logo_ecp logo_mas

Chair of Quantitative Finance
Publications » Working papers

Working papers

  • Muni Toke I., “Reconstruction of Order Flows using Aggregated Data”, arXiv preprint arXiv:1604.02759 (2016)
  • Muni Toke I. and Yoshida N., “Modelling intensities of order flows in a limit order book”, arXiv preprint arXiv:1602.03944 (2016)
  • Stanislao Gualdi, Giulio Cimini, Kevin Primicerio, Riccardo Di Clemente, Damien Challet. “Statistically similar portfolios and systemic risk”. arXiv preprint arXiv:1603.05914 (2016)
  • 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)
  • Muni Toke I., “Stationary distribution of the volume at the best quote in a Poisson order book model”, arXiv preprint arXiv:1502.03871 (2015)
  • Dalia Ibrahim, Frédéric Abergel. “Filtering problem for general modeling of the drift and application to portfolio optimization problems”. Available at HAL 01235909 (2015)
  • Ahmed Bel Hadj Ayed, Grégoire Loeper, So ene El Aoud, Frédéric Abergel. “Performance analysis of the optimal strategy under partial information”. arXiv preprint arXiv:1510.03596 (2015)
  • Dalia Ibrahim, Frédéric Abergel. “Non-linear filtering and optimal investment under partial information for stochastic volatility models”. arXiv preprint arXiv:1407.1595 (2014)
  • 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 Appliquées aux Systèmes
École Centrale Paris

Grande Voie des Vignes
92290 Châtenay-Malabry
Tel.: +33 1 41 13 18 95
Email: sylvie.dervin@ecp.fr