48 citations · 83 across the 12 of their papers we have counts for
17 papers
Market Impact: A Systematic Study of the High Frequency Options Market
Emilio Said, Ahmed Bel Hadj Ayed, Damien Thillou +2
This paper deals with a fundamental subject that has seldom been addressed in recent years, that of market impact in the options market. Our analysis is based on a proprietary data…
Order-book modelling and market making strategies
Xiaofei Lu, Frédéric Abergel
Market making is one of the most important aspects of algorithmic trading, and it has been studied quite extensively from a theoretical point of view. The practical implementation…
Market Impact: A Systematic Study of Limit Orders
Emilio Said, Ahmed Bel Hadj Ayed, Alexandre Husson +1
This paper is devoted to the important yet little explored subject of the market impact of limit orders. Our analysis is based on a proprietary database of metaorders - large order…
Algorithmic trading in a microstructural limit order book model
Frédéric Abergel, Côme Huré, Huyên Pham
We propose a microstructural modeling framework for studying optimal market making policies in a FIFO (first in first out) limit order book (LOB). In this context, the limit orders…
Robustness of mathematical models and technical analysis strategies
Ahmed Bel Hadj Ayed, Grégoire Loeper, Frédéric Abergel
The aim of this paper is to compare the performances of the optimal strategy under parameters mis-specification and of a technical analysis trading strategy. The setting we conside…
Performance analysis of the optimal strategy under partial information
Ahmed Bel Hadj Ayed, Grégoire Loeper, Sofiene El Aoud +1
The question addressed in this paper is the performance of the optimal strategy, and the impact of partial information. The setting we consider is that of a stochastic asset price…