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Chair of Quantitative Finance
Publications » Working papers

Working papers

  • Jean-Philippe Bouchaud, Stanislao Gualdi, Marco Tarzia, Francesco Zamponi. “Spontaneous instabilities and stick-slip motion in a generalized Hébraud-Lequeux”. arXiv preprint arXiv:1508.05212 (2015)
  • Stanislao Gualdi, Marco Tarzia, Francesco Zamponi, Jean-Philippe Bouchaud. “Monetary Policy and Dark Corners in a stylized Agent-Based Model”. arXiv preprint arXiv:1501.00434 (2015)
  • Dalia Ibrahim, Frédéric Abergel. “Filtering problem for general modeling of the drift and application to portfolio optimization problems”. Available at HAL 01235909 (2015)
  • El Aoud, Sofiene, and Frederic Abergel. “On the Skew Stickiness Ratio.”Available at SSRN 2496285 (2014).
  • Anane, Marouane, and Frédéric Abergel. “Optimal high frequency strategy in an omniscient order book.” Available at HAL 01006401 (2014).
  • El Aoud, Sofiene, and Frederic Abergel. “Calibration of a Stock’s Beta Using Options Prices.” Available at SSRN 2427940 (2014).
  • Damien, Challet, and Bel Hadj Ayed Ahmed. “Predicting financial markets with Google Trends and not so random keywords.” arXiv preprint arXiv:1307.4643(2013).
  • Abergel, Frederic, Nicolas Huth, and Ioane Muni Toke. “Financial bubbles analysis with a cross-sectional estimator.” Available at SSRN 1474612 (2009).


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

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