Huyên Pham

Université de Paris

Professor

Batiment Sophie Germain 5 rue Thomas Mann

Paris, 75205

France

SCHOLARLY PAPERS

14

DOWNLOADS
Rank 21,523

SSRN RANKINGS

Top 21,523

in Total Papers Downloads

3,319

SSRN CITATIONS
Rank 18,420

SSRN RANKINGS

Top 18,420

in Total Papers Citations

28

CROSSREF CITATIONS

29

Scholarly Papers (14)

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 de Paris
Downloads 1,591 (16,009)
Citation 22

Abstract:

Loading...

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 de Paris
Downloads 485 (82,129)
Citation 4

Abstract:

Loading...

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 de Paris
Downloads 250 (169,503)
Citation 5

Abstract:

Loading...

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 de Paris
Downloads 233 (181,381)
Citation 4

Abstract:

Loading...

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 de Paris
Downloads 212 (198,234)
Citation 3

Abstract:

Loading...

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 de Paris
Downloads 179 (230,547)
Citation 1

Abstract:

Loading...

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 de Paris
Downloads 131 (296,807)

Abstract:

Loading...

Bayesian learning, optimal portfolio, Markowitz problem, portfolio selection

8.

Optimal Consumption with Reference to Past Spending Maximum

Forthcoming in Finance and Stochastics
Number of pages: 44 Posted: 27 Aug 2020 Last Revised: 23 Mar 2022
Shuoqing Deng, Xun Li, Huyên Pham and Xiang Yu
University of Michigan at Ann Arbor - Department of Mathematics, Hong Kong Polytechnic University, Université de Paris and Hong Kong Polytechnic University - Department of Applied Mathematics
Downloads 66 (456,207)
Citation 2

Abstract:

Loading...

Exponential utility, consumption running maximum, path-dependent reference, piecewise feedback control, verification theorem

9.

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 de Paris and Université Paris-Dauphine, PSL Research University
Downloads 59 (482,127)
Citation 2

Abstract:

Loading...

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

10.

Mean-Variance Portfolio Selection with Tracking Error Penalization

Number of pages: 29 Posted: 05 Nov 2020
Laboratoire de Probabilités, Statistique et Modélisation (LPSM), BNP Paribas and Université de Paris
Downloads 43 (551,395)

Abstract:

Loading...

Continuous-time mean-variance problem, tracking error, robust allocation, parameter misspecification

11.

Markowitz Portfolio Selection for Multivariate Affine and Quadratic Volterra Models

Number of pages: 43 Posted: 20 Jul 2020
Eduardo Abi Jaber, Enzo MILLER and Huyên Pham
affiliation not provided to SSRN, Université de Paris and Université de Paris
Downloads 42 (556,390)
Citation 7

Abstract:

Loading...

Mean-Variance Portfolio Theory; Rough Volatility; Correlation Matrices; Multidimensional Volterra Process; Riccati Equations; Non-Markovian Heston, Stein–Stein and Wishart Models.

12.

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, EDF R&D and Université de Paris
Downloads 22 (678,130)

Abstract:

Loading...

decarbonation, distributed generation, stochastic game, McKean-Vlasov

13.

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 de Paris
Downloads 4 (836,707)
Citation 2

Abstract:

Loading...

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

14.

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 de Paris and ENSAE, Institut Polytechnique de Paris
Downloads 2 (859,937)
Citation 2

Abstract:

Loading...