48 citations · 83 across the 12 of their papers we have counts for
9 papers · 1 filter
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…
Tick Size Reduction and Price Clustering in a FX Order Book
Mehdi Lallouache, Frédéric Abergel
We investigate the statistical properties of the EBS order book for the EUR/USD and USD/JPY currency pairs and the impact of a ten-fold tick size reduction on its dynamics. A large…
Price Jump Prediction in Limit Order Book
Ban Zheng, Eric Moulines, Frédéric Abergel
A limit order book provides information on available limit order prices and their volumes. Based on these quantities, we give an empirical result on the relationship between the bi…