Narrow search
Showing 1 - 6 of 6
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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