Akos Horvath, Nikolaus Hautsch (2018). "How Effective Are Trading Pauses?", forthcoming in Journal of Financial Economics. Link
M. Pohl, A. Ristig, W. Schachermayer, L. Tangpi (2018): "Theoretical and empirical analysis of trading activity", Preprint. arXiv:1803.04892
Markus Bibinger, Nikolaus Hautsch, Peter Malec, Markus Reiß (2018). "Estimating the Spot Covariation of Asset Prices - Statistical Theory and Empirical Evidence", forthcoming in Journal of Business & Economic Statistics. Link
P. Luo, L. Tangpi (2018): "BSDEs on finite and infinite horizon with timedelayed generators", Communications on Stochastic Analysis 12(1) 59-72. Link
D. Bartl, P. Cheridito, M. Kupper, L. Tangpi (2017): "Duality for increasing convex functionals with countably many marginal constraints", Banach Journal of Mathematical Analysis 11(1) 72-89.
D. Bartl, S. Drapeau, L.Tangpi (2017): "Computational aspects of robust optimized certainty equivalents and option pricing", Preprint. Link
G. Pflug, M. Pohl (2017): "A Review on Ambiguity in Stochastic Portfolio Optimization", Set-Valued and Variational Analysis, 1-25. DOI: doi.org/ [...] Link
O. Menoukeu-Pamen , Y. Ouknine , L. Tangpi (2017): "Pathwise uniqueness of non-uniformly elliptic SDEs with rough coefficients", forthcoming in Journal of Theoretical Probability. Link
P. Cheridito, M. Kupper, L. Tangpi (2017): "Duality formulas for robust pricing and hedging in discrete time", SIAM Journal on Financial Mathematics 8(1), 738-765. Link
P. Luo, L. Tangpi (2017): "Solvability of coupled FBSDEs with diagonally quadratic generators", Stochastics and Dynamcis, 17 (6), 1750043. Link
Pohl, M. et al. (2017). The amazing power of dimensional analysis: Quantifying market impact. arXiv. Link
Torben G. Andersen, Gökhan Cebiroglu, Nikolaus Hautsch (2016). "Volatility, Information Feedback and Market Microstructure Noise: A Tale of Two Regimes". Link
Nikolaus Hautsch, Julia Schaumburg and Melanie Schienle (2015): ?Financial Network Systemic Risk Contributions?, Review of Finance, 19 (2), 685-738.
Nikolaus Hautsch, Lada M. Kyj and Peter Malec (2015): ?Do High-Frequency Data Improve High-Dimensional Portfolio Allocation?", Journal of Applied Econometrics, 30 (2), 263-290.