Volterra equations are inherently non stationary and therefore do not admit $\textit{genuine stationary regimes}$ over finite horizons. This motivates the study of the finite-time behavior of the solutions to scaled inhomogeneous affine Stochastic Volterra equations through the lens of a weaker
Recent regulation on intraday electricity markets has led to the development of shared order books with the intention to foster competition and increase market liquidity. In this paper, we address the question of the efficiency of such regulations by analysing the situation of two exchanges sharing
Although market participants generally have access to a common information set, they make decisions based on forecasts formed over heterogeneous horizons. Because market impact depends on aggregate positions rather than trader identities, these decisions feed back into prices through their collectiv