Published/Accepted

• A. Bel Hadj Ayed, G. Loeper, F. Abergel, Robustness of mathematical models and technical analysis-based strategies, to appear in Quantitative Finance
• D. Ibrahim, F. Abergel, Non-linear filtering and optimal investment under partial information for stochastic volatility models, Mathematical Methods of Operation Research (2018)
• F. Abergel, R. Tachet, R. Zaatour, Nonparametric model calibration for derivatives, Journal of Mathematical Finance, 7 (03), (2017)
• X. Lu, F. Abergel, High dimensional Hawkes processes for limit order books, Quantitative Finance (2018)
• Muni Toke I. and Yoshida N., Modelling intensities of order flows in a limit order book, Quantitative Finance, vol.17, no.5, 683-701 (2017)
• Muni Toke I., Stationary distribution of the volume at the best quote in a Poisson order book model, International Journal of Theoretical and Applied Finance, vol.20, no.6, 1750039 (2017).
• A. Bel Hadj Ayed, G. Loeper, F. Abergel, Forecasting trends with asset prices, Quantitative Finance, (2016)
• S. Gualdi, G. Cimini, K. Primicerio, R. Di Clemente, D. Challet. “Statistically similar portfolios and systemic risk”, Scientific Reports 6, Article number: 39467 (2016)
• Muni Toke I., Reconstruction of Order Flows using Aggregated Data, Market Microstructure and Liquidity, vol.2, no.2, 1650007 (2016)
• F. Abergel, M. Anane, A. Chakraborti, I. Muni Toke, A. Jedidi, “Limit order books”, Cambridge university press (2016)
• Lallouache, Mehdi, and Damien Challet. “The limits of statistical significance of Hawkes processes fitted to financial data.” Quantitative Finance 16.1 (2016): 1-11.
• F. Abergel, G. Loeper, Option pricing and hedging with liquidity costs and market impact, Proceedings of the International Workshop on Econophysics and Sociophysics, Delhi, 2015, Springer, New Economic Window (2016)
•  D. Challet and A. Bel Hadj Ayed, Do Google Trends Data Contain More Predictability than Price Returns? Journal of Trading Strategies, 4(2) (2015)
• Abergel, Frédéric and Jedidi, Aymen. “Long time behaviour of a Hawkes process-based limit order book”, SIAM Journal on Financial Mathematics, 6, 2015
• Muni Toke, Ioane. “Exact and asymptotic solutions of the call auction problem”, Market Microstructure and Liquidity.
• El Aoud, Sofiene and Abergel, Frédéric. “A stochastic control approach to option market making”. Market Microstructure and Liquidity.
• Muni Toke, Ioane. “The order book as a queueing system”.Quantitative Finance 15.5 (2015): 795-808.
• Marouane Anane and Frédéric Abergel. “Empirical evidence of market inefficiency: predicting single-stock returns”, Proceedings of the 8th Kolkata Econophysics Conference, Springer, New Economic Window (2015)
• da Gama Batista, João, Jean-Philippe Bouchaud, and Damien Challet. “Sudden Trust Collapse in Networked Societies.” The European Physical Journal B 88:55 (2015): 1-11.
• Muni Toke, loane. “On completion times in a two–class priority queue with impatience.” International Journal of Mathematics in Operational Research 6.3 (2014): 377-392.
• Frédéric Abergel, Charles-Albert Lehalle and Mathieu Rosenbaum. “Understanding the Stakes of High-Frequency Trading.” The Journal of Trading 9.4 (2014): 49-73.
• Mehdi Lallouache and Frédéric Abergel. “Tick size reduction and price clustering in a FX order book.” Physica A: Statistical Mechanics and its Applications 416 (2014): 488-498.
• José da Fonseca and Riadh Zaatour. “Clustering and Mean Reversion in a Hawkes Microstructure Model.” Journal of Futures Markets (2014).
• José da Fonseca and Riadh Zaatour. “Hawkes process: Fast calibration, application to trade clustering, and diffusive limit.” Journal of Futures Markets 34.6 (2014): 548-579.
• Ban Zheng, François Roueff and Frédéric Abergel, “Ergodicity and scaling limit of a constrained multivariate Hawkes process.” SIAM J. Financial Math 5 (2014).
• Nicolas Huth and Frédéric Abergel. “High frequency lead/lag relationships—Empirical facts.” Journal of Empirical Finance 26 (2014): 41-58.
• David S. Brée, Damien Challet and Pier Paolo Peirano. “Prediction accuracy and sloppiness of log-periodic functions.” Quantitative Finance 13.2 (2013): 275-280.
• Pier Paolo Peirano and Damien Challet. “Baldovin-Stella stochastic volatility process and Wiener process mixtures.” The European Physical Journal B-Condensed Matter and Complex Systems 85.8 (2012): 1-12.
• Frédéric Abergel and Aymen Jedidi. “A mathematical approach to order book modeling.” International Journal of Theoretical and Applied Finance 16.05 (2013).
• Ban Zheng, Eric Moulines and Frédéric Abergel, “Price Jump Prediction in a Limit Order Book,” Journal of Mathematical Finance 3.2 (2013): 242-255.
• Fabrizio Pomponio and Frederic Abergel. “Multiple-limit trades: empirical facts and application to lead–lag measures.” Quantitative Finance 13.5 (2013): 783-793.
• Frédéric Abergel and Riadh Zaatour. “What drives option prices?” Journal of Trading 7.3 (2012): 12-28.
• Rémy Chicheportiche and Jean-Philippe Bouchaud. “The joint distribution of stock returns is not elliptical.” International Journal of Theoretical and Applied Finance 15.03 (2012).
• Challet, Damien, and David Morton de Lachapelle. “Collective Portfolio Optimization in Brokerage Data: The Role of Transaction Cost Structure.” Market Microstructure: Confronting Many Viewpoints (2012): 171-186.
• Rémy Chicheportiche and Jean-Philippe Bouchaud. “Goodness-of-fit tests with dependent observations.” Journal of Statistical Mechanics: Theory and Experiment 2011.09 (2011): P09003.
• Ioane Muni Toke and Fabrizio Pomponio. “Modelling trades-through in a limit order book using Hawkes processes.” Economics: The Open-Access, Open-Assessment E-Journal (2012).
• Frédéric Abergel and Mauro Politi. “Optimizing a basket against the efficient market hypothesis.” Quantitative Finance 13.1 (2013): 13-23.
• Mauro Politi, Nicolas Millot and Anirban Chakraborti. “The near-extreme density of intraday log-returns.” Physica A: Statistical Mechanics and its Applications 391.1 (2012): 147-155.
• Ghosh, Asim, et al. “Threshold-induced phase transition in kinetic exchange models.” Physical Review E-Statistical, Nonlinear and Soft Matter Physics 83 (2011): 061130.
• Frédéric Abergel and Nicolas Millot. “Non quadratic local risk-minimization for hedging contingent claims in incomplete markets.” SIAM J. Financial Math 2 (2011): 342-356.
• Chakraborti, Anirban, et al. “Econophysics review: II. Agent-based models.”Quantitative Finance 11.7 (2011): 1013-1041.
• Chakraborti, Anirban, et al. “Econophysics review: I. Empirical facts.”Quantitative Finance 11.7 (2011): 991-1012.
• Abhijeet Gaikwad and Ioane Muni Toke. “Parallel iterative linear solvers on GPU: a financial engineering case.” Parallel, Distributed and Network-Based Processing (PDP), 2010 18th IEEE Euromicro International Conference (2010).
• Abhijeet Gaikwad and Ioane Muni Toke. “GPU based sparse grid technique for solving multidimensional options pricing PDEs.” Proceedings of the 2nd Workshop on High Performance Computational Finance (2009).
• Nicolas Huth and Frédéric Abergel. “The times change: multivariate subordination. Empirical facts.” Quantitative Finance 12.1 (2012): 1-10.
• Frédéric Abergel and Remi Tachet. “A nonlinear partial integro-differential equation from mathematical finance.” Discrete and Continuous Dynamical Systems-Series A (2010).
• Anirban Chakraborti and Marco Patriarca. “Variational principle for the Pareto power law.” Physical review letters 103.22 (2009): 228701.
• Mehdi Lallouache, Aymen Jedidi and Anirban Chakraborti. “Wealth distribution: To be or not to be a Gamma?” Science and Culture 76 (2010): 478–484.
• Marco Patriarca, Els Heinsalu and Anirban Chakraborti. “Basic kinetic wealth-exchange models: common features and open problems.” The European Physical Journal B-Condensed Matter and Complex Systems 73.1 (2010): 145-153.
• Frédéric Abergel. “Credit risk in the pricing and hedging of derivatives.”Proceedings of the 1st international Forum on Risk Management, Paris (2008).