Frédéric Abergel

Publications :

• Article in a review - 24 documents
• • Frédéric Abergel, Côme Huré, Huyên Pham. Algorithmic trading in a microstructural limit order book model, 2020-08-02. (https://hal.science/hal-01514987v3)
  • Emilio Said, Ahmed Bel Hadj Ayed, Damien Thillou, Jean-Jacques Rabeyrin, Frédéric Abergel. Market Impact: A Systematic Study of the High Frequency Options Market, 2020. (https://hal.science/hal-02014248v2)
  • Ahmed Bel Hadj Ayed, Grégoire Loeper, Frédéric Abergel. Challenging the robustness of optimal portfolio investment with moving average-based strategies, 2018-06-08. (https://centralesupelec.hal.science/hal-02527992v1)
  • Dalia Ibrahim, Frédéric Abergel. Non-linear filtering and optimal investment under partial information for stochastic volatility models, 2018-06. (https://hal.science/hal-01018869v5)
  • Xiaofei Lu, Frédéric Abergel. High dimensional Hawkes processes for limit order books Modelling, empirical analysis and numerical calibration, 2018-01-08. (https://hal.science/hal-01686122v1)
  • Emilio Said, Ahmed Bel Hadj Ayed, Alexandre Husson, Frédéric Abergel. Market Impact: A Systematic Study of Limit Orders, 2018. (https://hal.science/hal-01561128v5)
  • Ahmed Belhadjayed, Grégoire Loeper, Sofiene El Aoud, Frédéric Abergel. Performance analysis of the optimal strategy under partial information, 2017-03-07. (https://hal.science/hal-01512432v1)
  • Frédéric Abergel, Rémy Tachet Des Combes, Riadh Zaatour. Nonparametric model calibration for derivatives, 2017. (https://hal.science/hal-01399542v2)
  • Ahmed Belhadjayed, Grégoire Loeper, Frédéric Abergel. FORECASTING TRENDS WITH ASSET PRICES, 2016. (https://hal.science/hal-01512431v1)
  • Sofiene El Aoud, Frédéric Abergel. A stochastic control approach for options market making, 2015-09-01. (https://hal.science/hal-01061852v3)
  • Ban Zheng, François Roueff, Frédéric Abergel. Ergodicity and scaling limit of a constrained multivariate Hawkes process, 2014-02-04. (https://hal.science/hal-00777941v2)
  • Mehdi Lallouache, Frédéric Abergel. Tick size reduction and price clustering in a FX order book., 2014. (https://hal.science/hal-01006414v1)
  • Frédéric Abergel, Jean-Michel Rakotoson. Gradient blow up in Zygmund spaces for the very weak solution of a linear elliptic equation, 2013-05. (https://hal.science/hal-00647503v4)
  • Fabrizio Pomponio, Frédéric Abergel. Multiple-limit trades : empirical facts and application to lead-lag measures, 2013-05. (https://hal.science/hal-00745317v1)
  • Ban Zheng, Eric Moulines, Frédéric Abergel. Price jump prediction in a limit order book, 2013-05. (https://hal.science/hal-00684716v2)
  • Frédéric Abergel, Aymen Jedidi. A Mathematical Approach to Order Book Modelling, 2013. (https://hal.science/hal-00621253v3)
  • Frédéric Abergel, Mauro Politi. Optimizing a basket against the efficient market hypothesis, 2012-12-14. (https://hal.science/hal-00773315v1)
  • Frédéric Abergel, Jacques-Herbert Bailly. Stationary free surface viscous flows without surface tension in three dimensions, 2012-09. (https://hal.science/hal-00621191v7)
  • Frédéric Abergel, Riadh Zaatour. What drives option prices ?, 2012-06. (https://hal.science/hal-00687675v1)
  • Nicolas Huth, Frédéric Abergel. The times change: multivariate subordination, empirical facts, 2012-01. (https://hal.science/hal-00620841v1)
  • Anirban Chakraborti, Ioane Muni Toke, Marco Patriarca, Frédéric Abergel. Econophysics review: I. Empirical facts, 2011-06-24. (https://hal.science/hal-00621058v1)
  • Anirban Chakraborti, Ioane Muni Toke, Marco Patriarca, Frédéric Abergel. Econophysics review: II. Agent-based models, 2011-06-24. (https://hal.science/hal-00621059v1)
  • Frédéric Abergel, Nicolas Millot. Nonquadratic Local Risk-Minimization for Hedging Contingent Claims in Incomplete Markets, 2011-05-24. (https://hal.science/hal-00620843v1)
  • Frédéric Abergel, Rémi Tachet. A nonlinear partial integro-differential equation from mathematical finance, 2010-07-01. (https://hal.science/hal-00611962v1)
• Pre-submission / Working document - 8 documents
• • Xiaofei Lu, Frédéric Abergel. Limit order book modelling with high dimensional Hawkes processes, 2017-03-31. (https://hal.science/hal-01512430v1)
  • Dalia Ibrahim, Frédéric Abergel. Filtering problem for general modeling of the drift and application to portfolio optimization problems., 2015-11-30. (https://hal.science/hal-01235909v1)
  • Marouane Anane, Frédéric Abergel. Optimal high frequency strategy in an omniscient order book, 2014-02-05. (https://hal.science/hal-01006401v1)
  • Frédéric Abergel, Grégoire Loeper. Pricing and hedging contingent claims with liquidity costs and market impact, 2013-03-19. (https://hal.science/hal-00802402v4)
  • Frédéric Abergel. Comparing quadratic and non-quadratic local risk minimization for the hedging of contingent claims, 2013-01-08. (https://hal.science/hal-00771528v1)
  • Aymen Jedidi, Frédéric Abergel. Stability and price scaling limit of a Hawkes-process based order book model, 2013. (https://hal.science/hal-00821607v1)
  • Frédéric Abergel, Nicolas Millot. Non Quadratic Local Risk-Minimization for Hedging Contingent Claims in the Presence of Transaction Costs, 2011-12-06. (https://hal.science/hal-00621256v2)
  • Nicolas Huth, Frédéric Abergel. High Frequency Lead/lag Relationships - Empirical facts, 2011-11-28. (https://hal.science/hal-00645685v1)
• Communication on a congress - 5 documents
• • Frédéric Abergel, Gregoire Loeper. Pricing and Hedging Contingent Claims with Liquidity Costs and Market Impact, 2017-01. (https://centralesupelec.hal.science/hal-02861049v1)
  • Frédéric Abergel, Gregoire Loeper. Option Pricing and Hedging with Liquidity Costs and Market Impact, 2017-01. (https://centralesupelec.hal.science/hal-02402364v1)
  • Sofiene El Aoud, Frédéric Abergel. Calibration of a stock's beta using options prices, 2014-03-14. (https://hal.science/hal-01006405v1)
  • Nicolas Huth, Frédéric Abergel. High frequency correlation modelling, 2010-03. (https://hal.science/hal-00621244v1)
  • Frédéric Abergel. Credit risk in the pricing and hedging of derivatives, 2008-03-27. (https://hal.science/hal-00620847v1)
• Work - 6 documents
• • Frédéric Abergel, Anirban Chakraborti, Aymen Jedidi, Ioane Muni Toke, Marouane Anane. Limit Order Books, 2016. (https://hal.science/hal-02177394v1)
  • Frédéric Abergel, Hideaki Aoyama, Bikas K Chakrabarti, Anirban Chakraborti, Nivedita Deo, Dhruv Raina, Irena Vodenska. Econophysics and Sociophysics: Recent Progress and Future Directions, 2015. (https://centralesupelec.hal.science/hal-02748046v1)
  • Frédéric Abergel, Anirban Chakraborti, Hideaki Aoyama, B.K. Chakrabarti, Asim Gosh. Econophysics of agent-based models, 2014. (https://hal.science/hal-01006419v1)
  • Frédéric Abergel, Anirban Chakraborti, B.K. Chakrabarti, Asim Ghosh. Econophysics of systemic risk and network dynamics, 2013. (https://hal.science/hal-00872397v1)
  • Frédéric Abergel, Jean-Philippe Bouchaud, Thierry Foucault, Mathieu Rosenbaum, Charles-Albert Lehalle. Market microstructure: confronting many viewpoints, 2012. (https://hal.science/hal-00872398v1)
  • Frédéric Abergel, Anirban Chakraborti, B.K. Chakrabarti, M. Mitra. Econophysics of order-driven markets, 2011. (https://hal.science/hal-00872396v1)
• Work chapter - 2 documents
• • Marouane Anane, Frédéric Abergel. Empirical Evidence of Market Inefficiency: Predicting Single-Stock Returns, 2015-01-28. (https://centralesupelec.hal.science/hal-02861061v1)
  • Nicolas Huth, Frédéric Abergel. Some Recent Results on High Frequency Correlation, 2013-04-15. (https://hal.science/hal-02777973v1)
• PROCEEDINGS - 2 documents
• • Frédéric Abergel, Hideaki Aoyama, Bikas K. Chakrabarti, Anirban Chakraborti, Asim Gosh. Econophysics and data-driven modelling of market dynamics, 2015-01. (https://hal.science/hal-01226816v1)
  • Frédéric Abergel, Marc Aiguier, Damien Challet, Paul-Henry P.-H. Cournède, Gilles Fay, Pauline Godillon-Lafitte. MMCS, Mathematical Modelling of Complex Systems, 2014-12. (https://hal.science/hal-02539582v1)
• Report - 2 documents
• • Viet Dung Doan, Abhijeet Gaikwad, Mireille Bossy, Françoise Baude, Frédéric Abergel. A financial engineering benchmark for performance analysis of grid middlewares, 2009. (https://inria.hal.science/inria-00387324v2)
  • Frédéric Abergel, Elisabeth Rouy. Interfaces stationnaires pour les équations de Navier-Stokes, 1995. (https://inria.hal.science/inria-00074039v1)
• Dissertation - 1 document
• • Frédéric Abergel. Etude d'un problème de contrôle optimal convexe mal posé, 1986-06-09. (https://theses.hal.science/tel-04140685v1)