Research Interest

Financial mathematics, trading strategy, high frequency data, microstructure, order book, optimal liquidation.

Fractal, point process, Malliavin calculus, agent-based model, random matrix theory, learning methods.

Publication

Modeling First Line of an Order Book with Multivariate Marked Point Processes, 30 pages, 2012, with Ciprian Tudor, submitted [ArXiv]

Multifractal Random Walks with Fractional Brownian Motion via Malliavin Calculus, 25 pages, 2012, with Ciprian Tudor, submitted [ArXiv]

Communication

University Paris I, Journée des Doctorants : Modeling First Line of an Order Book (December 2012).

University Paris I, Groupe de travail Probabilité : Scale – Invariant Nature of Stock Market to Detect Speculative Bubble [slides] (April 2012).