Zobrazeno 1 - 10
of 113
pro vyhledávání: '"Frédéric Abergel"'
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
This book presents the latest perspectives and challenges within the interrelated fields of econophysics and sociophysics, which have emerged from the application of statistical physics to economics and sociology. Economic and financial markets appea