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We study optimal portfolio choice under leveraging to improve portfolio performance when
trade execution faces market impact. We consider a quasi-elastic market with continuous …

Classical oscillators have long been used to model financial time series, but suffer from the
drawback that the underlying system does not behave like a mechanical spring: there are no …

I present an overview of some recent advancements on the empirical analysis and
theoretical modeling of the process of price formation in financial markets as the result of the …

We present a method to estimate price impact in order-driven markets that does not require
averaging over executions or scenarios. Given order book data associated with one single …

An analysis of intraday volumes for the S&P 500 constituent stocks illustrates that (i) volume
surprises (ie, deviations from forecasted trading volumes) are correlated across stocks and …

The idea that markets are at equilibrium and price changes follow some version of a random
walk is key to foundational results from quantitative finance including the Black-Scholes …

Perhaps the best-known result from neoclassical economics is the “law of supply and
demand”, which depicts markets using curves of supply and demand that intersect at a …

This thesis is devoted to the study of opening and closing auctions in European markets with
a specific emphasis on the Paris stock exchange. Auctions serve as an essential mechanism …

We present a measurement of price impact in order-driven markets that does not require
averages across executions or scenarios. Given the order book data associated with one …