This article and the companion paper aim at reviewing recent empirical and theoretical
developments usually grouped under the term Econophysics. Since the name was coined in …

Motivated by the desire to bridge the gap between the microscopic description of price
formation (agent-based modeling) and the stochastic differential equations approach used …

This article is the second part of a review of recent empirical and theoretical developments
usually grouped under the heading Econophysics. In the first part, we reviewed the statistical …

Hawkes processes provide a natural framework for modelling dependencies between the
intensities of point processes. In the context of order-driven financial markets, the relevance of …

High-dimensional Hawkes processes with exponential kernels are used to describe limit
order books in order-driven financial markets. The dependencies between orders of various …

The issue of minimizing turbulence in an evolutionary Navier-Stokes flow is addressed from
the point of view of optimal control. We derive theoretical results for various physical …

A limit order book is essentially a file on a computer that contains all orders sent to the
market, along with their characteristics such as the sign of the order, price, quantity and a …

A limit order book provides information on available limit order prices and their volumes.
Based on these quantities, we give an empirical result on the relationship between the bid-ask …

Lead/lag relationships are an important stylized fact at high frequency. Some assets follow
the path of others with a small time lag. We provide indicators to measure this phenomenon …

… Frédéric Abergel, Rémi Tachet … Frédéric Abergel, Rémi Tachet. A nonlinear partial
integro-differential equation from mathematical finance. Discrete and Continuous …