Zobrazeno 1 - 10
of 229
pro vyhledávání: '"Frédéric Abergel"'
Autor:
LeBaron, Blake
Publikováno v:
Journal of Economic Literature, 2014 Sep 01. 52(3), 855-858.
Externí odkaz:
https://www.jstor.org/stable/24434115
Autor:
Frédéric Abergel, Adrien Akar
Publikováno v:
The Journal of Portfolio Management. 49:138-158
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c70fea7acc5a6cfd52d26af6866ed017
https://doi.org/10.3905/jpm.2022.1.440
https://doi.org/10.3905/jpm.2022.1.440
Publikováno v:
Commodities ISBN: 9781003265399
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c3f3aecb57ec844a3fd6b26a6a767fdb
https://doi.org/10.1201/9781003265399-36
https://doi.org/10.1201/9781003265399-36
Autor:
Frédéric Abergel, Thomas Heckel
Publikováno v:
The Journal of Investment Strategies.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6ae2c30d4be34bfc1c20dce727e8d2c8
https://doi.org/10.21314/jois.2021.014
https://doi.org/10.21314/jois.2021.014
Publikováno v:
The Journal of Risk.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c01024bf6df43ac252b53137bc9eeb33
https://doi.org/10.21314/jor.2022.027
https://doi.org/10.21314/jor.2022.027
Publikováno v:
SSRN Electronic Journal.
This note presents a novel, practical approach to risk management for multi-factor equity investment strategies. Our approach lies in the construction of a cross-sectional risk model using the stock return betas and a small number of style factors an
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8a1dd0b84b8a232dc4fed3bffeb7ecfe
https://doi.org/10.2139/ssrn.3878183
https://doi.org/10.2139/ssrn.3878183
Publikováno v:
Quantitative Finance
Quantitative Finance, Taylor & Francis (Routledge), 2020, 20 (8), pp.1263-1283. ⟨10.1080/14697688.2020.1729396⟩
Quantitative Finance, Taylor & Francis (Routledge), In press
Quantitative Finance, Taylor & Francis (Routledge), 2020, 20 (8), pp.1263-1283. ⟨10.1080/14697688.2020.1729396⟩
Quantitative Finance, Taylor & Francis (Routledge), In press
International audience; 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, market orders, and cancel orders arrivals in
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5d8d30b3b1412c1ad12377d2d621bff8
https://hal.archives-ouvertes.fr/hal-01514987v3/document
https://hal.archives-ouvertes.fr/hal-01514987v3/document
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 database of metaorders-large orders that are split into smaller pieces bef
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a74add50900b09b1f0101bdf95ee2b7d
https://hal.archives-ouvertes.fr/hal-02014248
https://hal.archives-ouvertes.fr/hal-02014248
Autor:
Frédéric Abergel, Thomas Heckel
Publikováno v:
SSRN Electronic Journal.
This note presents a novel approach to the performance analysis of multi-factor investment strategies. Our main methodological contributions are threefold : first, the use of a cross-sectional projection of asset returns onto the factors to form appr
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4d44c09781db1d0e65dbba07769fbb93
https://doi.org/10.2139/ssrn.3450392
https://doi.org/10.2139/ssrn.3450392
Publikováno v:
SSRN Electronic Journal.
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 database of metaorders-large orders that are split into smaller pieces bef
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::75c77fc1996fb966e61c2b071745896c
https://doi.org/10.2139/ssrn.3332382
https://doi.org/10.2139/ssrn.3332382