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Publications by Frederic Abergel

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

SSRN Electronic Journal

English

The Times Change: Multivariate Subordination, Empirical Facts

SSRN Electronic Journal

English

Related publications

Price Jump Prediction in a Limit Order Book

Journal of Mathematical Finance

English

A Dynamic Model of the Limit Order Book

Review of Financial Studies

English

Short-Term Stock Price Analysis Based on Order Book Information

Transactions of the Japanese Society for Artificial Intelligence

Artificial Intelligence

English

Modelling Trades-Through in a Limited Order Book Using Hawkes Processes

SSRN Electronic Journal

English

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

SSRN Electronic Journal

English

Scaling Limit for a Drainage Network Model

Journal of Applied Probability

English

Analyzing an Electronic Limit Order Book

Numerical Analysis

English

Limit Order Book as a Market for Liquidity

SSRN Electronic Journal

English

Scaling Limit of a Discrete Prion Dynamics Model

Communications in Mathematical Sciences

Applied Mathematics

English