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LOB modeling using Hawkes processes with a state-dependent factor

Emmanouil Sfendourakis , Ioane Muni Toke
Market microstructure and liquidity, 2023, ⟨10.1142/S2382626620500148⟩
Journal articles hal-03417460v1
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Dissecting the explanatory power of ESG features on equity returns by sector, capitalization, and year with interpretable machine learning

Jérémi Assael , Laurent Carlier , Damien Challet
Journal of Risk and Financial Management, 2023, 16 (3), pp.159. ⟨10.3390/jrfm16030159⟩
Journal articles hal-03791538v2
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Greenhouse gases emissions: estimating corporate non-reported emissions using interpretable machine learning

Jeremi Assael , Thibaut Heurtebize , Laurent Carlier , François Soupé
Sustainability, 2023, ⟨10.3390/su15043391⟩
Journal articles hal-03905325v3

Marked point processes and intensity ratios for limit order book modeling

Ioane Muni Toke , Nakahiro Yoshida
Japanese Journal of Statistics and Data Science , 2022, ⟨10.1007/s42081-021-00137-9⟩
Journal articles hal-02465428v1
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History-Augmented Collaborative Filtering for Financial Recommendations

Baptiste Barreau , Laurent Carlier
RecSys '20: Fourteenth ACM Conference on Recommender Systems, Sep 2020, Virtual Event, Brazil. pp.492-497, ⟨10.1145/3383313.3412206⟩
Conference papers hal-03144669v1
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Deep Prediction Of Investor Interest: a Supervised Clustering Approach

Baptiste Barreau , Laurent Carlier , Damien Challet
2019
Preprints, Working Papers, ... hal-02276055v2
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Nonparametric sign prediction of high-dimensional correlation matrix coefficients

Christian Bongiorno , Damien Challet
2019
Preprints, Working Papers, ... hal-02335586v1
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How Option Hedging Shapes Market Impact

Emilio Said
2019
Preprints, Working Papers, ... hal-02310080v2
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Analyzing order flows in limit order books with ratios of Cox-type intensities

Ioane Muni Toke , Nakahiro Yoshida
2019
Preprints, Working Papers, ... hal-01799398v2
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Nested partitions from hierarchical clustering statistical validation

Christian Bongiorno , Salvatore Miccichè , Rosario N Mantegna
2019
Preprints, Working Papers, ... hal-02157744v1

A Few Simulation Results of Basic Models of Limit Order Books

Ioane Muni Toke
New Perspectives and Challenges in Econophysics and Sociophysics, pp.35-48, 2019, ⟨10.1007/978-3-030-11364-3_3⟩
Book sections hal-02184682v1
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Market Impact: A Systematic Study of the High Frequency Options Market

Emilio Said , Ahmed Bel Hadj Ayed , Damien Thillou , Jean-Jacques Rabeyrin , Frédéric Abergel
2019
Preprints, Working Papers, ... hal-02014248v1

Strategic behaviour and indicative price diffusion in Paris Stock Exchange auctions

Damien Challet
Springer. New Perspectives and Challenges in Econophysics and Sociophysics, , 2019, 978-3-030-11363-6. ⟨10.1007/978-3-030-11364-3⟩
Book sections hal-01829337v1
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Second order stochastic target problems with generalized market impact

Bruno Bouchard , Grégoire Loeper , Halil Mete Soner , Chao Zhou
SIAM Journal on Control and Optimization, 2019, 57 (6), pp.4125-4149. ⟨10.1137/18M1196078⟩
Journal articles hal-01820493v2
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Statistically validated leadlag networks and inventory prediction in the foreign exchange market

Damien Challet , Rémy Chicheportiche , Mehdi Lallouache , Serge Kassibrakis
Advances in Complex Systems (ACS), 2018, ⟨10.1142/S0219525918500194⟩
Journal articles hal-01705087v1
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Market Impact: A systematic study of limit orders

Emilio Said , Ahmed Bel Hadj Ayed , Alexandre Husson , Frédéric Abergel
2018
Preprints, Working Papers, ... hal-01561128v4
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Estimating functions for SDE driven by stable Lévy processes

Emmanuelle Clément , Arnaud Gloter
2018
Preprints, Working Papers, ... hal-01570175v2

Challenging the robustness of optimal portfolio investment with moving average-based strategies

Ahmed Bel Hadj Ayed , Grégoire Loeper , Frédéric Abergel
Quantitative Finance, 2018, 19 (1), pp.123-135. ⟨10.1080/14697688.2018.1468080⟩
Journal articles hal-02527992v1

Asymptotics for the normalized error of the Ninomiya–Victoir scheme

Emmanuelle Clément , Anis Al Gerbi , Benjamin Jourdain
Stochastic Processes and their Applications, 2018, 128 (6), pp.1889-1928. ⟨10.1016/j.spa.2017.08.017⟩
Journal articles hal-01772604v1
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Non-linear filtering and optimal investment under partial information for stochastic volatility models

Dalia Ibrahim , Frédéric Abergel
Mathematical Methods of Operations Research, 2018, 87 (3), pp.311-346. ⟨10.1007/s00186-017-0609-x⟩
Journal articles hal-01018869v5
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Testing the causality of Hawkes processes with time reversal

Marcus Cordi , Damien Challet , Ioane Muni Toke
Journal of Statistical Mechanics: Theory and Experiment, 2018, ⟨10.1088/1742-5468/aaac3f⟩
Journal articles hal-01593448v1
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High dimensional Hawkes processes for limit order books Modelling, empirical analysis and numerical calibration

Xiaofei Lu , Frédéric Abergel
Quantitative Finance, 2018, ⟨10.1080/14697688.2017.1403142⟩
Journal articles hal-01686122v1
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Dynamical regularities of US equities opening and closing auctions

Damien Challet , Nikita Gourianov
Market microstructure and liquidity, 2018, 4 (1-2), ⟨10.1142/S2382626619500011⟩
Journal articles hal-01702726v1
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Asymptotics in small time for the density of a stochastic differential equation driven by a stable Lévy process

Emmanuelle Clément , Arnaud Gloter , Huong Nguyen
ESAIM: Probability and Statistics, 2018, 22, pp.58-95. ⟨10.1051/ps/2018009⟩
Journal articles hal-01772290v1
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LAMN property for the drift and volatility parameters of a SDE driven by a stable Lévy Process

Emmanuelle Clément , Arnaud Gloter , Huong Nguyen
2017
Preprints, Working Papers, ... hal-01472749v2
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Asymptotics in small time for the density of a stochastic differential equation driven by a stable LEVY process

Emmanuelle Clément , Arnaud Gloter , Huong Nguyen
2017
Preprints, Working Papers, ... hal-01410989v2
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STATIONARY DISTRIBUTION OF THE VOLUME AT THE BEST QUOTE IN A POISSON ORDER BOOK MODEL

Ioane Muni Toke
International Journal of Theoretical and Applied Finance, 2017, 20 (06), pp.1750039. ⟨10.1142/S021902491750039X⟩
Journal articles hal-01705085v1
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Do investors trade too much? A laboratory experiment

João da Gama Batista , Domenico Massaro , Jean-Philippe Bouchaud , Damien Challet , Cars Hommes
Journal of Economic Behavior and Organization, 2017, 140 (August 2017), pp.18-34. ⟨10.1016/j.jebo.2017.05.013⟩
Journal articles hal-01244465v1
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Sharper asset ranking from total drawdown durations

Damien Challet
Applied Mathematical Finance, 2017, 24 (1), pp.1-22. ⟨10.1080/1350486X.2017.1297728⟩
Journal articles hal-01149704v1
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Algorithmic trading in a microstructural limit order book model

Frédéric Abergel , Côme Huré , Huyên Pham
2017
Preprints, Working Papers, ... hal-01514987v1