3 papers in the archive (2023–2026), average empirical rigor 1.8/10, average math complexity 9.1/10. Quadrant mix: Lab Rats ×3.
Works mostly in Stochastic Control & Optimal Stopping, Market Microstructure, Volatility Modeling & Forecasting.
Frequent co-authors: Ulrich Horst (3), Guanxing Fu (2), Thomas Wagenhofer (1), Wei Xu (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 establish a microstructural foundation of the rough Bergomi model. Specifically, we consider a sequence of order driven financial market models where orders to buy or sell an asset arrive according to a Poisson process and have a long lasting impact on volatility. Using a recently established C-t
We consider both $N$-player and mean-field games of optimal portfolio liquidation in which the players are not allowed to change the direction of trading. Players with an initially short position of stocks are only allowed to buy while players with an initially long position are only allowed to sell
We consider a novel class of portfolio liquidation games with market drop-out (“absorption”). More precisely, we consider mean-field and finite player liquidation games where a player drops out of the market when her position hits zero. In particular round-trips are not admissible. This can be viewe