Frederic Abergel

Frederic Abergel

Paris et périphérie
1 k abonnés + de 500 relations

À propos

Assistant professor, Penn State University, 1987-1989
Researcher in Applied…

Activité

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Expérience

Formation

  • Habilitation à diriger des recherches, département de Mathématiques, Université Paris XI

  • -

Publications

  • A Mathematical Approach to Order Book Modelling

    International Journal of Theoretical and Applied Finance

    Other authors
    • Aymen Jedidi
  • A stochastic control approach for options market making

    Market Microstructure and Liquidity

    Other authors
  • Credit risk in the pricing and hedging of derivatives

    -

  • Econophysics review: I. Empirical facts

    Quantitative Finance

    Other authors
  • Econophysics review: II. Agent-based models

    Quantitative Finance

    Other authors
  • Empirical evidence of market inefficiency: predicting single-stock returns

    Proceedings of the 8th Kolkata Econophysics Conference, Springer, New Economic Window

  • Forecasting trends with asset prices

    Quantitative Finance

    Other authors
  • High dimensional Hawkes processes for limit order books

    Quantitative Finance

    Other authors
    • Xiaofei Lu
  • High frequency lead/lag relationships—Empirical facts

    Journal of Empirical Finance

    Other authors
  • Market Impact: A Systematic Study of Limit Orders

    Market Microstrcture and Liquidity

    Other authors
  • Market Impact: A Systematic Study of the High Frequency Option Market

    -

    Other authors
  • Multiple-limit trades: empirical facts and application to lead–lag measures

    Quantitative Finance

    Other authors
  • Optimizing a basket against the efficient market hypothesis

    Quantitative Finance

  • Order-book modelling and market making strategies

    Market Microstructure and Liquidity

    Other authors
    • Xiaofei Lu
  • Performance analysis of the optimal strategy under partial information

    International Journal of Theoretical and Applied Finance

    Other authors
  • Price Jump Prediction in a Limit Order Book

    Journal of Mathematical Finance

    Other authors
  • Robustness of mathematical models and technical analysis-based strategies

    Quantitative Finance

    Other authors
  • The times change: multivariate subordination, empirical facts

    Quantitative Finance

    Other authors
  • Understanding the Stakes of High-Frequency Trading

    The journal of Trading

    Other authors
  • What drives option prices?

    Journal of Trading

    Other authors
    • Riadh Zaatour

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