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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

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

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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

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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

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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

Algorithmic trading in a microstructural limit order book model

Abergel, Frédéric; Huré, Côme; Pham, Huyên - In: Quantitative finance 20 (2020) 8, pp. 1263-1283

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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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Market microstructure : confronting many viewpoints

Abergel, Frédéric (contributor) - 2012 - Online-Ausg.

The latest cutting-edge research on market microstructure Based on the December 2010 conference on market microstructure, organized with the help of the Institut Louis Bachelier, this guide brings together the leading thinkers to discuss this important field of modern finance. It provides...

Persistent link: https://www.econbiz.de/10012661697

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