Xiaofei Lu

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All published works

Action	Title	Year	Authors
+ PDF Chat	Order-book modelling and market making strategies	2018	Xiaofei Lu Frédéric Abergel
+	High dimensional Hawkes processes for limit order books Modelling, empirical analysis and numerical calibration	2018	Xiaofei Lu Frédéric Abergel
+ PDF Chat	High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration	2018	Xiaofei Lu Frédéric Abergel
+	Order-book modelling and market making strategies	2018	Xiaofei Lu Fr 'ed 'eric Abergel
+ PDF Chat	Limit order book modelling with high dimensional Hawkes processes	2017	Xiaofei Lu Frédéric Abergel
+	An Orthogonal Collocation Method for Sobolev Equations	2015	Xiaofei Lu Ning Ma
+ PDF Chat	Water vapor: An extraordinary terahertz wave source under optical excitation	2008	K. H. Johnson Matthew Price-Gallagher Orval Mamer Alain Lesimple Clark Fletcher Yunqing Chen Xiaofei Lu Masashi Yamaguchi Xicheng Zhang

Common Coauthors

Coauthor	Papers Together
Frédéric Abergel	4
Matthew Price-Gallagher	1
Clark Fletcher	1
Xicheng Zhang	1
K. H. Johnson	1
Alain Lesimple	1
Masashi Yamaguchi	1
Fr 'ed 'eric Abergel	1
Ning Ma	1
Yunqing Chen	1
Orval Mamer	1

Commonly Cited References

Action	Title	Year	Authors	# of times referenced
+	Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics	2016	Emmanuel Bacry Thibault Jaisson Jean–François Muzy	2
+ PDF Chat	Stability of nonlinear Hawkes processes	1996	Pierre Brémaud Laurent Massoulié	2
+	Stability results for a general class of interacting point processes dynamics, and applications11This work was partially done while the author was with the Laboratoire des Signaux et Systèmes, CNRS-ESE, Plateau de Moulon, 91192 Gif-sur-Yvette, France.	1998	Laurent Massoulié	2
+	None	1997	Rainer Storn Kenneth V. Price	2
+ PDF Chat	Long-Time Behavior of a Hawkes Process--Based Limit Order Book	2015	Frédéric Abergel Aymen Jedidi	2
+ PDF Chat	Measuring the resiliency of an electronic limit order book	2006	Jeremy Large	2
+	Maximum likelihood estimation of Hawkes' self-exciting point processes	1979	T. Ozaki	2
+ PDF Chat	Modelling Bid and Ask Prices Using Constrained Hawkes Processes: Ergodicity and Scaling Limit	2014	Ban Zheng François Roueff Frédéric Abergel	2
+ PDF Chat	How Markets Slowly Digest Changes in Supply and Demand	2009	Jean‐Philippe Bouchaud J. Doyne Farmer Fabrizio Lillo	2
+ PDF Chat	Statistical theory of the continuous double auction	2003	Eric Smith J. Doyne Farmer László Gillemot Supriya Krishnamurthy	2
+ PDF Chat	Modelling microstructure noise with mutually exciting point processes	2012	Emmanuel Bacry Sylvain Delattre Marc Hoffmann J. F. Muzy	2
+	Regular point processes and their detection	1972	I. Rubin	2
+	A cluster process representation of a self-exciting process	1974	Alan G. Hawkes David Oakes	2
+ PDF Chat	The role of volume in order book dynamics: a multivariate Hawkes process analysis	2016	Marcello Rambaldi Emmanuel Bacry Fabrizio Lillo	2
+ PDF Chat	The price impact of order book events: market orders, limit orders and cancellations	2011	Zoltán Eisler Jean‐Philippe Bouchaud Julien Kockelkoren	2
+ PDF Chat	Simulating and Analyzing Order Book Data: The Queue-Reactive Model	2014	Weibing Huang Charles‐Albert Lehalle Mathieu Rosenbaum	2
+ PDF Chat	Modelling security market events in continuous time: Intensity based, multivariate point process models	2007	Clive G. Bowsher	2
+ PDF Chat	GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION	2013	Olivier Guéant Charles‐Albert Lehalle	1
+ PDF Chat	A Finite Element Collocation Method for Quasilinear Parabolic Equations	1973	Jim Douglas Todd Dupont	1
+	Semi Markov Model for Market Microstructure	2013	Pietro Fodra Huyên Pham	1
+ PDF Chat	Optimal High-Frequency Trading in a Pro-Rata Microstructure with Predictive Information	2012	Fabien Guilbaud Huyên Pham	1
+ PDF Chat	Dealing with the inventory risk: a solution to the market making problem	2012	Olivier Guéant Charles‐Albert Lehalle Joaquin Fernandez-Tapia	1
+	Hawkes processes in finance	2015	Emmanuel Bacry Iacopo Mastromatteo Jean-Fran ccois Muzy	1
+ PDF Chat	Hawkes Processes in Finance	2015	Emmanuel Bacry Iacopo Mastromatteo J. F. Muzy	1
+ PDF Chat	Optimal high-frequency trading with limit and market orders	2012	Fabien Guilbaud Huyên Pham	1
+ PDF Chat	LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY	2012	Erhan Bayraktar Michael Ludkovski	1
+	A cluster process representation of a self-exciting process	1974	Alan G. Hawkes David Oakes	1
+ PDF Chat	High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration	2018	Xiaofei Lu Frédéric Abergel	1
+ PDF Chat	Determination of the carrier-envelope phase of few-cycle laser pulses with terahertz-emission spectroscopy	2006	M. Kreß Torsten Löffler Mark D. Thomson R. Dörner H. Gimpel K. Zrost Thorsten Ergler R. Moshammer Uwe Morgner J. Ullrich	1
+ PDF Chat	The order book as a queueing system: average depth and influence of the size of limit orders	2014	Ioane Muni Toke	1
+ PDF Chat	Statistical properties of share volume traded in financial markets	2000	Parameswaran Gopikrishnan Vasiliki Plerou Xavier Gabaix H. Eugene Stanley	1
+ PDF Chat	Large deviations for Markovian nonlinear Hawkes processes	2015	Lingjiong Zhu	1
+	Analysis of alternating direction collocation methods for parabolic and hyperbolic problems in two space variables	1993	Ryan I. Fernandes Graeme Fairweather	1
+ PDF Chat	A finite element collocation method for quasilinear parabolic equations	1973	Jim Douglas Todd Dupont	1
+ PDF Chat	Absorption of infra-red radiation by atmospheric molecular cluster-ions	2005	Karen Aplin Robert McPheat	1
+ PDF Chat	Hawkes model for price and trades high-frequency dynamics	2014	Emmanuel Bacry J. F. Muzy	1