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Chair of Quantitative Finance
Publications » 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).


Chair of Quantitative Finance
Laboratoire de Mathématiques et Informatique pour la Complexité et les Systèmes

9 rue Joliot-Curie
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