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~person:"Abergel, Frédéric"
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Electronic trading
6
Elektronisches Handelssystem
6
Börsenkurs
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Market microstructure
5
Marktmikrostruktur
5
Securities trading
5
Share price
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Wertpapierhandel
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Agent-based modeling
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Fair pricing
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High Frequency Trading
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High-dimensional stochastic control
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High-frequency trading
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Limit Order Book
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Limit orders
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Local regression
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Market impact
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Abergel, Frédéric
Theissen, Erik
27
Cartea, Álvaro
26
Foucault, Thierry
22
Gomber, Peter
19
Riordan, Ryan
19
Brogaard, Jonathan
18
Hendershott, Terrence
18
Jaimungal, Sebastian
18
Menkveld, Albert J.
18
Aitken, Michael J.
16
Ibikunle, Gbenga
16
Rime, Dagfinn
16
Frino, Alex
15
O'Hara, Maureen
14
Van Ness, Robert A.
13
Van Vliet, Benjamin
13
Aquilina, Matteo
12
Budish, Eric B.
11
Moinas, Sophie
11
O'Neill, Peter
11
Schrimpf, Andreas
11
Aldridge, Irene
10
Bellia, Mario
10
Cumming, Douglas J.
10
Grammig, Joachim
10
Hjalmarsson, Erik
10
King, Michael R.
10
Mizrach, Bruce Marshall
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Zhan, Feng
10
Frijns, Bart
9
Gsell, Markus
9
McCrary, Justin
9
Napoletano, Mauro
9
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9
Van Achter, Mark
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Van Ness, Bonnie F.
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Quantitative finance
2
Econophysics of Order-driven Markets : proceedings of Econophys-Kolkata V
1
Journal of mathematical finance
1
Market microstructure and liquidity
1
The journal of trading
1
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ECONIS (ZBW)
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1
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
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2
Algorithmic trading in a microstructural limit order book model
Abergel, Frédéric
;
Huré, Côme
;
Pham, Huyên
- In:
Quantitative finance
20
(
2020
)
8
,
pp. 1263-1283
Persistent link: https://www.econbiz.de/10012262662
Saved in:
3
Market impact : a systematic study of limit orders
Said, Emilio
;
Bel Hadj Ayed, Ahmed
;
Husson, Alexandre
; …
- In:
Market microstructure and liquidity
3
(
2017
)
3/4
,
pp. 1-33
Persistent link: https://www.econbiz.de/10011988894
Saved in:
4
Understanding the stakes of high-frequency trading
Abergel, Frédéric
;
Lehalle, Charles-Albert
; …
- In:
The journal of trading
9
(
2014
)
4
,
pp. 49-73
Persistent link: https://www.econbiz.de/10011291063
Saved in:
5
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:
6
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
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