Fabrizio Pomponio

Ecole Centrale Paris and BNP Paribas Equity & Derivatives Quantitative Research & Development, Paris

fabrizio.pomponio <at> ecp.fr

Papers

2011-32
DiscussionPaper
Ioane Muni Toke and Fabrizio Pomponio
Modelling Trades-Through in a Limited Order Book Using Hawkes Processes
August 15, 2011 | downloads: 1744 | JEL: C32, C51, G14 | 3 comments | journal article
2012-22
JournalPaper
Ioane Muni Toke and Fabrizio Pomponio
Modelling Trades-Through in a Limit Order Book Using Hawkes Processes
June 14, 2012 | downloads: 2641 | JEL: G14, C51, C32 | 1 citations (RePEc)