Ahmed Bel Hadj Ayed

BNP Paribas

Paris

France

Ecole Centrale Paris - Laboratory of Mathematics Applied to Systems

Grande Voie des Vignes

Châtenay-Malabry , 92290

France

SCHOLARLY PAPERS

7

DOWNLOADS
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in Total Papers Downloads

3,375

CITATIONS

0

Scholarly Papers (7)

1.

Market Impact: A Systematic Study of Limit Orders

Number of pages: 26 Posted: 18 Jul 2017 Last Revised: 03 Oct 2018
Emilio Said, Ahmed Bel Hadj Ayed, Alexandre Husson and Frederic Abergel
Ecole Centrale Paris - Laboratory of Mathematics Applied to Systems, BNP Paribas, Independent and BNP Paribas AM
Downloads 1,303 (14,136)

Abstract:

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Market Microstructure, Statistical Finance, Market Impact, Fair Pricing, Automated Trading, Limit Orders

2.

Predicting Financial Markets with Google Trends and Not so Random Keywords

Number of pages: 9 Posted: 15 Aug 2013
Damien Challet and Ahmed Bel Hadj Ayed
CentraleSupélec and BNP Paribas
Downloads 943 (22,980)

Abstract:

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3.

Do Google Trend Data Contain More Predictability than Price Returns?

Number of pages: 15 Posted: 08 Mar 2014
Damien Challet and Ahmed Bel Hadj Ayed
CentraleSupélec and BNP Paribas
Downloads 701 (34,789)

Abstract:

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Google Trends, prediction, backtest, trading strategy

4.

Forecasting Trends with Asset Prices

Number of pages: 26 Posted: 17 Apr 2015 Last Revised: 21 Apr 2015
Ahmed Bel Hadj Ayed, Gregoire Loeper and Frederic Abergel
BNP Paribas, Monash University - School of Mathematical Sciences and BNP Paribas AM
Downloads 173 (169,416)

Abstract:

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calibration, trend, kalman filter, mis-scpecification

5.

Challenging the Robustness of Optimal Portfolio Investment With Moving Average-based Strategies

Number of pages: 30 Posted: 03 May 2016 Last Revised: 20 Apr 2018
Ahmed Bel Hadj Ayed, Gregoire Loeper and Frederic Abergel
BNP Paribas, Monash University - School of Mathematical Sciences and BNP Paribas AM
Downloads 152 (189,212)

Abstract:

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6.

Performance Analysis of the Optimal Strategy Under Partial Information

Number of pages: 20 Posted: 13 Oct 2015
BNP Paribas, Monash University - School of Mathematical Sciences, Ecole Centrale Paris - Laboratory of Mathematics Applied to Systems and BNP Paribas AM
Downloads 79 (300,713)

Abstract:

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Optimal trading strategy, Kalman filter, Sharpe ratio, partial observations

7.

Market Impact: A Systematic Study of the High Frequency Options Market

Number of pages: 22 Posted: 12 Mar 2019
Ecole Centrale Paris - Laboratory of Mathematics Applied to Systems, BNP Paribas, affiliation not provided to SSRN, affiliation not provided to SSRN and BNP Paribas AM
Downloads 24 (487,464)

Abstract:

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Market Microstructure, Market Impact, Statistical Finance, Fair Pricing, Automated Trading, Limit Orders, Options Market, Implied Volatility, High Frequency