Eyal Neuman

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Alexander SchiedUniversity of WaterlooVerified email at uwaterloo.ca
Moritz VoßHedrick Assistant Adjunct Professor, UC Los AngelesVerified email at math.ucla.edu
Eduardo Abi-JaberEcole PolytechniqueVerified email at polytechnique.edu
charles-albert lehalleAbu Dhabi Investment AuthorityVerified email at lehalle.net
Damiano BrigoProfessor of Mathematics, Imperial College LondonVerified email at imperial.ac.uk
Alessandro MicheliQuant Researcher @ Virtu FinancialVerified email at imperial.ac.uk
Mathieu RosenbaumEcole PolytechniqueVerified email at polytechnique.edu
Xinghua ZhengHong Kong University of Science and TechnologyVerified email at ust.hk
Michael SalinsBoston UniversityVerified email at bu.edu
Federico GraceffaImperial College LondonVerified email at imperial.ac.uk
Paul HagerTechnische Universität BerlinVerified email at math.tu-berlin.de
Radislav (Slava) VaismanLecturer in in the School of Mathematics and PhysicsVerified email at uq.edu.au
Johannes Muhle-KarbeChair in Mathematical Finance, Imperial College LondonVerified email at imperial.ac.uk
Chengguo WengUniversity of WaterlooVerified email at uwaterloo.ca
Xiaole XueShandong UniversityVerified email at SDU.EDU.CN
Segev ShlomovPhD student, Technion- Israel Institute of TechnologyVerified email at campus.technion.ac.il
Leonid MytnikTechnion --- Israel Institute of Technology

Eyal Neuman

Imperial College London

Verified email at imperial.ac.uk - Homepage

Stochastic processes Mathematical finance


Title Sort by citations Sort by year Sort by title	Cited by Cited by	Year
Incorporating signals into optimal trading CA Lehalle, E Neuman Finance and Stochastics 23, 275-311, 2019	70	2019
Fractional Brownian motion with zero Hurst parameter: a rough volatility viewpoint E Neuman, M Rosenbaum	41	2018
Optimal signal-adaptive trading with temporary and transient price impact E Neuman, M Voß SIAM Journal on Financial Mathematics 13 (2), 551-575, 2022	28	2022
Optimal portfolio liquidation in target zone models and catalytic superprocesses E Neuman, A Schied Finance and Stochastics 20, 495-509, 2016	22	2016
Trading with the crowd E Neuman, M Voß Mathematical Finance 33 (3), 548-617, 2023	15	2023
The multiplicative chaos of H= 0 fractional Brownian fields P Hager, E Neuman The Annals of Applied Probability 32 (3), 2139-2179, 2022	15	2022
Sample path properties of Volterra processes L Mytnik, E Neuman arXiv preprint arXiv:1101.4969, 2011	14	2011
Optimal liquidation with signals: the general propagator case E Abi Jaber, E Neuman Available at SSRN 4264823, 2022	12	2022
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	11	2015
Pathwise uniqueness of the stochastic heat equation with spatially inhomogeneous white noise E Neuman	10	2018
Monte Carlo for estimating exponential convolution I Gertsbakh, E Neuman, R Vaisman Communications in Statistics-Simulation and Computation 44 (10), 2696-2704, 2015	10	2015
The multifractal nature of Volterra–Lévy processes E Neuman Stochastic Processes and their Applications 124 (9), 3121-3145, 2014	9	2014
Closed‐loop Nash competition for liquidity A Micheli, J Muhle‐Karbe, E Neuman Mathematical Finance 33 (4), 1082-1118, 2023	8	2023
On the maximal displacement of subcritical branching random walks E Neuman, X Zheng Probability Theory and Related Fields 167, 1137-1164, 2017	8	2017
Price impact on term structure D Brigo, F Graceffa, E Neuman Quantitative Finance 22 (1), 171-195, 2022	7	2022
Equilibrium in functional stochastic games with mean-field interaction EA Jaber, E Neuman, M Voß arXiv preprint arXiv:2306.05433, 2023	6	2023
Protecting pegged currency markets from speculative investors E Neuman, A Schied Mathematical Finance 32 (1), 405-420, 2022	5	2022
Optimal trading: The importance of being adaptive C Bellani, D Brigo, A Done, E Neuman International Journal of Financial Engineering 8 (04), 2050022, 2021	5	2021
Evidence of crowding on russell 3000 reconstitution events A Micheli, E Neuman Market Microstructure and Liquidity, 2050009, 2022	4	2022
Static vs adaptive strategies for optimal execution with signals C Bellani, D Brigo, A Done, E Neuman arXiv preprint arXiv:1811.11265, 2018	4	2018

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