Research

Preprints and published research.

Working papers

5. The long memory of volatility is caused by trader heterogeneity. With Damien Challet. Working paper, 2026.

Preprints

4. Exact conditional simulation of point processes: application to pathwise market impact estimation. With Joseph Leclère, Mathieu Rosenbaum, and Grégoire Szymanski. Submitted, 2026.
3. A unified theory of order flow, market impact, and volatility. With Johannes Muhle-Karbe, Mathieu Rosenbaum, and Grégoire Szymanski. Submitted, 2026.
2. Trading with market resistance and concave price impact. With Nathan De Carvalho and Grégoire Szymanski. Submitted, 2026.

Published & accepted

1. Passive market impact: a Point process approach. With Mathieu Rosenbaum and Grégoire Szymanski. Finance & Stochastics, forthcoming 2026.