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~person:"Abergel, Frédéric"
~subject:"Market liquidity"
~subject:"Theory"
~subject:"Transaktionskosten"
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Market liquidity
Theory
Transaktionskosten
Bid-ask spread
5
Geld-Brief-Spanne
5
Market microstructure
5
Marktmikrostruktur
5
Securities trading
4
Theorie
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Wertpapierhandel
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Share price
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Elektronisches Handelssystem
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Bourse
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Hawkes processes
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Limit Order Book
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Limit order book
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Limit order books
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Logistic Regression
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Markov chain
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Mikrostrukturtheorie <Kapitalmarkttheorie>
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Non-convex optimization
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Price Jump
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agent-based modeling
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bid-ask spread
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Abergel, Frédéric
Theissen, Erik
18
Kyle, Albert S.
14
Foucault, Thierry
11
Kandel, Eugene
9
Starr, Ross M.
9
Hautsch, Nikolaus
8
O'Hara, Maureen
8
Wu, Chunchi
8
Bessembinder, Hendrik
7
Chung, Kee H.
7
Gehrig, Thomas
7
Lagos, Ricardo
7
Nyholm, Ken
7
Obižaeva, Anna
7
Röell, Ailsa
7
Ap Gwilym, Owain
6
Biais, Bruno
6
Chateauneuf, Alain
6
Kadan, Ohad
6
Obizhaeva, Anna A.
6
Ranaldo, Angelo
6
Rocheteau, Guillaume
6
Shen, Pu
6
Verousis, Thanos
6
Weill, Pierre-Olivier
6
Easley, David
5
He, Zhiguo
5
Hess, Dieter
5
Jong, Frank de
5
Lovo, Stefano M.
5
Milbradt, Konstantin
5
Perrakis, Stylianos
5
Rindi, Barbara
5
Veredas, David
5
Abdi, Farshid
4
Chen, Hui
4
Cui, Rui
4
Gregoriou, Andros
4
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Econophysics of Order-driven Markets : proceedings of Econophys-Kolkata V
1
International journal of theoretical and applied finance
1
Journal of mathematical finance
1
Quantitative finance
1
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ECONIS (ZBW)
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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:
2
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:
3
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:
4
Multi-agent order book simulation : mono- and multi-asset high-frequency market making strategies
Foata, Laurent
;
Vidhamali, Michael
;
Abergel, Frédéric
- In:
Econophysics of Order-driven Markets : proceedings of …
,
(pp. 139-152)
.
2011
Persistent link: https://www.econbiz.de/10009349718
Saved in:
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