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Welcome to the Website of the Chair of Quantitative Finance

Contact Information
Postal Address	:	Laboratoire de Mathématiques Appliquées aux Systèmes Ecole Centrale de Paris, Grande Voie des Vignes, F-92 295 CHÂTENAY-MALABRY Cedex, FRANCE
Phone No.	:	+33 1 41 13 18 95
Facsimile No.	:	+33 1 41 13 17 35

People

• You can reach anyone of us using the canonical email address firstname.lastname@ecp.fr

Position	Photo	Name
Professor, Director of the Chair		Frédéric Abergel
Assistant Professor		Anirban Chakraborti
Assistant Professor		Ioane Muni-Toke
Post-doctoral Fellow		Olaf Torné
PhD student		Rémy Chicheportiche
PhD student		Nicolas Huth
PhD student		Aymen Jedidi
PhD student		Nicolas Millot
PhD student		Fabrizio Pomponio
PhD student		Rémi Tachet
PhD student		Riadh Zaatour
Post-doctoral Fellow (former member)		Mauro Politi

Market Simulator

• The project simulates a generic agent based market model.The aim is to explore intimately, by simulation, the process of price formation and the market microstructure.
• The project is available on sourceforge.
  

Scientific Council of the Chair

• The scientific council of the chair meets every year to discuss and assess the research work done within the Chair. Its members are:
  • Guillaume Blacher, BNP Paribas
  • Jean-Philippe Bouchaud, CEA, CFM
  • Boris Leblanc, BNP Paribas
  • Marek Musiela, BNP Paribas
  • Gilles Pagès, UPMC
  • Etienne de Rocquigny, ECP
  • Jean-Hubert Schmitt, ECP
  • Stéphane Tyc, BNP Paribas

Seminars and Talks

       Team Members

• 16th June 2010: Frédéric Abergel, "High Frequency Trading: Some empirical and theoretical studies",  High Frequency Trading conference.
• 25th  March 2010: Frédéric Abergel, "Intraday correlation trading", 3rd financial risks international forum.
• 12th March 2010: Mauro Politi, "Optimizing basket autocorrelation on short time scales", Econophys-Kolkata V conference.
• 12th March 2010: Fabrizio Pomponio, "Statistics on multiple limits trades", Econophys-Kolkata V conference.
• 12th March 2010: Frédéric Abergel, "A mathematical approach to order book modelling", Econophys-Kolkata V conference.
• 10th March 2010: Nicolas Huth, "High frequency correlation modelling", Econophys-Kolkata V conference.
• 10th March 2010: Ioane Muni-Toke, "'Market Making' behaviour in an electronic order book and its impact on the bid-ask spread", Econophys-Kolkata V conference.
• 9th March 2010: Mauro Poltiti, "eMID:electronic Market for Interbank Deposit An 'exotic' example of quote driven market", Econophys-Kolkata V conference.
• 18th December 2009: Frédéric Abergel, "Multidimensional trade time : a new approach to correlation modelling", QMF in Sidney.
  
• 25th October 2009: Nicolas Huth, "Statistical tools for crisis detection", Econophysics Colloquium in Sicilia.
  
• 19th October 2009: Frédéric Abergel, "Some mathematical properties of Markovian market models", Fiesta seminar in Ecole Polytechnique.
• 19th October 2009: Mauro Politi, "Optimizing (some) basket properties on short time scales", Fiesta seminar in Ecole Polytechnique.
  
• 8th October 2009: Frédéric Abergel, "Risk measurement and risk management of derivative products", Financial risk, market complexity and regulation Colloquium in Budapest.
• 25th June 2009: Frédéric Abergel, "Physics and mathematics of financial markets", Café science of Ecole Doctorale in Centrale. See the poster here.
• 23th March 2009: Nicolas Huth, "Managing correlation in the equity derivatives business", Ecole Polytechnique.
• 4th February 2009: Frédéric Abergel, "Agent-based models and continuous time finance", EM Lyon.
• 8th December 2008: Ioane Muni-Toke, "Agent-based model simulator", Ecole Polytechnique.
• 27th February 2008: Frédéric Abergel, "Optimal control and hedging of derivative products", Petit déjeuner de la finance, Maisons des Polytechniciens.
  

       Visitors

• 29th June 2010: Kimmo Kaski, "Opinion and community formation in co-evolving network".
• 27th May 2010: Bikas Chakrabarti, "Kinetic market models & their microeconomic foundation".
• 12th May 2010: Bikas Chakrabarti, "Statistics of the Kolkata Paise restaurant problem".
  
• 6th January 2010: Sylvain Corlay, "Fast algorithm for nearest neighbour search and clustering".
  
• 4th November 2009: Andras Fulop, assistant professor at ESSEC, "Intra-daily patterns and transaction costs on the CDS market". See reference article here.
  
• 9th September 2009: François Ghoulmié, PhD, research consultant, "Agent-based market modeling". See reference article here.
• 1st to 3rd July 2009: Victor Yakovenko, "Statistical mechanics of money, income, and wealth: conservation laws, debt, and the current financial crisis".
• 4th June 2009: Imre Kondor, "Issues surrounding the estimation of risk measures".
• 3rd June 2009: Tuan Nguyen and Arbitragis' R&D team, "High frequency data and orderbook modeling".
• 4th to 7th May 2009: Arnab Chatterjee,  "On market crashes and granular economy".
• 12th March 2009: Mauro Politi, "Empirical distribution of intertrade durations".
  

Conferences

• "Market microstructure: confronting many viewpoints"
  6th to 10th December 2010: A major international conference on market microstructure in Paris.
• High frequency trading
  16th June 2010: An event jointly organized by the Chair of Quantitative Finance, Thomson Reuters and BNP Paribas. Event program here.
• 3rd international forum on financial risks
  25th and 26th March 2010: This forum's subject is "Risk dependencies".
• Econophys-Kolkata V - Econophysics of order-driven markets
  9th to 13th March 2010: An international workshop organized by the Chair of Quantitative Finance, Saha Institute of Nuclear Physics and the Indian Statistical Institute. See group's photo here.

Job openings

• There is currently no position available.
  

Group publications

• You will find here an unsorted list of publications and presentations. Some are quite general, others are more technical. 
• You will find here the recording of the inaugural lesson of Frédéric Abergel.
  

Book, Book Chapters & Review Articles

• S. Sinha, A. Chatterjee, A. Chakraborti and B.K. Chakrabarti, Econophysics:An Introduction (Wiley-VCH, Berlin, 2010), to be published in August. Wiley link
• “Agent-based models of socio-economic interactions”, A. Chakraborti and G. Germano in Eds. L. Pareschi, G. Naldi and G. Toscani (Birkhauser, Berlin, 2010), to appear.
• "Econophysics: Empirical facts and agent-based models", A. Chakraborti, I. Muni Toke, M. Patriarca and F. Abergel, to appear, arXiv link here.

Published/Accepted

• "Parallel Iterative Linear Solvers on GPU: A Financial Engineering Case", A. Gaikwad and I. Muni Toke, Proceedings of the 18th International Conference on Parallel, Distributed and Network-Based Computing - PDP2010, IEEE CPS (2010).
• "GPU based Sparse Grid Technique for Solving Multidimensional Options Pricing PDEs", A. Gaikwad and I. Muni Toke, Proceedings of the 2nd Workshop on High-Performance Computational Finance - SC09-WHPCF09, ACM Press (2009).
• "The Times Change: Multivariate Subordination, Empirical Facts", N. Huth and F. Abergel, to appear in Quantitative Finance, SSRN link here.
• “On a nonlinear partial integro-differential equation”, R. Tachet and F. Abergel, to appear in Discrete and Continuous Dynamical Systems, SSRN link here.
• “Variational principle for the Pareto power law”, A. Chakraborti and M. Patriarca, Physical Review Letter 103, 228701 (2009).
• “Basic kinetic wealth-exchange models: common features and open problems”, M. Patriarca, E. Heinsalu, A. Chakraborti, European Physical Journal B 73, 145 (2010).
• “Credit risk in the pricing and hedging of derivatives”, F. Abergel, Proceedings of the First International Forum on Financial Risks, Paris (2008).

Submitted for Publication

• "Local risk-minimization for hedging contingent claims in incomplete markets", F. Abergel and N. Millot, SSRN link here.
• "Optimizing a basket against the efficient market hypothesis", F. Abergel and M. Politi, SSRN link here.
• "'Market making' behaviour in an electronic order book and its impact on the bid-ask spread", I. Muni Toke, arXiv link here.
• "Financial Bubbles Analysis with a Cross-Sectional Estimator", F. Abergel, N. Huth and I. Muni Toke, arXiv link here.

Invited Papers

• "Wealth distribution: To be or not to be a Gamma?", Mehdi Lallouache, Aymen Jedidi and Anirban Chakraborti, to appear in Science and Culture, arXiv link here.

Unpublished

• "Kinetic Wealth Exchange Models: Some Analytical Aspects", internship report, M. Lallouache (2010).
• "L'application de la théorie des réseaux pour l'étude du risque systémique", internship report, H. Krichène (2010).
• "Market Making Strategies", internship report, M. Vidhamali, L. Foata, B. Sabbah, A. Touré (2010).
• "Simulation of Multi-Agents in Financial Market", internship report, Q. Zong (2009).
  
• "The occurence of jumps in financial time series", internship report, C. Vandrot, B. Niang (2008).