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Multiple-limit trades : empirical facts and application to lead-lag measures

 Fabrizio Pomponio , Frédéric Abergel
Quantitative Finance, 2013, 13 (5), pp.783-793. ⟨10.1080/14697688.2012.743671⟩
Article dans une revue hal-00745317v1

Limit Order Books

 Frédéric Abergel , Anirban Chakraborti , Aymen Jedidi , Ioane Muni Toke , Marouane Anane
Cambridge University Press, 2016, ⟨10.1017/CBO9781316683040⟩
Ouvrages hal-02177394v1
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What drives option prices ?

 Frédéric Abergel , Riadh Zaatour
Journal of Trading, 2012, 7 (3), pp.12-28. ⟨10.3905/jot.2012.7.3.012⟩
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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High dimensional Hawkes processes for limit order books Modelling, empirical analysis and numerical calibration

 Xiaofei Lu , Frédéric Abergel
Quantitative Finance, 2018, ⟨10.1080/14697688.2017.1403142⟩
Article dans une revue hal-01686122v1
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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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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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A Mathematical Approach to Order Book Modelling

 Frédéric Abergel , Aymen Jedidi
International Journal of Theoretical and Applied Finance, 2013, 16 (5), pp.1-40. ⟨10.1142/S0219024913500258⟩
Article dans une revue hal-00621253v3
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Tick size reduction and price clustering in a FX order book.

 Mehdi Lallouache , Frédéric Abergel
Physica A: Statistical Mechanics and its Applications, 2014, 416, pp.488-498. ⟨10.1016/j.physa.2014.09.016⟩
Article dans une revue hal-01006414v1

Econophysics of agent-based models

 Frédéric Abergel , Anirban Chakraborti , Hideaki Aoyama , B.K. Chakrabarti , Asim Gosh
Springer, pp.302, 2014, 978-3-319-00022-0. ⟨10.1007/978-3-319-00023-7⟩
Ouvrages hal-01006419v1
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Ergodicity and scaling limit of a constrained multivariate Hawkes process

 Ban Zheng , François Roueff , Frédéric Abergel
SIAM Journal on Financial Mathematics, 2014, 5 (1), pp.P. 99-136. ⟨10.1137/130912980⟩
Article dans une revue hal-00777941v2

Challenging the robustness of optimal portfolio investment with moving average-based strategies

 Ahmed Bel Hadj Ayed , Grégoire Loeper , Frédéric Abergel
Quantitative Finance, 2018, 19 (1), pp.123-135. ⟨10.1080/14697688.2018.1468080⟩
Article dans une revue hal-02527992v1
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Optimizing a basket against the efficient market hypothesis

 Frédéric Abergel , Mauro Politi
Quantitative Finance, 2012, 13 (1), pp.13-23. ⟨10.1080/14697688.2012.723821⟩
Article dans une revue hal-00773315v1
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A stochastic control approach for options market making

 Sofiene El Aoud , Frédéric Abergel
Market microstructure and liquidity, 2015, 1 (1), pp.1550006. ⟨10.1142/s2382626615500069⟩
Article dans une revue hal-01061852v3

Econophysics of order-driven markets

 Frédéric Abergel , Anirban Chakraborti , B.K. Chakrabarti , M. Mitra
Springer, pp.316, 2011, ISBN 978-88-470-1766-5. ⟨10.1007/978-88-470-1766-5⟩
Ouvrages hal-00872396v1

Econophysics and Sociophysics: Recent Progress and Future Directions

 Frédéric Abergel , Hideaki Aoyama , Bikas K Chakrabarti , Anirban Chakraborti , Nivedita Deo , et al.
2015, ⟨10.1007/978-3-319-47705-3⟩
Ouvrages hal-02748046v1
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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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A nonlinear partial integro-differential equation from mathematical finance

 Frédéric Abergel , Rémi Tachet
Discrete and Continuous Dynamical Systems - Series A, 2010, 27 (3), pp.907-917. ⟨10.3934/dcds.2010.27.907⟩
Article dans une revue hal-00611962v1
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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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Market Impact: A Systematic Study of Limit Orders

 Emilio Said , Ahmed Bel Hadj Ayed , Alexandre Husson , Frédéric Abergel
Market microstructure and liquidity, 2018, 3 (3-4), pp.1850008. ⟨10.1142/S2382626618500089⟩
Article dans une revue hal-01561128v5
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Market Impact: A Systematic Study of the High Frequency Options Market

 Emilio Said , Ahmed Bel Hadj Ayed , Damien Thillou , Jean-Jacques Rabeyrin , Frédéric Abergel
Quantitative Finance, 2020, 21 (1), pp.69-84. ⟨10.1080/14697688.2020.1791948⟩
Article dans une revue hal-02014248v2

Option Pricing and Hedging 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. ⟨10.1007/978-3-319-47705-3_2⟩
Communication dans un congrès hal-02402364v1

Market microstructure: confronting many viewpoints

 Frédéric Abergel , Jean-Philippe Bouchaud , Thierry Foucault , Mathieu Rosenbaum , Charles-Albert Lehalle
Wiley, pp.254, 2012, 978-1-119-95241-1. ⟨10.1002/9781118673553⟩
Ouvrages hal-00872398v1
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Interfaces stationnaires pour les équations de Navier-Stokes

 Frédéric Abergel , Elisabeth Rouy
[Rapport de recherche] RR-2651, INRIA. 1995, pp.45
Rapport inria-00074039v1

Econophysics of systemic risk and network dynamics

 Frédéric Abergel , Anirban Chakraborti , B.K. Chakrabarti , Asim Ghosh
Springer, pp.298, 2013, 978-88-470-2553-0. ⟨10.1007/978-88-470-2553-0⟩
Ouvrages hal-00872397v1
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Nonquadratic Local Risk-Minimization for Hedging Contingent Claims in Incomplete Markets

 Frédéric Abergel , Nicolas Millot
SIAM Journal on Financial Mathematics, 2011, 2 (1), pp. 342-356. ⟨10.1137/100803079⟩
Article dans une revue hal-00620843v1
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Gradient blow up in Zygmund spaces for the very weak solution of a linear elliptic equation

 Frédéric Abergel , Jean-Michel Rakotoson
Discrete and Continuous Dynamical Systems - Series A, 2013, 33 (5), pp.1809-1818. ⟨10.3934/dcds.2013.33.1809⟩
Article dans une revue hal-00647503v4

MMCS, Mathematical Modelling of Complex Systems

 Frédéric Abergel , Marc Aiguier , Damien Challet , Paul-Henry P.-H. Cournède , Gilles Fay , et al.
47, 2014, ESAIM: Proceedings and Surveys
Proceedings/Recueil des communications hal-02539582v1
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