3 papers in the archive (2024–2026), average empirical rigor 5.3/10, average math complexity 7.2/10. Quadrant mix: Holy Grail ×3.
Works mostly in High-Frequency Trading & Optimal Execution, Factor Investing & Asset Pricing, Portfolio Optimization.
Frequent co-authors: Dnyanesh Kulkarni (2), Minhajul Islam (1), El Mehdi Ainasse (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%).
Classical execution models assume linear impact, diffusive prices, and an exogenous horizon. We study execution under concave power-law impact and Hurst-scaled price fluctuations, and make two contributions. First, we choose the execution horizon by maximizing the Sharpe ratio of the trade’s realize
We develop \emph{Topological Risk Parity} (TRP), a tree-based portfolio construction approach intended for long/short, market neutral, factor-aware portfolios. The method is motivated by the dominance of passive/factor flows that naturally create a tree-like structure in markets. We introduce two im
This paper explores the mechanisms behind extreme financial events, specifically market crashes, by employing the theoretical framework of phase transitions. We focus on endogenous crashes, driven by internal market dynamics, and model these events as first-order phase transitions critical, stochast