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~person:"Abergel, Frédéric"
~subject:"Asymmetric information"
~subject:"Geld-Brief-Spanne"
~subject:"Volatility"
~type_genre:"Article in journal"
~type_genre:"Guidebook"
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Abergel, Frédéric
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Market impact : a systematic study of the high frequency options market
Said, Emilio
;
Bel Hadj Ayed, Ahmed
;
Thillou, Damien
; …
- In:
Quantitative finance
21
(
2021
)
1
,
pp. 69-84
Persistent link: https://www.econbiz.de/10012424634
Saved in:
2
High-dimensional Hawkes processes for limit order books : modelling, empirical analysis and numerical calibration
Lu, Xiaofei
;
Abergel, Frédéric
- In:
Quantitative finance
18
(
2018
)
2
,
pp. 249-264
Persistent link: https://www.econbiz.de/10011905913
Saved in:
3
A mathematical approach to order book modeling
Abergel, Frédéric
;
Jedidi, Aymen
- In:
International journal of theoretical and applied finance
16
(
2013
)
5
,
pp. 1-40
Persistent link: https://www.econbiz.de/10009784056
Saved in:
4
Price jump prediction in a limit order book
Zheng, Ban
;
Moulines, Eric
;
Abergel, Frédéric
- In:
Journal of mathematical finance
3
(
2013
)
2
,
pp. 242-255
Persistent link: https://www.econbiz.de/10010239589
Saved in:
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