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Abergel, Frédéric
244  Ergebnisse:
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1

Algorithmic trading in a microstructural limit order book m..:

Abergel, Frédéric ; Huré, Côme ; Pham, Huyên
Quantitative Finance.  20 (2020)  8 - p. 1263-1283 , 2020
Link: https://doi.org/10.1080/..
 
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2

Market impact: a systematic study of the high frequency opt..:

Said, Emilio ; Bel Hadj Ayed, Ahmed ; Thillou, Damien..
Quantitative Finance.  21 (2020)  1 - p. 69-84 , 2020
Link: https://doi.org/10.1080/..
 
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3

New Perspectives and Challenges in Econophysics and Socioph.. 

New Economic Windows
Abergel, Frédéric ; Chakrabarti, Bikas K ; Chakraborti, Anirban.. - 1st ed. 2019 . , 2019
Link: https://doi.org/10.1007/..
 
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4

High-dimensional Hawkes processes for limit order books: mo..:

Lu, Xiaofei ; Abergel, Frédéric
Quantitative Finance.  18 (2018)  2 - p. 249-264 , 2018
Link: https://doi.org/10.1080/..
 
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5

Challenging the robustness of optimal portfolio investment ..:

Bel Hadj Ayed, Ahmed ; Loeper, Grégoire ; Abergel, Frédéric
Quantitative Finance.  19 (2018)  1 - p. 123-135 , 2018
Link: https://doi.org/10.1080/..
 
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6

Non-linear filtering and optimal investment under partial i..:

Ibrahim, Dalia ; Abergel, Frédéric
Mathematical Methods of Operations Research.  87 (2018)  3 - p. 311-346 , 2018
Link: https://doi.org/10.1007/..
 
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7

Nonparametric Model Calibration for Derivatives:

Abergel, Frédéric ; des Combes, Rémy Tachet ; Zaatour, Riadh
Journal of Mathematical Finance.  7 (2017)  3 - p. 571-596 , 2017
Link: https://doi.org/10.4236/..
 
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8

Limit order books 

Physics of society, econophysics and sociophysics;Physics of society : econophysics and sociophysics
Abergel, Frédéric , 2016
Link: https://doi.org/10.1017/..
 
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9

Forecasting trends with asset prices:

Bel Hadj Ayed, Ahmed ; Loeper, Grégoire ; Abergel, Frédéric
Quantitative Finance.  17 (2016)  3 - p. 369-382 , 2016
Link: https://doi.org/10.1080/..
 
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10

Long-Time Behavior of a Hawkes Process--Based Limit Order B..:

Abergel, Frédéric ; Jedidi, Aymen
SIAM Journal on Financial Mathematics.  6 (2015)  1 - p. 1026-1043 , 2015
Link: https://doi.org/10.1137/..
 
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11

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

Lallouache, Mehdi ; Abergel, Frédéric
Physica A: Statistical Mechanics and its Applications.  416 (2014)  - p. 488-498 , 2014
Link: https://doi.org/10.1016/..
 
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12

Modelling Bid and Ask Prices Using Constrained Hawkes Proce..:

Zheng, Ban ; Roueff, François ; Abergel, Frédéric
SIAM Journal on Financial Mathematics.  5 (2014)  1 - p. 99-136 , 2014
Link: https://doi.org/10.1137/..
 
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13

High frequency lead/lag relationships — Empirical facts:

Huth, Nicolas ; Abergel, Frédéric
Journal of Empirical Finance.  26 (2014)  - p. 41-58 , 2014
Link: https://doi.org/10.1016/..
 
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14

Multiple-limit trades: empirical facts and application to l..:

Pomponio, Fabrizio ; Abergel, Frederic
Quantitative Finance.  13 (2013)  5 - p. 783-793 , 2013
Link: https://doi.org/10.1080/..
 
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15

Price Jump Prediction in a Limit Order Book:

Zheng, Ban ; Moulines, Eric ; Abergel, Frédéric
Journal of Mathematical Finance.  3 (2013)  2 - p. 242-255 , 2013
Link: https://doi.org/10.4236/..
 
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