Geodesic
Optimization and statistical methods for high frequency finance
Marc Hoffmann1 ; Mauricio Labadie2 ; Charles-Albert Lehalle3 ; Gilles Pagès4 ; Huyên Pham5 ; Mathieu Rosenbaum4
1 Université Paris-Dauphine and CEREMADE, CNRS UMR 7534.
2 EXQIM.
3 Capital Fund Management (CFM).
4 Université Pierre et Marie Curie and LPMA, CNRS UMR 7599.
5 Université Paris-Diderot and LPMA, CNRS UMR 7599.
ESAIM. Proceedings, Tome 45 (2014), pp. 219-228.

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High Frequency finance has recently evolved from statistical modeling and analysis of financial data – where the initial goal was to reproduce stylized facts and develop appropriate inference tools – toward trading optimization, where an agent seeks to execute an order (or a series of orders) in a stochastic environment that may react to the trading algorithm of the agent (market impact, invoentory). This context poses new scientific challenges addressed by the minisymposium OPSTAHF.
DOI : 10.1051/proc/201445022

Marc Hoffmann 1 ; Mauricio Labadie 2 ; Charles-Albert Lehalle 3 ; Gilles Pagès 4 ; Huyên Pham 5 ; Mathieu Rosenbaum 4

1 Université Paris-Dauphine and CEREMADE, CNRS UMR 7534.
2 EXQIM.
3 Capital Fund Management (CFM).
4 Université Pierre et Marie Curie and LPMA, CNRS UMR 7599.
5 Université Paris-Diderot and LPMA, CNRS UMR 7599. 
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     author = {Marc Hoffmann and Mauricio Labadie and Charles-Albert Lehalle and Gilles Pag\`es and Huy\^en Pham and Mathieu Rosenbaum},
     title = {Optimization and statistical methods for high frequency finance},
     journal = {ESAIM. Proceedings},
     pages = {219--228},
     publisher = {mathdoc},
     volume = {45},
     year = {2014},
     doi = {10.1051/proc/201445022},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.1051/proc/201445022/}
}
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Marc Hoffmann; Mauricio Labadie; Charles-Albert Lehalle; Gilles Pagès; Huyên Pham; Mathieu Rosenbaum. Optimization and statistical methods for high frequency finance. ESAIM. Proceedings, Tome 45 (2014), pp. 219-228. doi : 10.1051/proc/201445022. http://geodesic.mathdoc.fr/articles/10.1051/proc/201445022/

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