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Welcome to the Website of the Chair of Quantitative Finance

Contact Information
Postal Address	:	Laboratoire de Mathématiques Appliquées aux Systèmes École Centrale Paris Grande voie des vignes, 92295 CHÂTENAY-MALABRY Cedex FRANCE
Phone No.	:	+33 1 41 13 18 95

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
Associate Professor		Anirban Chakraborti
Associate Professor		Damien Challet
Assistant Professor (on leave)		Ioane Muni-Toke
Post-doctoral Fellow		Olaf Torné
External Faculty		Imre Kondor
PhD student		Marouane Anane
PhD student		Joao De Gama Batista
PhD student		Rémy Chicheportiche
PhD student		Sofiene El Aoud
PhD student		Nicolas Huth
PhD student		Aymen Jedidi
PhD student		Mehdi Lallouache
PhD student		Fabrizio Pomponio
PhD student		Riadh Zaatour
Former PhD student (graduated February 2012)		Nicolas Millot
Former PhD student (graduated October 2011)		Rémi Tachet
Former Post-doctoral Fellow		MauroPoliti

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:

• Jean-Philippe Bouchaud, CFM
• Estelle Iacona, Dean of research, Ecole Centrale Paris
• Boris Leblanc, BNP Paribas
• Grégoire Loeper, BNP Paribas
• Marek Musiela, BNP Paribas
• Gilles Pagès, Directeur, Laboratoire de Probabilités et modèles aléatoires
• Stéphane Tyc, BNP Paribas

Seminars and Talks

       Team Members

• 2nd March 2012: Frédéric Abergel, Invited Lecture at the Workshop on Quantitative and Statistical Finance, Université Paris Diderot, "Statistical and empirical properties of limit order books".
• 1st March 2012: Anirban Chakraborti, Invited Lecture at the Department of Physics Galileo Galilei, University of Padova, Italy entitled "Can we model socio-economic phenomena using kinetic theory of gases?"
• 5th January 2012: Anirban Chakraborti, Invited Lecture at the Statistical Physics Group, University of Calcutta, Kolkata, India entitled "Kinetic exchange models in studying socio-economic phenomena".
• 4th January 2012: Anirban Chakraborti, Invited lecture at the International Conference "Contemporary Issues and Applications of Statistics" during January 2-4, 2012 at the Indian Statistical Institute, Kolkata, India, entitled "Correlations in Financial Time‐series: An Econophysicist's Perspective".
• 30th December 2011: Anirban Chakraborti, Invited lecture at the Theoretical Condensed Matter Physics Division, Saha Institute of Nuclear Physics, Kolkata, India, entitled "Kinetic exchange formalism applied to socio-economic phenomena".
• 22nd December 2011: Anirban Chakraborti, Invited lecture at the Department of Physics and Astrophysics, University of Delhi, India, entitled "Kinetic exchange models in studying socio-economic phenomena".
• 9th December 2011: Anirban Chakraborti, Invited lecture at the Centre d'analyse et de mathématique sociales, Ecole des Hautes Etudes en Sciences Sociales, Paris, entitled "Kinetic exchange models in studying socio-economic phenomena".
• 28th November 2011: Frédéric Abergel, "Modélisation multi-agents en économie et en finance", Colloque "Théorie et modèles en sciences sociales", Académie Européenne Interdisciplinaires des Sciences, Unversité Paris 7
• 15th November 2011: Anirban Chakraborti, Invited lecture at the Unexpected Conference on “SOCIOPHYSICS: Do humans behave like atoms?” held at CREA, Ecole Nationale Supérieure de Techniques Avancées, Paris, entitled "Opinion formation in the kinetic exchange models ".
• 25th October 2011: Anirban Chakraborti, Invited lecture at International Workshop on “Econophysics of systemic risk and network dynamics”, held at Saha Institute of Nuclear Physics, Kolkata, India, entitled "Correlations in financial time series".
• 9th June 2011: Frédéric Abergel, "Systemic risk and dynamical systems : New wine in an old jar ?", Joint ECB-NY FED Conference : Alternative Approaches to Modeling Systemic Risk.
• 14th May 2011: Rémy Chicheportiche, "Dependences of daily stock returns: what copula ?", Humboldt-Copenhagen conference on financial econometrics.
• 19th May 2011: Olaf Torné, "A one dimensional problem related to the symmetry of minimisers for the Sobolev trace constant in a ball", Réunion d'Analyse Non Linéaire UCL-ULB, Louvain-la-Neuve and Brussels
• 13th April 2011: Olaf Torné, "The value of a variance swap - a question of interest", at Global Derivative​s Trading & Risk Management, Paris
• 7th April 2011: Frédéric Abergel, "Modélisation mathématique des marchés à carnet d'ordres", département de mathématiques, université de Poitiers
• 24th March 2011: Frédéric Abergel, "Some empirical and mathematical properties of limit order books", School and Workshop on Market Microstructure: Design, Efficiency and Statistical Regularities, ICTP, Italy
• 21st March 2011: Anirban Chakraborti, "Statistical physics inspired models of financial markets", School and Workshop on Market Microstructure: Design, Efficiency and Statistical Regularities, ICTP, Italy
• 11th March 2011: Olaf Torné, "The value of a variance swap - a question of interest", 4th Financial Risks Internatio​nal Forum - Long Term Risks, Paris
• 1st March 2011: Anirban Chakraborti, "Opinion formation in the kinetic exchange models", University of Hokkaido, Japan
• 24th February 2011: Anirban Chakraborti, "Opinion formation in the kinetic exchange models ", University of Kyoto, Japan
• 23rd February 2011: Ioane Muni-Toke, "Some applications of Hawkes processes to Order Book Modelling",  First Workshop on Quantitative Finance and Economic: an Unconventional Meeting, International Christian University of Tokyo, Japan
• 22nd February 2011: Frédéric Abergel, "Empirical properties and mathematical models of limit order books", First Workshop on Quantitative Finance and Economic: an Unconventional Meeting, International Christian University of Tokyo, Japan
• 21st February 2011: Anirban Chakraborti, "Kinetic exchange models of wealth distribution", First Workshop on Quantitative Finance and Economic: an Unconventional Meeting, International Christian University of Tokyo, Japan
• 27th January 2011: Anirban Chakraborti, "The near-extreme density of intraday log returns", XII Workshop on Quantitative Finance, University of Padova, Italy
• 13rd January 2011: Frédéric Abergel, "Some Mathematical Properties of Markovian Order-books", Modeling and Managing Financial Risks in Paris
• 10th-13rd January 2011: Aymen Jedidi,"General Markovian Order Book Modelling", Modeling and Managing Financial Risks in Paris
• 10th-13rd January 2011: Rémi Tachet,"A Nonlinear Partial Integrodifferential Equation from Mathematical Finance", Modeling and Managing Financial Risks in Paris
• 10th-13rd January 2011: Nicolas Millot, "Non-quadratic Local Risk Minimization for Hedging Contingent Claims", Modeling and Managing Financial Risks in Paris
• 17th December 2010: Aymen Jedidi, "General Markovian Order Book Modelling", QMFin Sydney
• 16th December 2010: Nicolas Millot, "Non-quadratic Local Risk Minimization for Hedging Contingent Claims", QMF in Sydney
• 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

• 4th November 2010: Imre Kondor, "Regulating Complexity? Long range correlations in complex systems".
• 14th August 2010: Srutarshi Pradhan, "Prediction of failure points in fracture models".
• 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

• "Systemic risk and network dynamics"
  21st to 25th October 2011: the 6th Kolkata Econophysics conference
• "Design, efficiency and statistical regularities"
  21st to 25th March 2011: A school and workshop on market microstructure at ICTP in Trieste.
• "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

Group publications

• Here is a link to the publications of the Chair on the server HAL.

Book, Book Chapters & Review Articles

• "Market microstructure: confronting many viewpoints", F. Abergel, J-P. Bouchaud, T. Foucault, C-A. Lehalle and M. Rosenbaum, editors, Wiley Finance Series
• "Econophysics of order-driven markets", F. Abergel, B.K. Chakrabarti, A. Chakraborti and M. Mitra, editors , New Economic Windows, Springer
• "Econophysics: An Introduction" S. Sinha, A. Chatterjee, A. Chakraborti and B.K. Chakrabarti, (Wiley-VCH, Berlin, 2010).
• “Agent-based models of economic interactions”, A. Chakraborti and G. Germano in Eds. L. Pareschi, G. Naldi and G. Toscani (Birkhauser, Berlin, 2010).
• "Econophysics review: I. Empirical facts", A. Chakraborti, I. Muni Toke, M. Patriarca and F. Abergel, Quantitative Finance, 11:7, 991-1012 (2011) , arXiv link here.
• "Econophysics review: II. Agent-based models", A. Chakraborti, I. Muni Toke, M. Patriarca and F. Abergel, Quantitative Finance, 11:7, 1013-1041 (2011), arXiv link here.

Published/Accepted

• "What drives option prices ?", R. Zaatour, and F. Abergel , to appear in the Journal of Trading.
• "Goodness-of-fit tests with dependent observations", R. Chicheportiche and J.P. Bouchaud, Journal of Statistical Mechanics: Theory and Experiment Volume 2011 September 2011.
• "Modelling Trades-Through in a Limited Order Book Using Hawkes Processes", I. Muni Toke and F. Pomponio, article link here.
• "Optimizing a basket against the efficient market hypothesis", F. Abergel and M. Politi, to appear in Quantitative Finance, SSRN link here.
• "The near-extreme density of intraday log-returns", M. Politi, N. Millot and A. Chakraborti, Physica A 391 (2012) 147–155, arXiv link here.
• "Threshold-induced phase transition in kinetic exchange models",  A. Ghosh, U. Basu, A. Chakraborti and B.K. Chakrabarti, Physical Review E 83, 061130 (2011).
• "Non quadratic local risk-minimization for hedging contingent claims in incomplete markets", F. Abergel and N. Millot, SSRN link here.
• "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, published in Quantitative Finance
• “On a nonlinear partial integro-differential equation”, R. Tachet and F. Abergel, published 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

• "Price jump prediction in Limit Order Book", B. Zheng, E. Moulines and F. Abergel , SSRN link here.
• "High Frequency Lead/lag Relationships - Empirical facts", N. Huth and F. Abergel , arXiv link here.
• "A Mathematical Approach to Order Book Modeling", F. Abergel  and A. Jedidi, SSRN link here.
• "The Joint Distribution of Stock Returns is not Elliptical", R. Chicheportiche and J.P. Bouchaud, arXiv link here.
• "Trade-Throughs: Empirical Facts. Application to Lead-Lag Measures", F. Pomponio  and F. Abergel, SSRN link here.

Invited Papers

• "Wealth distribution: To be or not to be a Gamma?", M. Lallouache, A. Jedidi and A. Chakraborti, Science and Culture 76, 478–484 (2010) , arXiv link here.

Unpublished

• "'Market making' behaviour in an electronic order book and its impact on the bid-ask spread", I. Muni Toke, arXiv link here.
• "Analysis of financial time series : moving averages and correlations", internship report, G. Tilak (2011).
• "Financial Bubbles Analysis with a Cross-Sectional Estimator", F. Abergel, N. Huth and I. Muni Toke, arXiv link here.
• "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).

Miscellaneous

• You will find here an unsorted list of old publications and presentations.
• You will find here the recording of the inaugural lesson of Frédéric Abergel.

Liquidity Watch

An online data access can be granted to any researcher willing to use high frequency order book data. Please contact the administrator to open an account