PUBLICATIONS
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Neuman E. and S. Tuschmann S., Stochastic Graphon Games with Memory, (2024) (submitted).
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Barzykin A., Boyce R. and Neuman E., Unwinding Toxic Flow with Partial Information, (2024) (submitted).
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Muhle-Karbe J., Neuman, E. and Shadmi Y., Fluid-Limits of Fragmented Limit-Order Markets, (2024) (submitted).
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Neuman E. and Tuschmann S., The Mercer-Young Theorem for Matrix-Valued Kernels on Separable Metric Spaces, (2024) (submitted).
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Abi Jaber E., Neuman E. and Tuschmann S., Optimal Portfolio Choice with Cross-Impact Propagators, (2024) (submitted).
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Neuman E., Stockinger W. and Zhang Y., An Offline Learning Approach to Propagator Models, (2023) (submitted)
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Abi Jaber E., Neuman E. and Voß M., Equilibrium in Functional Stochastic Games with Mean-Field Interaction, (2023) (submitted).
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Mueller C. and Neuman E., The Radius of a Self-Repelling Star Polymer, arXiv:2306.01537, (2023) (submitted).
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Neuman E. and Zhang Y., Statistical Learning with Sublinear Regret of Propagator Models, arXiv:2301.05157, (2023) (submitted).
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Abi Jaber E. and Neuman E., Optimal Liquidation with Signals: the General Propagator Case, arXiv:2211.00447, (2022) (submitted).
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Cont R., Micheli A. and Neuman E., Fast and Slow Optimal Trading with Exogenous Information, to appear in Finance and Stochastics (2024).
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Micheli A., Muhle-Karbe J. and Neuman E., Closed-Loop Nash Competition for Liquidity, Mathematical Finance, Vol. 33, No. 4, 1082–1118 (2023).
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Neuman E. and Voß M., Trading with the Crowd, Mathematical Finance, Vol. 33, No. 3, 548-617 (2023).
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Mueller C. and Neuman E., The Effective Radius of Self Repelling Elastic Manifolds, Annals of Applied Probability, Vol. 33, No. 6B, 5668–5692 (2023).
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Mueller C. and Neuman E., Scaling properties of a moving polymer, Annals of Applied Probability, Vol. 32, No. 6, 4251-4278 (2022).
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Micheli A. and Neuman E., Evidence of crowding on Russell 3000 reconstitution events, Market Microstructure and Liquidity,Vol. 5, No. 2 (2022).
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Mueller C. and Neuman E., Self-Repelling Elastic Manifolds with Low Dimensional Range, Journal of Stochastic Analysis, Vol. 3, No. 2 (2022).
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Neuman E. and Voß M., Optimal signal-adaptive trading with temporary and transient price impact, SIAM J. Financial Mathematics, Vol. 13, No. 2, 551-575 (2022).
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Hager P. and Neuman E., The multiplicative chaos of H=0 fractional Brownian fields, Annals of Applied Probability, Vol 32, No. 3, 2139–2179 (2022).
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Brigo D., Graceffa F. and Neuman E., Price Impact on Term Structure, Quantitative Finance, Vol. 22, No. 1, 171-195 (2022).
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Neuman E. and Schied A., Protecting pegged currency markets from speculative investors, Mathematical Finance, Vol. 32, No. 01, 405-420 (2022).
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Neuman E. and Zheng X., On the maximal displacement of near-critical branching random walks, Probability Theory and Related Fields, Vol. 180, 199-232 (2021).
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Bellani C., Brigo D., Done A., Neuman E., Optimal trading: The importance of being adaptive, International Journal of Financial Engineering, Vol. 08, No. 04, (2021).
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Lehalle C. A., Neuman E. and Shlomov S., Phase Transitions in Kyle's Model with Market Maker Profit Incentives, arXiv:2103.04481, (2021).
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Neuman E., Schied A., Weng C., and Xue, X., A central bank strategy for defending a currency target zone, Systems & Control Letters, Vol. 144, (2020).
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Mueller C., Neuman E., Salins M. and Truong G., An improved uniqueness result for a system of stochastic differential equations related to the stochastic wave equation, Journal of Stochastic Analysis, Vol. 1, No. 2 (2020).
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Lee J. J., Mueller C. and Neuman E., Hitting probabilities of a Brownian flow with radial drift, Annals of Probability, Vol. 48, No. 2, 646–671, (2020).
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Lehalle C.A. and Neuman E., Incorporating signals into optimal trading, Finance and Stochastics 23:275–311, (2019).
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Neuman E. and Rosenbaum M., Fractional Brownian motion with zero Hurst parameter: a rough volatility viewpoint, Electronic Communications in Probability, 23(61), (2018).
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Neuman E., Pathwise uniqueness of the stochastic heat equation with Hölder continuous coefficients: the inhomogeneous white noise case, Annals of Probability, 46(6), (2018).
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Gomez A., Lee J. J., Mueller C., Neuman E. and Salins M., On uniqueness and blowup properties for a class of second order SDEs, Electronic Journal of Probability, 22(72), (2017).
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Neuman E. and Zheng, X., On the maximal displacement of subcritical branching walks, Probability Theory and Related Fields, 167(3), 1137-1164, (2017).
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Neuman E. and Schied A., Optimal portfolio liquidation in target zone models and catalytic superprocesses, Finance and Stochastics, 20, 495–509, (2016).
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Mytnik L. and Neuman E., Pathwise uniqueness of the stochastic heat equations with Hölder continuous noise and drift coefficients, Stochastic Processes and their Applications, 125(9), 3355–3372, (2015).
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Gertsbakh I., Neuman E. and Vaisman R., Monte Carlo for estimating exponential convolution, Communications in Statistics - Simulation and Computation, 44(10): 2696-2704 (2015).
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Neuman E., The multifractal nature of Volterra-Lévy processes, Stochastic Processes and their Applications, 124(9): 3121-3145, (2014).
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Mytnik, L. and Neuman E., Sample path properties of Volterra processes, Communications on Stochastic Analysis, 6(3): 359-377, (2012).