Jim Gatheral

Finance · with Friz · 2004–2020

A researcher in the Science corpus: 15 papers; trusts 37 researchers and is trusted by 56 researchers here, as inferred from the citation graph.

Subfields

Whom Jim Gatheral trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

  1. Jean-Philippe Bouchaud
  2. Mathieu Rosenbaum
  3. Roger Lee
  4. Thibault Jaisson
  5. Shijun Liao
  6. Torben G. Andersen
  7. Peter P. Carr
  8. Fabrizio Lillo
  9. Terry Lyons
  10. Robert Almgren

Who trusts Jim Gatheral overall

  1. Antoine Jacquier
  2. Eduardo Abi Jaber
  3. Omar El Euch
  4. Mathieu Rosenbaum
  5. Christoph Frei
  6. Gabriel G. Drimus
  7. Christian Bayer
  8. Christa Cuchiero
  9. Masaaki Fukasawa
  10. Mark Broadie

Papers from Jim Gatheral's perspective

Ordered by how strongly the researchers Jim Gatheral trusts endorse each paper. Same corpus, a different order for every researcher.

  1. The Long Memory of the Efficient Market
  2. Volatility is rough
  3. A Theory for the Term Structure of Interest Rates
  4. Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes
  5. Price Manipulation and Quasi-Arbitrage
  6. Pricing under rough volatility
  7. Theory Of Financial Risk And Derivative Pricing
  8. No-dynamic-arbitrage and market impact
  9. Statistical properties of stock order books: empirical results and models
  10. Anomalous price impact and the critical nature of liquidity in financial markets

Their papers