Talks

In this section you can browse the invited and contributed talks given by the members of the Chair of Quantitative Finance during various conferences.

• 19 november 2016, Frédéric Abergel, SIAM conference in financial mathematics and engineering, Austin, “Theoretical and numerical analysis of local stochastic volatility models”
• 8-9 november 2016, Frédéric Abergel, first latin american workshop on data science and mathematical modelling in social sciences, Buenos Aires, “Limit order books”
• 20 june 2016, Frédéric Abergel, second Bar Ilan conference on financial mathematics, Bar Ilan, “Mathematical modelling of limit order books”
• May 2015, Damien Challet, Theoretical physics seminar, La Sapienza, Rome, “Inference of implicit trader communication networks”
• 14th april 2015, Frédéric Abergel, workshop on the mathematics of high frequency financial markets, IPAM, UCLA, “Carnets d’ordres pilotés par des processus de Hawkes”
• 5th march 2015, Frédéric Abergel, Groupe de travail finance mathématique, probabilités numériques, statistique des processus, LPMA, “Hawkes-process driven limit order books”
• November 2014, Damien Challet, Applications of random matrix theory, and statistical physics, in communications and networks, Paris, “Inference of implicit trader communication networks”
• November 2014, Damien Challet, Quantitative management initiative annual conference, Paris, “Do Google Trends data contain more predictability than price returns?”
• 9th october 2014: Frédéric Abergel, Conférence internationale sur la finance quantitative, l’assurance et la gestion des risques, Marrakech, “Modelling liquidity costs and market impact for derivatives”
• October 2014, Damien Challet, Autorité des marchés financiers (AMF), Paris, “Finance comportementale et marchés financiers: techniques d’arbitrage, comportements exubérants et volatilité”
• 19th june 2014: Frédéric Abergel, SMAI-SIAM joint conference on robust hedging, Paris, “Modelling liquidity costs and market impact for derivatives”
• 10th October 2013: Frédéric Abergel, Financial and Insurance Mathematics Seminar, ETH Zurich, “Liquidity costs and market impact for derivative hedging and pricing”
• 6th June 2013: Frédéric Abergel, Frontiers in Financial Mathematics conference, Dublin, “Derivative hedging with liquidity costs and market impact”
• 18th April 2013: Frédéric Abergel, Groupe de travail Mathématiques Financières, Probabilités Numériques, Université Paris 6, “Derivative hedging with liquidity costs and market impact”
• 9th April 2013: Frédéric Abergel, IMA Conference on Mathematics in Finance, Heriot-Watt University, Edinburgh, “Transaction costs, market impact and derivative hedging”
• 9th April 2013: Mehdi Lallouache, IMA Conference on Mathematics in Finance, Heriot-Watt University, Edinburgh, “Empirical properties of the foreign exchange interdealer market”
• 3rd April 2013: Sophie Laruelle, Recent Advances in Algo and HF Trading, University College London, “Optimal posting price of limit orders: learning by trading”
• 3rd April 2013: Riadh Zaatour, Recent Advances in Algo and HF Trading, University College London, “Hawkes Processes: Fast Calibration And Application To Trade Clustering”
• 15th October 2012: Frédéric Abergel, Financial Mathematics Seminar, University of Uppsala, “Empirical and Mathematical Properties of Limit Order Books”
• 14th September 2012: Damien Challet, Satellite workshop of the Latsis Symposium, ETH-Zurich, Switzerland, “Limit order phenomenology from real trader behaviour: beyond tick-by-tick data”
• 27th June 2012: Frédéric Abergel, Quantitative Methods in Finance Conference in Cairns, “Empirical and Mathematical Properties of Limit Order Books”.
• 22nd June 2012: Damien Challet, Workshop on Economic Heterogeneous Interacting Agents, Université Panthéon Assas Paris II, France, entitled “Spuriously persistent arbitrage in agent-based models of financial markets without shortable trading strategies”
• 2nd March 2012: Frédéric Abergel, Invited Lecture at the Workshop on Quantitative and Statistical Finance, Université Paris Diderot, “Statistical and empirical properties of limit order books”
• 1st March 2012: Anirban Chakraborti, Invited Lecture at the Department of Physics Galileo Galilei, University of Padova, Italy entitled “Can we model socio-economic phenomena using kinetic theory of gases?”
• 5th January 2012: Anirban Chakraborti, Invited Lecture at the Statistical Physics Group, University of Calcutta, Kolkata, India entitled “Kinetic exchange models in studying socio-economic phenomena”.
• 4th January 2012: Anirban Chakraborti, Invited lecture at the International Conference “Contemporary Issues and Applications of Statistics” during January 2-4, 2012 at the Indian Statistical Institute, Kolkata, India, entitled “Correlations in Financial Time‐series: An Econophysicist’s Perspective”.
• 30th December 2011: Anirban Chakraborti, Invited lecture at the Theoretical Condensed Matter Physics Division, Saha Institute of Nuclear Physics, Kolkata, India, entitled “Kinetic exchange formalism applied to socio-economic phenomena”.
• 22nd December 2011: Anirban Chakraborti, Invited lecture at the Department of Physics and Astrophysics, University of Delhi, India, entitled “Kinetic exchange models in studying socio-economic phenomena”.
• 9th December 2011: Anirban Chakraborti, Invited lecture at the Centre d’analyse et de mathématique sociales, Ecole des Hautes Etudes en Sciences Sociales, Paris, entitled “Kinetic exchange models in studying socio-economic phenomena”.
• 28th November 2011: Frédéric Abergel, “Modélisation multi-agents en économie et en finance”, Colloque “Théorie et modèles en sciences sociales”, Académie Européenne Interdisciplinaires des Sciences, Université Paris 7
• 15th November 2011: Anirban Chakraborti, Invited lecture at the Unexpected Conference on “SOCIOPHYSICS: Do humans behave like atoms?” held at CREA, Ecole Nationale Supérieure de Techniques Avancées, Paris, entitled “Opinion formation in the kinetic exchange models “.
• 25th October 2011: Anirban Chakraborti, Invited lecture at International Workshop on “Econophysics of systemic risk and network dynamics”, held at Saha Institute of Nuclear Physics, Kolkata, India, entitled “Correlations in financial time series”.
• 9th June 2011: Frédéric Abergel, “Systemic risk and dynamical systems : New wine in an old jar ?”, Joint ECB-NY FED Conference : Alternative Approaches to Modeling Systemic Risk.
• 14th May 2011: Rémy Chicheportiche, “Dependences of daily stock returns: what copula ?”, Humboldt-Copenhagen conference on financial econometrics.
• 13th April 2011: Olaf Torné, “The value of a variance swap – a question of interest”, at Global Derivative​s Trading & Risk Management, Paris
• 7th April 2011: Frédéric Abergel, “Modélisation mathématique des marchés à carnet d’ordres”, département de mathématiques, université de Poitiers
• 24th March 2011: Frédéric Abergel, “Some empirical and mathematical properties of limit order books”, School and Workshop on Market Microstructure: Design, Efficiency and Statistical Regularities, ICTP, Italy
• 21st March 2011: Anirban Chakraborti, “Statistical physics inspired models of financial markets”, School and Workshop on Market Microstructure: Design, Efficiency and Statistical Regularities, ICTP, Italy
• 11th March 2011: Olaf Torné, “The value of a variance swap – a question of interest”, 4th Financial Risks Internatio​nal Forum – Long Term Risks, Paris
• 1st March 2011: Anirban Chakraborti, “Opinion formation in the kinetic exchange models”, University of Hokkaido, Japan
• 24th February 2011: Anirban Chakraborti, “Opinion formation in the kinetic exchange models “, University of Kyoto, Japan
• 23rd February 2011: Ioane Muni-Toke, “Some applications of Hawkes processes to Order Book Modelling”, First Workshop on Quantitative Finance and Economic: an Unconventional Meeting, International Christian University of Tokyo, Japan
• 22nd February 2011: Frédéric Abergel, “Empirical properties and mathematical models of limit order books”, First Workshop on Quantitative Finance and Economic: an Unconventional Meeting, International Christian University of Tokyo, Japan
• 21st February 2011: Anirban Chakraborti, “Kinetic exchange models of wealth distribution”, First Workshop on Quantitative Finance and Economic: an Unconventional Meeting, International Christian University of Tokyo, Japan
• 27th January 2011: Anirban Chakraborti, “The near-extreme density of intraday log returns”, XII Workshop on Quantitative Finance, University of Padova, Italy
• 13rd January 2011: Frédéric Abergel, “Some Mathematical Properties of Markovian Order-books”, Modeling and Managing Financial Risks in Paris
• 10th-13rd January 2011: Aymen Jedidi,”General Markovian Order Book Modelling”, Modeling and Managing Financial Risks in Paris
• 10th-13rd January 2011: Rémi Tachet,”A Nonlinear Partial Integrodifferential Equation from Mathematical Finance”, Modeling and Managing Financial Risks in Paris
• 10th-13rd January 2011: Nicolas Millot, “Non-quadratic Local Risk Minimization for Hedging Contingent Claims”, Modeling and Managing Financial Risks in Paris
• 17th December 2010: Aymen Jedidi, “General Markovian Order Book Modelling”, QMF in Sydney
• 16th December 2010: Nicolas Millot, “Non-quadratic Local Risk Minimization for Hedging Contingent Claims”, QMF in Sydney
• 16th June 2010: Frédéric Abergel, “High Frequency Trading: some empirical and theoretical studies”, High Frequency Trading conference.
• 25th March 2010: Frédéric Abergel, “Intraday correlation trading”, 3rd financial risks international forum.
• 12th March 2010: Mauro Politi, “Optimizing basket autocorrelation on short time scales”, Econophys-Kolkata V conference.
• 12th March 2010: Fabrizio Pomponio, “Statistics on multiple limits trades”, Econophys-Kolkata V conference.
• 12th March 2010: Frédéric Abergel, “A mathematical approach to order book modelling”, Econophys-Kolkata V conference.
• 10th March 2010: Nicolas Huth, “High frequency correlation modelling”, Econophys-Kolkata V conference.
• 10th March 2010: Ioane Muni-Toke, “‘Market Making’ behaviour in an electronic order book and its impact on the bid-ask spread”, Econophys-Kolkata V conference.
• 9th March 2010: Mauro Politi, “eMID:electronic Market for Interbank Deposit An ‘exotic’ example of quote driven market, Econophys-Kolkata V conference.
• 18th December 2009: Frédéric Abergel, “Multidimensional trade time : a new approach to correlation modelling”, Quantitative methods in finance, Sidney
• 25th October 2009: Nicolas Huth, “Statistical tools for crisis detection”, Econophysics Colloquium in Sicilia.
• 19th October 2009: Frédéric Abergel, “Some mathematical properties of Markovian market models”, Fiesta seminar in Ecole Polytechnique.
• 19th October 2009: Mauro Politi, “Optimizing (some) basket properties on short time scales”, Fiesta seminar in Ecole Polytechnique.
• 8th October 2009: Frédéric Abergel, “Risk measurement and risk management of derivative products”, Financial risk, market complexity and regulation Colloquium in Budapest.
• 23th March 2009: Nicolas Huth, “Managing correlation in the equity derivatives business”, Ecole Polytechnique.
• 4th February 2009: Frédéric Abergel, “Agent-based models and continuous time finance”, EM Lyon.
• 8th December 2008: Ioane Muni-Toke, “Agent-based model simulator”, Ecole Polytechnique.
• 27th February 2008: Frédéric Abergel, “Optimal control and hedging of derivative products”, Petit déjeuner de la finance, Maisons des Polytechniciens.