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Impact is not just volatilityQuantitative Finance, 2019, 19 (11), pp.1763-1766. ⟨10.1080/14697688.2019.1622768⟩
Journal articles
hal-02323182v1
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A nested factor model for non-linear dependencies in stock returnsQuantitative Finance, 2015, 15 (11), pp.1789-1804. ⟨10.1080/14697688.2014.994668⟩
Journal articles
hal-01339978v1
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How does latent liquidity get revealed in the limit order book?Journal of Statistical Mechanics: Theory and Experiment, 2019, 2019 (1), pp.013404. ⟨10.1088/1742-5468/aaf10e⟩
Journal articles
hal-02323373v1
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A fractional reaction–diffusion description of supply and demandThe European Physical Journal B: Condensed Matter and Complex Systems, 2018, 91 (2), ⟨10.1140/epjb/e2017-80246-9⟩
Journal articles
hal-02323544v1
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Les matériaux sous irradiation: utiliser des particules chargées pour imuler et comprendre leur évolution microstructuraleÉconomie et finance quantitative [q-fin]. Université de Caen, 2013
Habilitation à diriger des recherches
tel-01843542v1
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