Research Interests

Financial mathematics, trading strategy, high frequency data, microstructure, order book.

Fractal, point process, Malliavin calculus, stochastic calculus, signal processing, machine learning, implied volatility, interest rate model.

Publications

A. Fauth and C. Tudor Multifractal Random Walk Driven by a Hermite Process
2016, Handbook of High-Frequency Trading and Modeling in Finance. Editors : Ionut Florescu, Maria C. Mariani, H. Eugene Stanley, Frederi G. Viens. 221-250, Wiley.

A. Fauth and C. Tudor, Modeling First Line of an Order Book with Multivariate Marked Point Processes, 30 pages, 2012, with Ciprian Tudor, preprint.

A. Fauth and C. Tudor, Multifractal Random Walks with Fractional Brownian Motion via Malliavin Calculus, 2014, IEEE Information on Transaction Theory, Vol 60, Issue 3, 1963-1975.