Huyên Pham

Université Paris VII Denis Diderot

Batiment Sophie Germain 5 rue Thomas Mann

Paris, 75205

France

SCHOLARLY PAPERS

11

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CITATIONS
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62

Scholarly Papers (11)

1.

Optimal High Frequency Trading with Limit and Market Orders

Number of pages: 22 Posted: 24 Jun 2011
Fabien Guilbaud and Huyên Pham
Université Paris VII Denis Diderot and Université Paris VII Denis Diderot
Downloads 1,395 (12,832)
Citation 41

Abstract:

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Market making, limit order book, inventory risk, point process, stochastic control

2.

Optimal High-Frequency Trading in a Pro-Rata Microstructure with Predictive Information

Number of pages: 26 Posted: 16 Apr 2012 Last Revised: 07 May 2012
Fabien Guilbaud and Huyên Pham
Université Paris VII Denis Diderot and Université Paris VII Denis Diderot
Downloads 456 (61,311)
Citation 1

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Market making, limit order book, pro-rata microstructure, inventory risk, marked point process, stochastic control

3.

Semi Markov Model for Market Microstructure

Number of pages: 25 Posted: 06 May 2013
Pietro Fodra and Huyên Pham
Université Paris VII Denis Diderot and Université Paris VII Denis Diderot
Downloads 224 (134,618)
Citation 5

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Microstructure noise, High-frequency data, Markov renewal process, Signature plot, Scaling limit

4.

High Frequency Trading in a Markov Renewal Model

Number of pages: 26 Posted: 01 Oct 2013 Last Revised: 02 Oct 2013
Pietro Fodra and Huyên Pham
Université Paris VII Denis Diderot and Université Paris VII Denis Diderot
Downloads 204 (147,096)
Citation 3

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High frequency trading – Markov renewal process, Marked Cox process, adverse selection, integro-ordinary differential equation

5.

Numerical Methods for an Optimal Order Execution Problem

Number of pages: 29 Posted: 05 Jun 2010
Fabien Guilbaud, Mohamed Mnif and Huyên Pham
Université Paris VII Denis Diderot, Ecole Nationale d'Ingénieurs de Tunis (ENIT) and Université Paris VII Denis Diderot
Downloads 200 (149,819)
Citation 1

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Optimal Liquidation, Impulse Control Problem, Quasi-Variational Inequality, Explicit Backward Scheme, Quantization Method, Viscosity Solutions

6.

Optimal Switching for Pairs Trading Rule: A Viscosity Solutions Approach

Number of pages: 26 Posted: 24 Dec 2014
Minh-Man Ngo and Huyên Pham
Independent and Université Paris VII Denis Diderot
Downloads 165 (178,137)
Citation 4

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pairs trading, optimal switching, mean-reverting process, viscosity solutions

7.

Dealing with Drift Uncertainty: A Bayesian Learning Approach

Number of pages: 19 Posted: 10 Dec 2018
OSSIAM, OSSIAM and Université Paris VII Denis Diderot
Downloads 107 (249,917)

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Bayesian learning, optimal portfolio, Markowitz problem, portfolio selection

8.

Explicit Investment Rules with Time-to-Build and Uncertainty

Journal of Economic Dynamics and Control, Vol. 51, pp. 240-256, 2015
Number of pages: 22 Posted: 25 Jun 2014 Last Revised: 09 May 2017
Université Paris-Dauphine, University of Milan, Université Paris VII Denis Diderot and Université Paris-Dauphine, PSL Research University
Downloads 45 (400,463)
Citation 2

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optimal capacity; irreversible investments; singular stochastic control; time-to-build; delay equations

9.

The Coordination of Centralised and Distributed Generation

Number of pages: 35 Posted: 09 May 2017
René Aïd, Matteo Basei and Huyên Pham
Université Paris-Dauphine, Université Paris Diderot and Université Paris VII Denis Diderot
Downloads 9 (580,223)

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decarbonation, distributed generation, stochastic game, McKean-Vlasov

10.

A Model of Optimal Consumption under Liquidity Risk with Random Trading Times

Mathematical Finance, Vol. 18, Issue 4, pp. 613-627, October 2008
Number of pages: 15 Posted: 19 Sep 2008
Huyên Pham and Peter Tankov
Université Paris VII Denis Diderot and Ecole Polytechnique, Paris
Downloads 2 (630,437)
Citation 2
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11.

Optimal High‐Frequency Trading in a Pro Rata Microstructure with Predictive Information

Mathematical Finance, Vol. 25, Issue 3, pp. 545-575, 2015
Number of pages: 31 Posted: 05 Jun 2015
Fabien Guilbaud and Huyên Pham
Université Paris VII Denis Diderot and Université Paris VII Denis Diderot
Downloads 0 (661,222)
Citation 12
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market making, limit order book, pro rata microstructure, inventory risk, marked point process, stochastic control