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Huth, Nicolas; Abergel, Frédéric - In: Econophysics of Order-driven Markets : proceedings of …, (pp. 189-202). 2011

Persistent link: https://www.econbiz.de/10009349702

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

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

Order-Book Modeling and Market Making Strategies

Lu, Xiaofei; Abergel, Frédéric - In: Market microstructure and liquidity 4 (2018) 1/2, pp. 1-30

Persistent link: https://www.econbiz.de/10012256407

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

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

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

Bel Hadj Ayed, Ahmed; Loeper, Grégoire; Abergel, Frédéric - In: Quantitative finance 19 (2019) 1, pp. 123-135

Persistent link: https://www.econbiz.de/10012194624

Nonparametric model calibration for derivatives

Abergel, Frédéric; Tachet des Combes, Rémy; Zaatour, … - In: Journal of mathematical finance 7 (2017) 3, pp. 571-596

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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

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The times change: multivariate subordination. Empirical facts

Huth, Nicolas; Abergel, Frédéric - In: Quantitative Finance 12 (2012) 1, pp. 1-10

The management of correlation risk is of the utmost importance in several areas of investment banking: multi-asset derivatives pricing and hedging, optimal asset allocation, risk management, statistical arbitrage and many others.§ However, the modeling of correlation as a time-dependent...

Persistent link: https://www.econbiz.de/10010976211