Optimal Allocation Strategies for the Dark Pool Problem, Proceedings of The Thirteenth International Conference on Artificial Intelligence and Statistics (AISTATS), 2010. ,
Dynamic optimal execution in a mixed, 2014. ,
URL : https://hal.archives-ouvertes.fr/hal-00971369
Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models, SIAM Journal on Financial Mathematics, vol.1, issue.1, pp.490-522, 2010. ,
DOI : 10.1137/090762786
URL : https://hal.archives-ouvertes.fr/hal-00397652
Experimental evaluation of expert fusion strategies, Pattern Recognition Letters, vol.20, issue.11-13, pp.1361-1369, 1999. ,
DOI : 10.1016/S0167-8655(99)00107-5
Optimal execution of portfolio transactions, The Journal of Risk, vol.3, issue.2, pp.5-39, 2000. ,
DOI : 10.21314/JOR.2001.041
Direct Estimation of Equity Market Impact, Risk, pp.18-57, 2005. ,
Optimal execution with nonlinear impact functions and trading-enhanced risk, Applied Mathematical Finance, vol.3, issue.1, pp.1-18, 2003. ,
DOI : 10.3905/jpm.1992.409428
High-frequency trading in a limit order book, Quantitative Finance, vol.8, issue.3, pp.217-224, 2008. ,
DOI : 10.1080/14697680500244411
Realtime market microstructure analysis : online Transaction Cost Analysis, Quantitative Finance, pp.0-19, 2014. ,
DOI : 10.1080/14697688.2014.884283
URL : http://arxiv.org/abs/1302.6363
Hawkes model for price and trades high-frequency dyna- mics, 2013. ,
Multifractal random walk, Physical Review E, vol.64, issue.2, p.26103, 2001. ,
DOI : 10.1103/PhysRevE.64.026103
URL : https://hal.archives-ouvertes.fr/hal-00012439
Non-parametric kernel estimation for symmetric Hawkes processes. Application to high frequency financial data, The European Physical Journal B, vol.96, issue.5, 2011. ,
DOI : 10.1140/epjb/e2012-21005-8
URL : https://hal.archives-ouvertes.fr/hal-01313844
Modeling microstructure noise with mutually exciting point processes, Quantitative Finance, 2012. ,
Hawkes Processes in Finance, Market Microstructure and Liquidity, vol.01, issue.01, 2015. ,
DOI : 10.1142/S2382626615500057
URL : https://hal.archives-ouvertes.fr/hal-01313838
Detection of Abrupt Changes : Theory and Application (Prentice Hall information and system sciences series), 1993. ,
LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY, Mathematical Finance, vol.5, issue.4, 2012. ,
DOI : 10.1111/j.1467-9965.2012.00529.x
Adaptive Algorithms and Stochastic Approximations, 1991. ,
DOI : 10.1007/978-3-642-75894-2
The Non-Linear Market Impact of Large Trades : Evidence from Buy-Side Order Flow, Social Science Research Network Working Paper Series, 2013. ,
Optimal control of execution costs, Journal of Financial Markets, vol.1, issue.1, pp.1-50, 1998. ,
DOI : 10.1016/S1386-4181(97)00012-8
Exact simulation of diffusions, The Annals of Applied Probability, vol.15, issue.4, pp.2422-2444, 2005. ,
DOI : 10.1214/105051605000000485
Weak Dynamic Programming Principle for Viscosity Solutions, SIAM Journal on Control and Optimization, vol.49, issue.3, pp.948-962, 2011. ,
DOI : 10.1137/090752328
URL : https://hal.archives-ouvertes.fr/hal-00367355
Optimal Control of Trading Algorithms: A General Impulse Control Approach, SIAM Journal on Financial Mathematics, vol.2, issue.1, pp.404-438, 2011. ,
DOI : 10.1137/090777293
URL : https://hal.archives-ouvertes.fr/hal-00432203
Theory of Financial Risk and Derivative Pricing : From Statistical Physics to Risk Management, 2004. ,
DOI : 10.1017/CBO9780511753893
URL : https://hal.archives-ouvertes.fr/hal-00121107
Fluctuations and response in financial markets: the subtle nature of ???random??? price changes, Quantitative Finance, vol.62, issue.2, pp.176-190, 2004. ,
DOI : 10.1080/713665670
Slow decay of impact in equity markets, J. P, p.2014, 2014. ,
Buy Low Sell High : A High Frequency Trading Perspective, Social Science Research Network Working Paper Series, 2011. ,
Econophysics review: II. Agent-based models, Quantitative Finance, vol.69, issue.7, 2011. ,
DOI : 10.1103/RevModPhys.81.1703
Price Dynamics in a Markovian Limit Order Market, SIAM Journal on Financial Mathematics, vol.4, issue.1, pp.1-25, 2013. ,
DOI : 10.1137/110856605
URL : https://hal.archives-ouvertes.fr/hal-00832155
A Stochastic Model for Order Book Dynamics, Social Science Research Network Working Paper Series, 2008. ,
URL : https://hal.archives-ouvertes.fr/hal-00497666
An Introduction to Support Vector Machines and Other Kernel-based Learning Methods. 1 edn, 2000. ,
Clustering and Mean Reversion in a Hawkes Microstructure Model, Journal of Futures Markets, 2014. ,
An introduction to the theory of point processes Vol. I, Elementary theory and methods, 2003. ,
A Million Metaorder Analysis of Market Impact on the Bitcoin, Market Microstructure and Liquidity, vol.01, issue.02, 2014. ,
DOI : 10.1142/S2382626615500082
Algorithmes stochastiques, 1997. ,
Models for the impact of all order book events, 2011. ,
A Stochastic Control Approach for Option Market Making, Social Science Research Network Working Paper Series, 2014. ,
Measuring and Modeling Execution Cost and Risk, SSRN Electronic Journal, vol.38, issue.2, pp.14-28, 2012. ,
DOI : 10.2139/ssrn.1211162
The Capital Asset Pricing Model : Theory and Evidence, Social Science Research Network Working Paper Series, 2003. ,
What really causes large price changes ? Quantitative Finance, pp.383-397, 2004. ,
How efficiency shapes market impact, Quantitative Finance, vol.78, issue.11, pp.1743-1758, 2013. ,
DOI : 10.1016/S0378-4371(99)00077-1
Pro-rata matching and one-tick futures markets. CFS working paper, p.40, 2008. ,
Semi Markov model for market microstructure, Huyên, p.2013 ,
URL : https://hal.archives-ouvertes.fr/hal-01261353
Competition for Order Flow and Smart Order Routing Systems, The Journal of Finance, vol.5, issue.1, pp.119-158, 2008. ,
DOI : 10.1111/j.1540-6261.2008.01312.x
URL : https://hal.archives-ouvertes.fr/hal-00554030
Censored exploration and the dark pool problem, Communications of the ACM, vol.53, issue.5, pp.99-107, 2010. ,
DOI : 10.1145/1735223.1735247
Fokker-Planck description for the queue dynamics of large tick stocks, Physical Review E, vol.88, issue.3, pp.88-32809, 2013. ,
DOI : 10.1103/PhysRevE.88.032809
No-dynamic-arbitrage and market impact, Quantitative Finance, vol.8, issue.7, 2010. ,
DOI : 10.1080/14697680500244411
No-dynamic-arbitrage and market impact, Quantitative Finance, vol.8, issue.7, pp.749-759, 2010. ,
DOI : 10.1080/14697680500244411
Dynamical Models of Market Impact and Algorithms for Order Execution, Handbook on Systemic Risk (Forthcoming), 2012. ,
DOI : 10.1017/CBO9781139151184.030
TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS, Mathematical Finance, vol.2, issue.1, pp.445-474, 2012. ,
DOI : 10.1111/j.1467-9965.2011.00478.x
Liquidity Models in Continuous and Discrete Time, Advanced Mathematical Methods for Finance, 2011. ,
Is market impact a measure of the information value of trades? Market response to liquidity vs. informed metaorders, Quantitative Finance, vol.18, issue.7, 2013. ,
DOI : 10.1103/PhysRevE.77.036110
Smooth solutions to portfolio liquidation problems under price-sensitive market impact, 2013. ,
Optimal Portfolio Liquidation with Limit Orders, SIAM Journal on Financial Mathematics, vol.3, issue.1, pp.740-764, 2012. ,
DOI : 10.1137/110850475
OPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT, Mathematical Finance, vol.5, issue.1, 2013. ,
DOI : 10.1111/mafi.12102
Dealing with the inventory risk: a solution to the market making problem, Mathematics and Financial Economics, vol.39, issue.4, pp.477-507, 2013. ,
DOI : 10.1007/s11579-012-0087-0
Optimal High Frequency Trading with limit and market orders, 2011. ,
URL : https://hal.archives-ouvertes.fr/hal-00835633
Adaptive Filtering and Change Detection, 2000. ,
DOI : 10.1002/0470841613
Critical reflexivity in financial markets : a Hawkes process analysis, 2013. ,
The market impact of a limit order, Journal of Economic Dynamics and Control, vol.36, issue.4, pp.501-522, 2012. ,
DOI : 10.1016/j.jedc.2011.09.012
Clustering of order arrivals, price impact and trade path optimisation, 2006. ,
Optimal dealer pricing under transactions and return uncertainty, Journal of Financial Economics, vol.9, issue.1, pp.47-73, 1981. ,
DOI : 10.1016/0304-405X(81)90020-9
The Dynamics of Dealer Markets Under Competition, The Journal of Finance, vol.16, issue.4, pp.1053-1074, 1983. ,
DOI : 10.1111/j.1540-6261.1983.tb02282.x
Optimization and Statistical Methods for High Frequency Finance, ESAIM Proceedings. SMAI, 2013. ,
Simulating and Analyzing Order Book Data: The Queue-Reactive Model, Journal of the American Statistical Association, vol.3, issue.509, 2013. ,
DOI : 10.1080/14697680701344515
URL : https://hal.archives-ouvertes.fr/hal-01172326
Optimal Portfolio Liquidation with Execution Cost and Risk, SIAM Journal on Financial Mathematics, vol.1, issue.1, pp.897-931, 2010. ,
DOI : 10.1137/09076372X
URL : https://hal.archives-ouvertes.fr/hal-00394997
Abstract., Monte Carlo Methods and Applications, vol.20, issue.2, 2013. ,
DOI : 10.1515/mcma-2013-0024
URL : https://hal.archives-ouvertes.fr/hal-00395363
Stochastic Approximation Methods for Constrained and Unconstrained Systems, ZAMM -Journal of Applied Mathematics and Mechanics / Zeitschrift fur Angewandte Mathematik und Mechanik, pp.63-64, 1980. ,
DOI : 10.1007/978-1-4684-9352-8
Continuous Auctions and Insider Trading, Econometrica, vol.53, issue.6, pp.1315-1335, 1985. ,
DOI : 10.2307/1913210
Optimal starting times, stopping times and risk measures for algorithmic trading, The Journal of Investment Strategies, vol.3, issue.2, 2014. ,
Eciency of the Price Formation Process in Presence of High Frequency Participants : a Mean Field Game analysis, 2013. ,
A penalized bandit algorithm, Electronic Journal of Probability, vol.13, issue.0, p.13, 2008. ,
DOI : 10.1214/EJP.v13-489
URL : https://hal.archives-ouvertes.fr/hal-00012187
Stochastic approximation with averaging innovation applied to Finance, Monte Carlo Methods and Applications, vol.18, issue.1, pp.1-51, 2012. ,
DOI : 10.1515/mcma-2011-0018
URL : https://hal.archives-ouvertes.fr/hal-00504644
Optimal posting price of limit orders: learning by trading, Mathematics and Financial Economics, vol.9, issue.2, pp.359-403, 2013. ,
DOI : 10.1007/s11579-013-0096-7
URL : https://hal.archives-ouvertes.fr/hal-00650314
Rigorous optimisation of intra day trading, 2008. ,
Market Microstructure knowledge needed to control an intra-day trading process, Handbook on Systemic Risk, 2013. ,
On the fly health monitoring of mechanical hazards from under sampled signals in formula one, 2004. ,
Rigorous post-trade market impact measurement and the price formation process, 2010. ,
High-Frequency Simulations of an Order Book: a Two-scale Approach, Econophysics of Order-Driven Markets. New Economic Windows, 2010. ,
DOI : 10.1007/978-88-470-1766-5_6
What does the saw-tooth pattern on US markets on tell us about the price formation process, 2012. ,
Market Microstructure in Practice, 2013. ,
DOI : 10.1142/8967
Option Hedging with Smooth Market Impact, 2014. ,
Econophysics: Master curve for price-impact function, Nature, vol.46, issue.6919, 2003. ,
DOI : 10.1103/PhysRevE.66.027104
The (Mis)behavior of Markets, 2004. ,
Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated L??vy Flight, Physical Review Letters, vol.73, issue.22, pp.73-2946, 1994. ,
DOI : 10.1103/PhysRevLett.73.2946
PORTFOLIO SELECTION*, The Journal of Finance, vol.7, issue.1, pp.77-91, 1952. ,
DOI : 10.1111/j.1540-6261.1952.tb01525.x
Agentbased models for latent liquidity and concave price impact, 2013. ,
How (Not) to Integrate the European Capital Markets, 1991. ,
Market impact and trading profile of hidden orders in stock markets, Physical Review E, vol.80, issue.6, pp.80-066102, 2009. ,
DOI : 10.1103/PhysRevE.80.066102
Optimal Trading Strategy and Supply/Demand Dynamics, Social Science Research Network Working Paper Series, 2005. ,
DOI : 10.1016/j.finmar.2012.09.001
URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.181.198
Optimal split of orders across liquidity pools : a stochastic algorithm approach, SIAM Journal on Financial Mathematics, vol.2, pp.1042-1076, 2011. ,
A Stochastic Approximation Method, The Annals of Mathematical Statistics, vol.22, issue.3, pp.400-407, 1951. ,
DOI : 10.1214/aoms/1177729586
A New Approach for the Dynamics of Ultra-High-Frequency Data: The Model with Uncertainty Zones, Journal of Financial Econometrics, vol.9, issue.2, pp.344-366, 2011. ,
DOI : 10.1093/jjfinec/nbq023
URL : https://hal.archives-ouvertes.fr/hal-00659614
Performance Metrics for Algorithmic Traders, SSRN Electronic Journal, 2009. ,
DOI : 10.2139/ssrn.1439902
Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets, Finance and Stochastics, vol.13, issue.2, pp.181-204, 2009. ,
A Mathematical Theory of Communication, Bell System Technical Journal, vol.27, issue.3, pp.379-423, 1948. ,
DOI : 10.1002/j.1538-7305.1948.tb01338.x
Essentials of Stochastic Finance : Facts, Models, Theory, 1999. ,
DOI : 10.1142/3907
Statistical theory of the continuous double auction, Quantitative Finance, vol.3, issue.6, pp.481-514, 2003. ,
DOI : 10.1017/CBO9780511755767
The Price Variability-Volume Relationship on Speculative Markets, Econometrica, vol.51, issue.2, pp.51-485, 1983. ,
DOI : 10.2307/1912002
Estimation of Dependences Based on Empirical Data (Information Science and Statistics), 2006. ,
On the uniform convergence of relative frequencies of events to their probabilities, Theory of Probability and its Applications, pp.264-280, 1971. ,
The Nature of Statistical Learning Theory (Information Science and Statistics) Softcover reprint of hardcover, 2010. ,
Statistical Learning Theory, 1998. ,
Is Market Impact a Measure of the Information Value of Trades? Market Response to Liquidity vs. Informed Trades, SSRN Electronic Journal, 2013. ,
DOI : 10.2139/ssrn.2291720
Regression Coecient and Autoregressive Order Shrinkage and Selection Via the Lasso, Journal of the Royal Statistical Society. Series B (Statistical Methodology), vol.69, issue.1, 2007. ,
Beyond the Square Root: Evidence for Logarithmic Dependence of Market Impact on Size and Participation Rate, Market Microstructure and Liquidity, vol.01, issue.02, 2014. ,
DOI : 10.1142/S2382626615500045
Optimal execution strategies in limit order books with general shape functions, Quantitative Finance, vol.10, issue.2, pp.143-157, 2009. ,
DOI : 10.1080/14697680500244411
URL : https://hal.archives-ouvertes.fr/hal-00166969
Direct Estimation of Equity Market Impact, Risk, vol.18, pp.57-62, 2005. ,
Optimal execution of portfolio transactions, The Journal of Risk, vol.3, issue.2, pp.5-39, 2000. ,
DOI : 10.21314/JOR.2001.041
Optimal control of execution costs, Journal of Financial Markets, vol.1, issue.1, pp.1-50, 1998. ,
DOI : 10.1016/S1386-4181(97)00012-8
Optimal Control of Trading Algorithms: A General Impulse Control Approach, SIAM Journal on Financial Mathematics, vol.2, issue.1, 2011. ,
DOI : 10.1137/090777293
URL : https://hal.archives-ouvertes.fr/hal-00432203
Fluctuations and response in financial markets: the subtle nature of ???random??? price changes, Quantitative Finance, vol.62, issue.2, pp.176-190, 2004. ,
DOI : 10.1080/713665670
General intensity shapes in optimal liquidation, Mathematical Finance, p.page n/a, 2013. ,
Simulating and Analyzing Order Book Data: The Queue-Reactive Model, Journal of the American Statistical Association, vol.3, issue.509, 2015. ,
DOI : 10.1080/14697680701344515
URL : https://hal.archives-ouvertes.fr/hal-01172326
Rigorous optimisation of intra day trading, 2008. ,
Statistical Theory of the Continuous Double Auction, Quantitative Finance, vol.3, issue.6, pp.481-514, 2003. ,