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Chair of Quantitative Finance

Talks

In this section you can browse the invited and contributed talks given by the members of the Chair of Quantitative Finance during various conferences.
  • 19 november 2016, Frédéric Abergel, SIAM conference in financial mathematics and engineering, Austin, “Theoretical and numerical analysis of local stochastic volatility models”
  • 8-9 november 2016, Frédéric Abergel, first latin american workshop on data science and mathematical modelling in social sciences, Buenos Aires, “Limit order books”
  • 20 june 2016, Frédéric Abergel, second Bar Ilan conference on financial mathematics, Bar Ilan, “Mathematical modelling of limit order books”
  • May 2015, Damien Challet, Theoretical physics seminar, La Sapienza, Rome, “Inference of implicit trader communication networks”
  • 14th april 2015, Frédéric Abergel, workshop on the mathematics of high frequency financial markets, IPAM, UCLA, “Carnets d’ordres pilotés par des processus de Hawkes”
  • 5th march 2015, Frédéric Abergel, Groupe de travail finance mathématique, probabilités numériques, statistique des processus, LPMA, “Hawkes-process driven limit order books”
  • November 2014, Damien Challet, Applications of random matrix theory, and statistical physics, in communications and networks, Paris, “Inference of implicit trader communication networks”
  • November 2014, Damien Challet, Quantitative management initiative annual conference, Paris, “Do Google Trends data contain more predictability than price returns?”
  • 9th october 2014: Frédéric Abergel, Conférence internationale sur la finance quantitative, l’assurance et la gestion des risques, Marrakech, “Modelling liquidity costs and market impact for derivatives”
  • October 2014, Damien Challet, Autorité des marchés financiers (AMF), Paris, “Finance comportementale et marchés financiers: techniques d’arbitrage, comportements exubérants et volatilité”
  • 19th june 2014: Frédéric Abergel, SMAI-SIAM joint conference on robust hedging, Paris, “Modelling liquidity costs and market impact for derivatives”
  • 10th October 2013: Frédéric Abergel, Financial and Insurance Mathematics Seminar, ETH Zurich, “Liquidity costs and market impact for derivative hedging and pricing”
  • 6th June 2013: Frédéric Abergel, Frontiers in Financial Mathematics conference, Dublin, “Derivative hedging with liquidity costs and market impact”
  • 18th April 2013: Frédéric Abergel, Groupe de travail Mathématiques Financières, Probabilités Numériques, Université Paris 6, “Derivative hedging with liquidity costs and market impact”
  • 9th April 2013: Frédéric Abergel, IMA Conference on Mathematics in Finance, Heriot-Watt University, Edinburgh, “Transaction costs, market impact and derivative hedging”
  • 9th April 2013: Mehdi Lallouache, IMA Conference on Mathematics in Finance, Heriot-Watt University, Edinburgh, “Empirical properties of the foreign exchange interdealer market”
  • 3rd April 2013: Sophie Laruelle, Recent Advances in Algo and HF Trading, University College London, “Optimal posting price of limit orders: learning by trading”
  • 3rd April 2013: Riadh Zaatour, Recent Advances in Algo and HF Trading, University College London, “Hawkes Processes: Fast Calibration And Application To Trade Clustering”
  • 15th October 2012: Frédéric Abergel, Financial Mathematics Seminar, University of Uppsala, “Empirical and Mathematical Properties of Limit Order Books”
  • 14th September 2012: Damien Challet, Satellite workshop of the Latsis Symposium, ETH-Zurich, Switzerland, “Limit order phenomenology from real trader behaviour: beyond tick-by-tick data”
  • 27th June 2012: Frédéric Abergel, Quantitative Methods in Finance Conference in Cairns, “Empirical and Mathematical Properties of Limit Order Books”.
  • 22nd June 2012: Damien Challet, Workshop on Economic Heterogeneous Interacting Agents, Université Panthéon Assas Paris II, France, entitled “Spuriously persistent arbitrage in agent-based models of financial markets without shortable trading strategies”
  • 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, Université 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.
  • 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”, QMF in 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 Politi, “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”, Quantitative methods in finance, 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.
  • 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.

Coordinates

Chair of Quantitative Finance
Laboratoire de Mathématiques Appliquées aux Systèmes
École Centrale Paris

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