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Econophysics review: I. Empirical facts

Anirban Chakraborti , Ioane Muni Toke , Marco Patriarca , Frédéric Abergel
Quantitative Finance, 2011, 11 (7), pp.991-1012. ⟨10.1080/14697688.2010.539248⟩
Journal articles hal-00621058v1

Goodness-of-Fit tests with Dependent Observations

Rémy Chicheportiche , Jean-Philippe Bouchaud
Journal of Statistical Mechanics: Theory and Experiment, 2011, 2011 (9), pp.P09003. ⟨10.1088/1742-5468/2011/09/P09003⟩
Journal articles hal-00621061v1
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The times change: multivariate subordination, empirical facts

Nicolas Huth , Frédéric Abergel
Quantitative Finance, 2012, 12 (1), pp.1-10. ⟨10.1080/14697688.2010.481635⟩
Journal articles hal-00620841v1
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A nonlinear partial integro-differential equation from mathematical finance

Frédéric Abergel , Rémi Tachet
Discrete and Continuous Dynamical Systems - Series A, 2010, 27 (3), pp.907-917. ⟨10.3934/dcds.2010.27.907⟩
Journal articles hal-00611962v1
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Optimizing a basket against the efficient market hypothesis

Frédéric Abergel , Mauro Politi
Quantitative Finance, 2012, 13 (1), pp.13-23. ⟨10.1080/14697688.2012.723821⟩
Journal articles hal-00773315v1
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Hedging contingent claims by convex local risk-minimization

Nicolas Millot
Probability [math.PR]. Ecole Centrale Paris, 2012. English. ⟨NNT : ⟩
Theses tel-00722225v1
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High frequency correlation modelling

Nicolas Huth , Frédéric Abergel
5th Kolkata Econophysics conference, Mar 2010, Kolkata, India. Econophysics of order-driven markets, p 189-202
Conference papers hal-00621244v1

Copulas and time series with long-ranged dependencies

Rémy Chicheportiche , Anirban Chakraborti
Physical Review E : Statistical, Nonlinear, and Soft Matter Physics, 2014, 89, pp.042117. ⟨10.1103/PhysRevE.89.042117⟩
Journal articles hal-00977135v1
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Credit risk in the pricing and hedging of derivatives

Frédéric Abergel
1st Financial Risks International Forum, Paris, Mar 2008, France
Conference papers hal-00620847v1
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The near-extreme density of intraday log-returns

Mauro Politi , Nicolas Millot , Anirban Chakraborti
Physica A: Statistical Mechanics and its Applications, 2011, 391, pp.147. ⟨10.1016/j.physa.2011.05.029⟩
Journal articles hal-00827942v1
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Nonquadratic Local Risk-Minimization for Hedging Contingent Claims in Incomplete Markets

Frédéric Abergel , Nicolas Millot
SIAM Journal on Financial Mathematics, 2011, 2 (1), pp. 342-356. ⟨10.1137/100803079⟩
Journal articles hal-00620843v1

The joint distribution of stock returns is not elliptical

Rémy Chicheportiche , Jean-Philippe Bouchaud
International Journal of Theoretical and Applied Finance, 2012, 15 (3), pp12500. ⟨10.1142/S0219024912500197⟩
Journal articles hal-00703720v1
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Baldovin-Stella stochastic volatility process and Wiener process mixtures

Pier Paolo Peirano , Damien Challet
The European Physical Journal B: Condensed Matter and Complex Systems, 2012, 85 (8), pp.276. ⟨10.1140/epjb/e2012-30134-y⟩
Journal articles istex hal-00734355v1
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Econophysics review: II. Agent-based models

Anirban Chakraborti , Ioane Muni Toke , Marco Patriarca , Frédéric Abergel
Quantitative Finance, 2011, 11 (7), pp.1013-1041. ⟨10.1080/14697688.2010.539249⟩
Journal articles hal-00621059v1
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Ergodicity and scaling limit of a constrained multivariate Hawkes process

Ban Zheng , François Roueff , Frédéric Abergel
SIAM Journal on Financial Mathematics, 2014, 5 (1), pp.P. 99-136. ⟨10.1137/130912980⟩
Journal articles hal-00777941v2