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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
Persistent link: https://www.econbiz.de/10009784056
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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
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Performance analysis of the optimal strategy under partial information
Bel Hadj Ayed, Ahmed; Loeper, Grégoire; El Aoud, Sofiene; … - In: International journal of theoretical and applied finance 20 (2017) 2, pp. 1-21
Persistent link: https://www.econbiz.de/10011686856
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A stochastic control approach to option market making
El Aoud, Sofiene; Abergel, Frédéric - In: Market microstructure and liquidity 1 (2015) 1, pp. 1-43
Persistent link: https://www.econbiz.de/10011588196
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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