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Market Microstructure: Confronting Many Viewpoints by Thierry Foucault, Mathieu Rosenbaum, Charles-Albert Lehalle, Frédéric Abergel, Jean-Philippe Bouchaud

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About the Editors

Frédéric Abergel

After graduating from École Normale Supérieure in 1985 and completing a PhD in Mathematics in 1986, Frédéric Abergel started an academic career as a researcher with the CNRS. He spent ten years in the Mathematics Department of the University of Orsay Paris XI, where he obtained his habilitation degree in 1992. He then switched to the capital markets industry and became a ‘quant’ (quantitative analyst). During the second part of his career, Frédéric Abergel has worked for trading floors in various financial institutions, mainly in the derivatives sector, developing pricing and hedging models. In July 2007, he decided to return to Academia, where he now holds the BNP Paribas Chair of Quantitative Finance at École Centrale Paris. His research focuses on the study of empirical properties and mathematical model of market microstructure, high frequency data and algorithmic trading.

Jean-Philippe Bouchaud

Jean-Philippe Bouchaud graduated from the École Normale Supérieure in Paris, where he also obtained his PhD in physics. He was then appointed by the CNRS until 1992. After a year spent in the Cavendish Laboratory (Cambridge), he joined the Service de Physique de l'État Condensé (CEA-Saclay), where he worked on the dynamics of glassy systems and on granular media. He became interested in economics and theoretical finance in 1991. His work in finance includes extreme risk models, agent based simulations, market microstructure and price formation. He ...

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