Limit order book modelling with high dimensional Hawkes processes
Xiaofei Lu
,
Frédéric Abergel
2017
Pré-publication, Document de travail
hal-01512430v1
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Multiple-limit trades : empirical facts and application to lead-lag measures
Fabrizio Pomponio
,
Frédéric Abergel
Article dans une revue
hal-00745317v1
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Limit Order Books
Frédéric Abergel
,
Anirban Chakraborti
,
Aymen Jedidi
,
Ioane Muni Toke
,
Marouane Anane
Ouvrages
hal-02177394v1
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High dimensional Hawkes processes for limit order books Modelling, empirical analysis and numerical calibration
Xiaofei Lu
,
Frédéric Abergel
Article dans une revue
hal-01686122v1
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What drives option prices ?
Frédéric Abergel
,
Riadh Zaatour
Article dans une revue
hal-00687675v1
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Optimal high frequency strategy in an omniscient order book
Marouane Anane
,
Frédéric Abergel
2014
Pré-publication, Document de travail
hal-01006401v1
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Pricing and hedging contingent claims with liquidity costs and market impact
Frédéric Abergel
,
Grégoire Loeper
2013
Pré-publication, Document de travail
hal-00802402v4
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High Frequency Lead/lag Relationships - Empirical facts
Nicolas Huth
,
Frédéric Abergel
2011
Pré-publication, Document de travail
hal-00645685v1
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Tick size reduction and price clustering in a FX order book.
Mehdi Lallouache
,
Frédéric Abergel
Article dans une revue
hal-01006414v1
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A Mathematical Approach to Order Book Modelling
Frédéric Abergel
,
Aymen Jedidi
Article dans une revue
hal-00621253v3
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Econophysics of agent-based models
Frédéric Abergel
,
Anirban Chakraborti
,
Hideaki Aoyama
,
B.K. Chakrabarti
,
Asim Gosh
Ouvrages
hal-01006419v1
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Ergodicity and scaling limit of a constrained multivariate Hawkes process
Ban Zheng
,
François Roueff
,
Frédéric Abergel
Article dans une revue
hal-00777941v2
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Challenging the robustness of optimal portfolio investment with moving average-based strategies
Ahmed Bel Hadj Ayed
,
Grégoire Loeper
,
Frédéric Abergel
Article dans une revue
hal-02527992v1
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Optimizing a basket against the efficient market hypothesis
Frédéric Abergel
,
Mauro Politi
Article dans une revue
hal-00773315v1
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A stochastic control approach for options market making
Sofiene El Aoud
,
Frédéric Abergel
Article dans une revue
hal-01061852v3
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Econophysics of order-driven markets
Frédéric Abergel
,
Anirban Chakraborti
,
B.K. Chakrabarti
,
M. Mitra
Ouvrages
hal-00872396v1
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High frequency correlation modelling
Nicolas Huth
,
Frédéric Abergel
5th Kolkata Econophysics conference , Mar 2010, Kolkata, India. Econophysics of order-driven markets, p 189-202
Communication dans un congrès
hal-00621244v1
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Stability and price scaling limit of a Hawkes-process based order book model
Aymen Jedidi
,
Frédéric Abergel
2013
Pré-publication, Document de travail
hal-00821607v1
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Econophysics and Sociophysics: Recent Progress and Future Directions
Frédéric Abergel
,
Hideaki Aoyama
,
Bikas K Chakrabarti
,
Anirban Chakraborti
,
Nivedita Deo
,
et al.
Ouvrages
hal-02748046v1
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Some Recent Results on High Frequency Correlation
Nicolas Huth
,
Frédéric Abergel
Chapitre d'ouvrage
hal-02777973v1
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Pricing and Hedging Contingent Claims with Liquidity Costs and Market Impact
Frédéric Abergel
,
Gregoire Loeper
International Workshop on Econophysics and Sociophysics - Recent Progress and Future Directions (Econophys) , Jan 2017, Jawaharlal Nehru Univ, New Delhi, India
Communication dans un congrès
hal-02861049v1
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FORECASTING TRENDS WITH ASSET PRICES
Ahmed Belhadjayed
,
Grégoire Loeper
,
Frédéric Abergel
Article dans une revue
hal-01512431v1
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A financial engineering benchmark for performance analysis of grid middlewares
Viet Dung Doan
,
Abhijeet Gaikwad
,
Mireille Bossy
,
Françoise Baude
,
Frédéric Abergel
[Technical Report] RT-365, INRIA. 2009
Rapport
inria-00387324v2
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Econophysics review: I. Empirical facts
Anirban Chakraborti
,
Ioane Muni Toke
,
Marco Patriarca
,
Frédéric Abergel
Article dans une revue
hal-00621058v1
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The times change: multivariate subordination, empirical facts
Nicolas Huth
,
Frédéric Abergel
Article dans une revue
hal-00620841v1
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Stationary free surface viscous flows without surface tension in three dimensions
Frédéric Abergel
,
Jacques-Herbert Bailly
Differential and integral equations , 2012, 25 (9-10), pp.801-820
Article dans une revue
hal-00621191v7
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Algorithmic trading in a microstructural limit order book model
Frédéric Abergel
,
Côme Huré
,
Huyên Pham
Article dans une revue
hal-01514987v3
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Filtering problem for general modeling of the drift and application to portfolio optimization problems.
Dalia Ibrahim
,
Frédéric Abergel
2015
Pré-publication, Document de travail
hal-01235909v1
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A nonlinear partial integro-differential equation from mathematical finance
Frédéric Abergel
,
Rémi Tachet
Article dans une revue
hal-00611962v1
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Market Impact: A Systematic Study of Limit Orders
Emilio Said
,
Ahmed Bel Hadj Ayed
,
Alexandre Husson
,
Frédéric Abergel
Article dans une revue
hal-01561128v5
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