Huyên Pham

Sorbonne University - Laboratoire de Probabilités, Statistique et Modélisation (LPSM)

SCHOLARLY PAPERS

15

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5,159

SSRN CITATIONS
Rank 17,452

SSRN RANKINGS

Top 17,452

in Total Papers Citations

53

CROSSREF CITATIONS

27

Scholarly Papers (15)

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 Sorbonne University - Laboratoire de Probabilités, Statistique et Modélisation (LPSM)
Downloads 1,827 (17,674)
Citation 30

Abstract:

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

2.

Generative Modeling for Time Series Via Schrödinger Bridge

Number of pages: 21 Posted: 24 Apr 2023
Sorbonne University - Laboratoire de Probabilités, Statistique et Modélisation (LPSM), Qube Research & Technologies and Sorbonne University - Laboratoire de Probabilités, Statistique et Modélisation (LPSM)
Downloads 768 (61,948)

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generative models, time series, Schrödinger bridge, kernel estimation, deep hedging

3.

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 Sorbonne University - Laboratoire de Probabilités, Statistique et Modélisation (LPSM)
Downloads 532 (98,749)
Citation 4

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

4.

Policy Gradient Learning Methods for Stochastic Control with Exit Time and Applications to Share Repurchase Pricing

Number of pages: 19 Posted: 16 Feb 2023
Sorbonne University - Laboratoire de Probabilités, Statistique et Modélisation (LPSM), Qube Research & Technologies and Sorbonne University - Laboratoire de Probabilités, Statistique et Modélisation (LPSM)
Downloads 339 (166,124)

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stochastic control, policy gradients, pricing

5.

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 Sorbonne University - Laboratoire de Probabilités, Statistique et Modélisation (LPSM)
Downloads 287 (198,088)
Citation 5

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

6.

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 Sorbonne University - Laboratoire de Probabilités, Statistique et Modélisation (LPSM)
Downloads 271 (209,948)
Citation 4

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

7.

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 Sorbonne University - Laboratoire de Probabilités, Statistique et Modélisation (LPSM)
Downloads 254 (223,948)
Citation 3

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

8.

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 Sorbonne University - Laboratoire de Probabilités, Statistique et Modélisation (LPSM)
Downloads 213 (265,210)
Citation 1

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

9.

Dealing with Drift Uncertainty: A Bayesian Learning Approach

Number of pages: 19 Posted: 10 Dec 2018
OSSIAM, OSSIAM and Sorbonne University - Laboratoire de Probabilités, Statistique et Modélisation (LPSM)
Downloads 169 (326,261)

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Bayesian learning, optimal portfolio, Markowitz problem, portfolio selection

10.

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, Sorbonne University - Laboratoire de Probabilités, Statistique et Modélisation (LPSM) and Hong Kong Polytechnic University - Department of Applied Mathematics
Downloads 97 (499,610)
Citation 6

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

11.

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 Sorbonne University - Laboratoire de Probabilités, Statistique et Modélisation (LPSM)
Downloads 92 (516,854)

Abstract:

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decarbonation, distributed generation, stochastic game, McKean-Vlasov

12.

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, Sorbonne University - Laboratoire de Probabilités, Statistique et Modélisation (LPSM) and Université Paris-Dauphine, PSL Research University
Downloads 85 (542,857)
Citation 2

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

13.

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
Ecole Polytechnique, Université de Paris and Sorbonne University - Laboratoire de Probabilités, Statistique et Modélisation (LPSM)
Downloads 82 (554,821)
Citation 7

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

14.

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 Sorbonne University - Laboratoire de Probabilités, Statistique et Modélisation (LPSM)
Downloads 81 (558,925)

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

15.

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

Number of pages: 28 Posted: 24 Feb 2023
Fabien Guilbaud and Huyên Pham
Université Paris VII Denis Diderot and Sorbonne University - Laboratoire de Probabilités, Statistique et Modélisation (LPSM)
Downloads 62 (646,295)

Abstract:

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