Frédéric Abergel

Laboratoire

Mathématiques et Informatique pour la Complexité et les Systèmes

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Publications (53)

Article dans une revue 02/08/2020

Algorithmic trading in a microstructural limit order book model

Côme Huré , Huyên Pham , Frédéric Abergel

Article dans une revue 01/01/2020

Market Impact: A Systematic Study of the High Frequency Options Market

Emilio Said , Ahmed Bel Hadj Ayed , Damien Thillou , Jean-Jacques Rabeyrin , Frédéric Abergel

Article dans une revue 08/06/2018

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

Ahmed Bel Hadj Ayed , Grégoire Loeper , Frédéric Abergel

Article dans une revue 01/06/2018

Non-linear filtering and optimal investment under partial information for stochastic volatility models

Dalia Ibrahim , Frédéric Abergel

Article dans une revue 08/01/2018

High dimensional Hawkes processes for limit order books Modelling, empirical analysis and numerical calibration

Xiaofei Lu , Frédéric Abergel

Article dans une revue 01/01/2018

Market Impact: A Systematic Study of Limit Orders

Emilio Said , Ahmed Bel Hadj Ayed , Alexandre Husson , Frédéric Abergel

31/03/2017

Limit order book modelling with high dimensional Hawkes processes

Xiaofei Lu , Frédéric Abergel

Article dans une revue 07/03/2017

Performance analysis of the optimal strategy under partial information

Ahmed Belhadjayed , Grégoire Loeper , Sofiene El Aoud , Frédéric Abergel

Communication dans un congrès 01/01/2017

Option Pricing and Hedging with Liquidity Costs and Market Impact

Grégoire Loeper , Frédéric Abergel

Article dans une revue 01/01/2017

Nonparametric model calibration for derivatives

Rémy Tachet Des Combes , Riadh Zaatour , Frédéric Abergel

Communication dans un congrès 01/01/2017

Pricing and Hedging Contingent Claims with Liquidity Costs and Market Impact

Grégoire Loeper , Frédéric Abergel

Article dans une revue 01/01/2016

FORECASTING TRENDS WITH ASSET PRICES

Ahmed Belhadjayed , Grégoire Loeper , Frédéric Abergel

Ouvrage 01/01/2016

Limit Order Books

Anirban Chakraborti , Aymen Jedidi , Marouane Anane , Frédéric Abergel , Ioane Muni Toke

30/11/2015

Filtering problem for general modeling of the drift and application to portfolio optimization problems.

Dalia Ibrahim , Frédéric Abergel

Article dans une revue 05/11/2015

Long-Time Behavior of a Hawkes Process--Based Limit Order Book

Aymen Jedidi , Frédéric Abergel

Article dans une revue 01/09/2015

A stochastic control approach for options market making

Sofiene El Aoud , Frédéric Abergel

05/02/2015

Lyapunov function for a Hawkes process-based limit order book

Frédéric Abergel

Chapitre d'ouvrage 28/01/2015

Empirical Evidence of Market Inefficiency: Predicting Single-Stock Returns

Marouane Anane , Frédéric Abergel

Proceedings 01/01/2015

Econophysics and data-driven modelling of market dynamics

Hideaki Aoyama , Bikas K. Chakrabarti , Anirban Chakraborti , Asim Gosh , Frédéric Abergel

Ouvrage 01/01/2015

Econophysics and Sociophysics: Recent Progress and Future Directions

Hideaki Aoyama , Bikas K Chakrabarti , Anirban Chakraborti , Nivedita Deo , Dhruv Raina , Irena Vodenska , Frédéric Abergel

Communication dans un congrès 01/01/2015

Calibration of a stock's beta using options prices

Sofiene El Aoud , Frédéric Abergel

Proceedings 01/12/2014

MMCS, Mathematical Modelling of Complex Systems

Paul-Henry P.-H. Cournède , Pauline Godillon-Lafitte , Frédéric Abergel , Damien Challet , Paul-Henry Cournede , Gilles Fay , Pauline Lafitte

05/02/2014

Optimal high frequency strategy in an omniscient order book

Marouane Anane , Frédéric Abergel

Article dans une revue 04/02/2014

Ergodicity and scaling limit of a constrained multivariate Hawkes process

Ban Zheng , François Roueff , Frédéric Abergel

Article dans une revue 01/01/2014

Tick size reduction and price clustering in a FX order book.

Mehdi Lallouache , Frédéric Abergel

Ouvrage 01/01/2014

Econophysics of agent-based models

Anirban Chakraborti , Hideaki Aoyama , B.K. Chakrabarti , Asim Gosh , Frédéric Abergel

Article dans une revue 01/05/2013

Gradient blow up in Zygmund spaces for the very weak solution of a linear elliptic equation

Jean-Michel Rakotoson , Frédéric Abergel

Article dans une revue 01/05/2013

Price jump prediction in a limit order book

Ban Zheng , Eric Moulines , Frédéric Abergel

Article dans une revue 01/05/2013

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

Fabrizio Pomponio , Frédéric Abergel

Chapitre d'ouvrage 15/04/2013

Some Recent Results on High Frequency Correlation

Nicolas Huth , Frédéric Abergel