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LOB modeling using Hawkes processes with a state-dependent factor
Emmanouil Sfendourakis
,
Ioane Muni Toke
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 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
Journal articles
hal-03905325v3
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Marked point processes and intensity ratios for limit order book modeling
Ioane Muni Toke
,
Nakahiro Yoshida
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
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A Few Simulation Results of Basic Models of Limit Order Books
Ioane Muni Toke
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
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Strategic behaviour and indicative price diffusion in Paris Stock Exchange auctions
Damien Challet
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
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
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
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Challenging the robustness of optimal portfolio investment with moving average-based strategies
Ahmed Bel Hadj Ayed
,
Grégoire Loeper
,
Frédéric Abergel
Journal articles
hal-02527992v1
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Asymptotics for the normalized error of the Ninomiya–Victoir scheme
Emmanuelle Clément
,
Anis Al Gerbi
,
Benjamin Jourdain
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
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 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
Journal articles
hal-01686122v1
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Dynamical regularities of US equities opening and closing auctions
Damien Challet
,
Nikita Gourianov
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
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
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 articles
hal-01244465v1
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Sharper asset ranking from total drawdown durations
Damien Challet
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
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