Frédéric Abergel
Frédéric Abergel
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Cited by
Cited by
On some control problems in fluid mechanics
F Abergel, R Temam
Theoretical and Computational Fluid Dynamics 1 (6), 303-325, 1990
Econophysics review: I. Empirical facts
A Chakraborti, IM Toke, M Patriarca, F Abergel
Quantitative Finance 11 (7), 991-1012, 2011
Econophysics review: II. Agent-based models
A Chakraborti, IM Toke, M Patriarca, F Abergel
Quantitative Finance 11 (7), 1013-1041, 2011
A mathematical approach to order book modeling
F Abergel, A Jedidi
International Journal of Theoretical and Applied Finance 16 (05), 1350025, 2013
Limit order books
F Abergel, M Anane, A Chakraborti, A Jedidi, IM Toke
Cambridge University Press, 2016
Existence and finite dimensionality of the global attractor for evolution equations on unbounded domains
F Abergel
Journal of Differential Equations 83 (1), 85-108, 1990
Long-time behavior of a hawkes process--based limit order book
F Abergel, A Jedidi
SIAM Journal on Financial Mathematics 6 (1), 1026-1043, 2015
Some optimal control problems of multistate equations appearing in fluid mechanics
F Abergel, E Casas
ESAIM: Mathematical Modelling and Numerical Analysis 27 (2), 223-247, 1993
High frequency lead/lag relationships—empirical facts
N Huth, F Abergel
Journal of Empirical Finance 26, 41-58, 2014
Econophysics of systemic risk and network dynamics
F Abergel, BK Chakrabarti, A Chakraborti, A Ghosh
Springer Science & Business Media, 2012
Attractor for a Navier-Stokes flow in an unbounded domain
F Abergel
ESAIM: Mathematical Modelling and Numerical Analysis 23 (3), 359-370, 1989
High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration
X Lu, F Abergel
Quantitative Finance 18 (2), 249-264, 2018
Price jump prediction in limit order book
B Zheng, E Moulines, F Abergel
arXiv preprint arXiv:1204.1381, 2012
A nonlinear partial integro-differential equation from mathematical finance
F Abergel, R Tachet
Discrete and Continuous Dynamical Systems-Series A 27 (3), 907-917, 2010
Market microstructure: confronting many viewpoints
F Abergel, JP Bouchaud, T Foucault, CA Lehalle, M Rosenbaum
John Wiley & Sons, 2012
A mathematical theory for viscous, free-surface flows over a perturbed plane
F Abergel, JL Bona
Archive for rational mechanics and analysis 118, 71-93, 1992
Modelling bid and ask prices using constrained Hawkes processes: Ergodicity and scaling limit
B Zheng, F Roueff, F Abergel
SIAM Journal on Financial Mathematics 5 (1), 99-136, 2014
Econophysics of order-driven markets
F Abergel, BK Chakrabarti, A Chakraborti, M Mitra
Springer Science & Business Media, 2011
Algorithmic trading in a microstructural limit order book model
F Abergel, C Huré, H Pham
Commodities, 691-730, 2022
Econophysics and sociophysics: Recent progress and future directions
F Abergel, H Aoyama, BK Chakrabarti, A Chakraborti, N Deo, D Raina, ...
Springer International Publishing, 2017
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