User profiles for F. Abergel
Frédéric AbergelSenior quantitative analyst, BNP Paribas Asset Management Verified email at bnpparibas.com Cited by 3027 |
Econophysics review: I. Empirical facts
…, IM Toke, M Patriarca, F Abergel - Quantitative …, 2011 - Taylor & Francis
This article and the companion paper aim at reviewing recent empirical and theoretical
developments usually grouped under the term Econophysics. Since the name was coined in …
developments usually grouped under the term Econophysics. Since the name was coined in …
Econophysics review: II. Agent-based models
…, IM Toke, M Patriarca, F Abergel - Quantitative …, 2011 - Taylor & Francis
… This model considers a market with N agents who can be part of two distinct groups of
traders: n f traders are ‘fundamentalists’, who share an exogenous idea p f of the value of the …
traders: n f traders are ‘fundamentalists’, who share an exogenous idea p f of the value of the …
On some control problems in fluid mechanics
… where the forcing term f is the control. Our goal is to determine the existence and characterization
of those f that minimize the turbulence in f~. This particular choice of control is not of …
of those f that minimize the turbulence in f~. This particular choice of control is not of …
A mathematical approach to order book modeling
F Abergel, A Jedidi - … Journal of Theoretical and Applied Finance, 2013 - World Scientific
Motivated by the desire to bridge the gap between the microscopic description of price
formation (agent-based modeling) and the stochastic differential equations approach used …
formation (agent-based modeling) and the stochastic differential equations approach used …
[BOOK][B] Limit order books
F Abergel, M Anane, A Chakraborti, A Jedidi, IM Toke - 2016 - books.google.com
… Several sections of this book were completed while Frederic Abergel was visiting the
Graduate School of Mathematical Sciences at the University of Tokyo, and the Laboratoire de …
Graduate School of Mathematical Sciences at the University of Tokyo, and the Laboratoire de …
Existence and finite dimensionality of the global attractor for evolution equations on unbounded domains
F Abergel - Journal of Differential Equations, 1990 - Elsevier
This paper is devoted to the asymptotic behavior for some evolution equations when the
underlying Euclidean domain is unbounded. We present a method that is able to overcome the …
underlying Euclidean domain is unbounded. We present a method that is able to overcome the …
Long-time behavior of a hawkes process--based limit order book
F Abergel, A Jedidi - SIAM Journal on Financial Mathematics, 2015 - SIAM
… book process is the operator L defined, for functions F : (a;b;μ) → F(a;b;μ) that are of class C
… In order to ease the already cumbersome notation, we have written F(ai;b;μ) instead of F(a1,.…
… In order to ease the already cumbersome notation, we have written F(ai;b;μ) instead of F(a1,.…
High frequency lead/lag relationships—empirical facts
N Huth, F Abergel - Journal of Empirical Finance, 2014 - Elsevier
Lead/lag relationships are an important stylized fact at high frequency. Some assets follow
the path of others with a small time lag. We provide indicators to measure this phenomenon …
the path of others with a small time lag. We provide indicators to measure this phenomenon …
High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration
X Lu, F Abergel - Quantitative Finance, 2018 - Taylor & Francis
… ) is an early study of Hawkes processes applied to order book modelling, Hawkes-process-based
limit order book models are introduced and mathematically investigated in Abergel …
limit order book models are introduced and mathematically investigated in Abergel …
Price jump prediction in limit order book
A limit order book provides information on available limit order prices and their volumes.
Based on these quantities, we give an empirical result on the relationship between the bid-ask …
Based on these quantities, we give an empirical result on the relationship between the bid-ask …