Frédéric Abergel

Economics and Econometrics · 2009–2013

A researcher in the Science corpus: 8 papers; trusts 15 researchers and is trusted by 8 researchers here, as inferred from the citation graph.

Subfields

• Economics and Econometrics — 97 citations into it; #10,839 of 23,481 by trust here, #10,609 by citations
• Finance — 57 citations into it; #4,984 of 10,518 by trust here, #4,599 by citations
• Statistical and Nonlinear Physics — 20 citations into it
• Management Science and Operations Research — 14 citations into it; #5,171 of 11,946 by trust here, #8,906 by citations
• Applied Mathematics — 9 citations into it

Whom Frédéric Abergel trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Jean-Philippe Bouchaud
2. Fabrizio Lillo
3. Rama Cont
4. J. D. Farmer
5. Sean P. Meyn
6. Marc Potters

Who trusts Frédéric Abergel overall

1. Ban Zheng
2. Franccois Roueff
3. M. Gould
4. Alec N. Kercheval
5. Simon Clinet
6. Jonathan A. Chávez-Casillas
7. Justin A. Sirignano
8. Matthew F. Dixon

Papers from Frédéric Abergel's perspective

Ordered by how strongly the researchers Frédéric Abergel trusts endorse each paper. Same corpus, a different order for every researcher.

1. Statistical properties of stock order books: empirical results and models
2. The Elements of Statistical Learning
3. Regression Shrinkage and Selection via the Lasso
4. Review: P. Billingsley, Convergence of probability measures
5. Affine Point Processes and Portfolio Credit Risk (SIAM Journal on Financial Mathematics)
6. Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation
7. Econophysics: Empirical facts and agent-based models
8. Regularization Paths for Generalized Linear Models via Coordinate Descent
9. Long range dependence in financial markets
10. Atomic Decomposition by Basis Pursuit

Their papers

• Price jump prediction in a limit order book (2012) — 48 citations
• Market microstructure: confronting many viewpoints (2012) — 31 citations
• Econophysics: Empirical facts and agent-based models (2009) — 244 citations
• Econophysics review: II. Agent-based models (2011) — 257 citations
• Econophysics: empirical facts (2011) — 147 citations
• Ergodicity and scaling limit of a constrained multivariate Hawkes process (2013) — 52 citations
• A Mathematical Approach to Order Book Modelling (2010) — 121 citations
• A nonlinear partial integro-differential equation from mathematical finance (2010) — 53 citations