Obserwuj
Eyal Neuman
Tytuł
Cytowane przez
Cytowane przez
Rok
Incorporating signals into optimal trading
CA Lehalle, E Neuman
Finance and Stochastics 23, 275-311, 2019
822019
Fractional Brownian motion with zero Hurst parameter: a rough volatility viewpoint
E Neuman, M Rosenbaum
472018
Optimal signal-adaptive trading with temporary and transient price impact
E Neuman, M Voß
SIAM Journal on Financial Mathematics 13 (2), 551-575, 2022
432022
Trading with the crowd
E Neuman, M Voß
Mathematical Finance 33 (3), 548-617, 2023
232023
Optimal portfolio liquidation in target zone models and catalytic superprocesses
E Neuman, A Schied
Finance and Stochastics 20, 495-509, 2016
222016
Optimal liquidation with signals: the general propagator case
E Abi Jaber, E Neuman
Available at SSRN 4264823, 2022
202022
The multiplicative chaos of H= 0 fractional Brownian fields
P Hager, E Neuman
The Annals of Applied Probability 32 (3), 2139-2179, 2022
162022
Closed‐loop Nash competition for liquidity
A Micheli, J Muhle‐Karbe, E Neuman
Mathematical Finance 33 (4), 1082-1118, 2023
142023
Sample path properties of Volterra processes
L Mytnik, E Neuman
arXiv preprint arXiv:1101.4969, 2011
142011
Equilibrium in functional stochastic games with mean-field interaction
EA Jaber, E Neuman, M Voss
arXiv preprint arXiv:2306.05433, 2023
132023
Pathwise uniqueness for the stochastic heat equation with Hölder continuous drift and noise coefficients
L Mytnik, E Neuman
Stochastic Processes and their Applications 125 (9), 3355-3372, 2015
132015
Pathwise uniqueness of the stochastic heat equation with spatially inhomogeneous white noise
E Neuman
112018
Monte Carlo for estimating exponential convolution
I Gertsbakh, E Neuman, R Vaisman
Communications in Statistics-Simulation and Computation 44 (10), 2696-2704, 2015
112015
Price impact on term structure
D Brigo, F Graceffa, E Neuman
Quantitative Finance 22 (1), 171-195, 2022
92022
On the maximal displacement of subcritical branching random walks
E Neuman, X Zheng
Probability Theory and Related Fields 167, 1137-1164, 2017
92017
The multifractal nature of Volterra–Lévy processes
E Neuman
Stochastic Processes and their Applications 124 (9), 3121-3145, 2014
92014
On uniqueness and blowup properties for a class of second order SDEs
A Gomez, JJ Lee, C Mueller, E Neuman, M Salins
82017
Fast and slow optimal trading with exogenous information
R Cont, A Micheli, E Neuman
arXiv preprint arXiv:2210.01901, 2022
62022
An offline learning approach to propagator models
E Neuman, W Stockinger, Y Zhang
arXiv preprint arXiv:2309.02994, 2023
52023
Statistical Learning with Sublinear Regret of Propagator Models
E Neuman, Y Zhang
arXiv preprint arXiv:2301.05157, 2023
52023
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