10 datasets found

We offer an original way to analyse at the various high frequency streams of information originating from financial markets and to provide simple intuitive models that...

We derive explicit recursive formulas for Target Close (TC) and Implementation Shortfall (IS) in the Almgren-Chriss framework. We explain how to compute the optimal...

We extend the market-making models with inventory constraints of Avellaneda and Stoikov ("High-frequency trading in a limit-order book", Quantitative Finance Vol.8...

We propose a quantitative approach to some high frequency trading problematics. We are interested in several aspects of this field, from minimizing indirect trading...

We study an optimal high frequency trading problem within a market microstructure model aiming at a good compromise between accuracy and tractability. The stock price...

This dissertation is made of three distinct chapters. In the first chapter, I show that traditional liquidity measures, such as market depth, are not always relevant...

We propose a modeling framework for the dynamics of a reduced form order book in event time and based on event sizes. Our framework for the order book is influenced by...

International audience

International audience

This paper proposes intraday High Frequency Risk (HFR) measures for market risk in the case of irregularly spaced high-frequency data. In this context, we distinguish...