1) Price formation mechanisms, market impact models, optimal execution, mathematical and statistical models of limit order book.
2) Financial networks and risk, systemic risk in the interbank market and due to liquidity crises, inference of static and dynamical models of networks.
3) High frequency dynamics of financial markets, high frequency trading, high frequency financial econometrics, Hawkes processes.
4) Data science for finance, unsupervised clustering methods and their statistical validation