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Publications by Frédéric Abergel

Price Jump Prediction in a Limit Order Book

Journal of Mathematical Finance

English

Related publications

On the Stability and Price Scaling Limit of a Hawkes Process-Based Order Book Model

SSRN Electronic Journal

English

Analyzing an Electronic Limit Order Book

Numerical Analysis

English

A Dynamic Model of the Limit Order Book

Review of Financial Studies

English

Limit Order Book as a Market for Liquidity

SSRN Electronic Journal

English

Online Learning in Limit Order Book Trade Execution

IEEE Transactions on Signal Processing

Electronic Engineering

Signal Processing

English

Ex-Dividend Trading Deadlines and Limit Order Book Liquidity

SSRN Electronic Journal

English

Optimal Execution in a Limit Order Book and an Associated Microstructure Market Impact Model

SSRN Electronic Journal

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Short-Term Stock Price Analysis Based on Order Book Information

Transactions of the Japanese Society for Artificial Intelligence

Artificial Intelligence

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An Open-Source Limit-Order-Book Exchange for Teaching and Research

English