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PUBLICATIONS

  1. Neuman E. and Tuschmann S., The Mercer-Young Theorem for Matrix-Valued Kernels on Separable Metric Spaces, (2024) (submitted). 

  2. Abi Jaber E., Neuman E. and Tuschmann S., Optimal Portfolio Choice with Cross-Impact Propagators, (2024) (submitted). 

  3. Neuman E., Stockinger W. and Zhang Y., An Offline Learning Approach to Propagator Models, (2023) (submitted)

  4. Abi Jaber E., Neuman E. and Voß M., Equilibrium in Functional Stochastic Games with Mean-Field Interaction,  (2023) (submitted). 

  5. Mueller C. and Neuman E., The Radius of a Self-Repelling Star Polymer, arXiv:2306.01537, (2023) (submitted). 

  6. Neuman E. and Zhang Y., Statistical Learning with Sublinear Regret of Propagator Models, arXiv:2301.05157,  (2023) (submitted).

  7. Abi Jaber E. and Neuman E., Optimal Liquidation with Signals: the General Propagator Case,  arXiv:2211.00447, (2022) (submitted). 

  8. Cont R., Micheli M. and Neuman E., Fast and Slow Optimal Trading with Exogenous Information, to appear in Finance and Stochastics (2024). 

  9. Micheli A., Muhle-Karbe J. and Neuman E., Closed-Loop Nash Competition for Liquidity, Mathematical Finance,  Vol. 33, No. 4, 1082–1118 (2023). 

  10. Neuman E. and Voß M., Trading with the Crowd, Mathematical Finance, Vol. 33, No. 3, 548-617 (2023).

  11. Mueller C. and Neuman E., The Effective Radius of Self Repelling Elastic Manifolds, Annals of Applied Probability, Vol. 33, No. 6B, 5668–5692 (2023). 

  12. Mueller C. and Neuman E., Scaling properties of a moving polymer, Annals of Applied Probability, Vol. 32, No. 6, 4251-4278 (2022).

  13. Micheli A. and Neuman E., Evidence of crowding on Russell 3000 reconstitution events, Market Microstructure and Liquidity,Vol. 5, No. 2 (2022). 

  14. Mueller C. and Neuman E., Self-Repelling Elastic Manifolds with Low Dimensional Range,  Journal of Stochastic Analysis, Vol. 3, No. 2 (2022).

  15. 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). 

  16. 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).

  17. Brigo D., Graceffa F. and Neuman E., Price Impact on Term Structure, Quantitative Finance, Vol. 22, No. 1, 171-195 (2022).

  18. Neuman E. and Schied A., Protecting pegged currency markets from speculative investors, Mathematical Finance, Vol. 32, No. 01, 405-420 (2022).

  19. 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).

  20. 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). 

  21. Lehalle C. A., Neuman E. and Shlomov S., Phase Transitions in Kyle's Model with Market Maker Profit Incentives, arXiv:2103.04481, (2021).

  22. 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).

  23. 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). 

  24. 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).

  25. Lehalle  C.A. and Neuman E., Incorporating signals into optimal trading,  Finance and Stochastics 23:275–311, (2019).

  26. Neuman E. and Rosenbaum M., Fractional Brownian motion with zero Hurst parameter: a rough volatility viewpoint,  Electronic Communications in Probability, 23(61), (2018). 

  27. Neuman E., Pathwise uniqueness of the stochastic heat equation with Hölder continuous coefficients: the inhomogeneous white noise case,  Annals of Probability, 46(6), (2018).

  28. 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).

  29. Neuman E. and Zheng, X., On the maximal displacement of subcritical branching walks, Probability Theory and Related Fields, 167(3), 1137-1164, (2017).

  30. Neuman E. and Schied A., Optimal portfolio liquidation in target zone models and catalytic superprocesses, Finance and Stochastics, 20, 495–509, (2016).

  31. 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). 

  32. Gertsbakh I., Neuman E. and Vaisman R., Monte Carlo for estimating exponential convolution, Communications in Statistics - Simulation and Computation, 44(10): 2696-2704 (2015).

  33. Neuman E., The multifractal nature of Volterra-Lévy processes, Stochastic Processes and their Applications, 124(9): 3121-3145, (2014).

  34. Mytnik, L. and Neuman E., Sample path properties of Volterra processes, Communications on Stochastic Analysis, 6(3): 359-377, (2012).

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