Applied Mathematical Finance
Robust Detection of Lead-Lag Relationships in Lagged Multi-Factor Models
Volume 32, Issue 2, April 2025, Page 91-127.
Applied Mathematical Finance
Event-Based Limit Order Book Simulation under a Neural Hawkes Process: Application in Market-Making
Volume 32, Issue 2, April 2025, Page 128-155.
Applied Mathematical Finance
Model-Free Hedging of Impermanent Loss in Geometric Mean Market Makers with Proportional Transaction Fees
Volume 31, Issue 2, April 2024, Page 108-129.