Ioane Muni Toke

Maître de Conférences

CentraleSupélec
Laboratory of Mathematics in Interaction with Computer Science
Chair of Quantitative Finance
Bâtiment B (Bouygues)
3, rue Joliot Curie
91190 Gif-sur-Yvette
FRANCE
Email : ioane[dot]muni[dash]toke[at]centralesupelec[dot]fr


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Back to : Quantitative Finance Chair / MICS Laboratory / CentraleSupélec / Université de la Nouvelle-Calédonie

Research

Publications

Abergel F., Anane M., Chakraborti A., Jedidi A., and Muni Toke I., Limit order books, Cambridge University Press, 2016 book Muni Toke I. and Primicerio P., Analysis of brokers' behaviour with intensity ratio models, in progress

Muni Toke I. and Yoshida N., Estimation of marked point processes for limit order book modelling, in progress Muni Toke I., Yoshida N., Analyzing order flows in limit order books with ratios of Cox-type intensities, to appear in Quantitative Finance (2019) arXiv hal

Muni Toke I., A few simulation results of basic models of limit order books, in New Perspectives and Challenges in Econophysics and Sociophysics, New Economic Windows, Springer-Verlag (2019) hal book

Cordi M., Challet D., and Muni Toke I., Testing the causality of Hawkes processes with time reversal, Journal of Statistical Mechanics: Theory and Experiments, vol.2018, no.3, 033408 (2018) arXiv hal journal

Muni Toke I., Stationary distribution of the volume at the best quote in a Poisson order book model, International Journal of Theoretical and Applied Finance, vol.20, no.6, 1750039 (2017) arXiv hal journal

Muni Toke I., Yoshida N., Modelling intensities of order flows in a limit order book, Quantitative Finance, vol.17, no.5, 683-701 (2017) arXiv hal journal

Muni Toke I., Reconstruction of Order Flows using Aggregated Data, Market Microstructure and Liquidity, vol.2, no.2, 1650007 (2016) arXiv hal journal

Muni Toke I., Exact and asymptotic solutions of the call auction problem, Market Microstructure and Liquidity, vol.1, no.1 (2015) arXiv hal journal

Muni Toke I., The order book as a queueing system: average depth and influence of the size of limit orders, Quantitative Finance (2014) arXiv hal journal

Muni Toke I., On completion times in a two-class priority queue with impatience, International Journal of Mathematics in Operational Research, vol.6, no.3, 377-392 (2014) journal paper

Muni Toke I., Pomponio F., Modelling Trades-Through in a Limit Order Book Using Hawkes Processes, Economics: The Open-Access, Open-Assessment E-Journal, vol.6, (2012) journal hal

Chakraborti A., Muni Toke I., Patriarca M., Abergel F., Econophysics Review: II.Agent-based models, Quantitative Finance, vol.11, no.7, 1013-1041 (2011) journal arXiv

Chakraborti A., Muni Toke I., Patriarca M., Abergel F., Econophysics Review: I.Empirical facts, Quantitative Finance, vol.11, no.7, 991-1012 (2011) journal arXiv

Muni Toke I., "Market making" in an order book model and its impact on the bid-ask spread, in Econophysics of Order-Driven Markets, New Economic Windows, Springer-Verlag Milan (2010) book arXiv hal

Gaikwad A., Muni Toke I., Parallel Iterative Linear Solvers on GPU: A Financial Engineering Case, Proceedings of the 18th International Conference on Parallel, Distributed and Network-Based Computing - PDP2010, IEEE CPS (2010) paper hal preprint

Gaikwad A., Muni Toke I., GPU based Sparse Grid Technique for Solving Multidimensional Options Pricing PDEs, Supercomputing'09, Proceedings of the 2nd Workshop on High-Performance Computational Finance - SC09-WHPCF09, ACM Press (2009) paper hal

Muni Toke I., Parareal Service on a Grid Architecture for Fast PDE Solving: Application to Option Pricing, Proceedings of the 2007 International Conference on Parallel and Distributed Processing Techniques and Applications, CSREA Press (2007)

Muni Toke I., Girard J.-Y., Monte Carlo Valuation of Multidimensional American Options Through Grid Computing, Proceedings of the 5th International Conference on Large-Scale Scientific Computing - LSSC 2005, Lecture Notes in Computer Science Series vol.3743 (2006) paper hal

  • Conferences

Muni Toke I., Intensity ratios of marked point processes for limit order book modeling, CMStatistics/CFE 2019 - Computational and Methodological Statistics and Computational and Financial Econometrics 2019, University of London (UK) (2019)

Muni Toke I., Point processes modelling of limit order book events, Third YUIMA Workshop, University of Padova, Bressanone (Italy) (2019)

Muni Toke I., Further developments of the ratio model of Cox-type intensities for high frequency financial data, CMStatistics/CFE 2018 - Computational and Methodological Statistics and Computational and Financial Econometrics 2018, University of Pisa (Italy) (2018)

Muni Toke I., Some contributions to the modeling of limit order books, Keynote talk, Workshop on Multidimensional Queues, Risk, and Finance, Eurandom, Eindhoven University of Technology, Eindhoven (Netherlands) (2018)

Muni Toke I., Intensities ratios models with applications to the modelling of limit order books, CMStatistics/CFE 2017 - Computational and Methodological Statistics and Computational and Financial Economstrics 2017, University of London (UK) (2017)

Muni Toke I., {Estimation of ratios of intensities in a Cox-type model of limit order books, Econophys-2017 Conference and APEC2017 - Asia Pacific Econophysics Conference, Jawaharlal Nehru University, New Delhi (India) (2017)

Muni Toke I., Intensity models for the modelling of limit order books, DynStoch2017 - Statistical Methods for Dynamical Stochastic Models, University of Siegen (Germany) (2017)

Muni Toke I., Some models of intensities for limit order books, ASC2017 - Workshop on Asymptotic Statistics and Computations, University of Tokyo (Japan) (2017)

Muni Toke I., High-frequency estimation and modeling of order flows in a limit order book, Market Microstructure: Confronting Many Viewpoints \#4, Paris (France) (2016)

Muni Toke I., Order flows in a limit order book: modelling and estimation using high-frequency data, ICM/Bernoulli World Congress of Probability and Statistics, Toronto (Canada) (2016)

Muni Toke I., Stationary distributions in Poisson limit order book models, Workshop on the Mathematics of High-Frequency Trading, Institute for Pure and Applied Mathematics, University of California at Los Angeles (USA) (2015)

Muni Toke I., Some analytical properties of a one-side limit order book as a queueing system, Quantitative Methods in Finance Conference - QMF2013, University of Technology, Sydney (Australia) (2013)

Muni Toke I., A one-side limit order book as a queueing system, ANZ Applied Probability Workshop - ANZAPW2013, University of Queensland, Brisbane (Australia) (2013)

Muni Toke I., Pomponio F. (speaker), Modelling trades-through in a limit order book with Hawkes processes, Market Microstructure: Confronting Many Viewpoints, Paris (France) (2012)

Muni Toke I., Some applications of Hawkes processes to Order Book Modelling, First Unconventional Workshop on Quantitative Finance and Economics, Tokyo (Japan) (2011)

Muni Toke I., Pomponio F., Modeling trade-throughs with Hawkes processes, Quantitative Methods in Finance Conference - QMF2011, University of Technology, Sydney (Australia) (2011)

Muni Toke I., Reconstruction of an Order Book using High-Frequency Data, Market Microstructure: Confronting Many Viewpoints \#1, High-Frequency Data and Tools Workshop, Paris (France) (2010)

Muni Toke I., "Market making" behaviour in an electronic order book and its impact on the bid-ask spread, Econophys-Kolkata V, International Workshop on Econophysics of Order-Driven Markets, Kolkata (India) (2010)

Huth N., Muni Toke I., Abergel F., Financial bubbles analysis with a cross-sectional estimator, Econophysics Colloquium 2009, Ettore Majorana Foundation and Centre for Scientific Culture (2009) arXiv

Muni Toke I., Blumberger O., Grid Services for Derivatives Pricing and Hedging: Applications to Variable Annuity Living Benefit Guarantees, IQPC Grid Computing for Financial Services 2008, London (UK) (2008)

Muni Toke I., Huard H., Saguez C., A Grid Experiment for Risk Management in Finance, BEinGrid Industry Days, Barcelona (Spain) (2008)

Muni Toke I., Gridification of Algorithms for the Pricing of Financial Derivatives, 1st International Workshop on Grid and Finance (GiF2006), Palermo (Italy) (2006)

Muni Toke I., Grid Computing for Multidimensional American Options, Colloque RNTL Usages industriels et opérationnels des grilles, Lyon (France) (2005)

Muni Toke I., A Multidimensional American Options Pricer Deployed as a Grid Service, European Grid for ESciencE, EGEE 2nd Conference, Athens (Greece) (2005)

  • Seminars and other talks

Muni Toke I., Testing the causality of Hawkes processes with time reversal, Probability and Statistics Seminar, Graduate School of Mathematical Sciences, University of Tokyo (Japan) (2019)

Muni Toke I., Estimation of ratios of intensities in a Cox-type model of limit order books, Probability and Statistics Seminar, Graduate School of Mathematical Sciences, University of Tokyo (Japan) (2018)

Muni Toke I., High-frequency financial data : trades and quotes databases, order flows and time resolution, Parts I, II and III, Probability and Statistics Seminar, Graduate School of Mathematical Sciences, University of Tokyo (Japan) (2017)

Muni Toke I., Order flow intensities for limit order book modelling, JST CREST Seminar, Graduate School of Mathematical Sciences, University of Tokyo (Japan) (2015)

Muni Toke I., Three research topics on limit order books, IPAM Financial Maths 2015, Core Participants Short Talks, Institute for Pure and Applied Mathematics, University of California at Los Angeles (USA) (2015)

Muni Toke I., Zero-intelligence modelling of limit orders books, Probability and Statistics Seminar, Graduate School of Mathematical Sciences, University of Tokyo (Japan) (2015)

Muni Toke I., An Introduction to Hawkes Processes with Applications to Finance, BNP Paribas Chair Meeting, Paris (France) (2011) slides lecture notes

  • Miscellaneous publications

Muni Toke I., Compte-rendu de 'Mathématiques et Risques Financiers' par N.Bouleau, Natures Sciences Sociétés, vol.18, issue 3, pp.364-366 (2010) paper

Girard J.-Y., Muni Toke I., Lepesant J.-L., Prost J.-P., Deploy a C Application as a Grid Service : How to easily implement a grid service from an existing application, IBM developerWorks (2004) html version

Participation in research projects

  • JST (Japan Science and Technology Agency) CREST Project "Mathematical statistics and stochastic analysis for modeling and analysis of complex random systems" (Research director : N. Yoshida). Project page
  • BEinGrid (European Union Research Programs, IST-FP6), Business Experiments in Grid, Leader of the 11th BE Risk Management in Finance (Project head : S. Ristol). Project site
  • ANR (French National Research Agency) Project "Grilles de calcul pour les mathematiques financieres", (Grid in Mathematical Finance) (Project head : B. Lapeyre). Project site

Grants and visiting positions

  • 2015 IPAM Senior Fellowship, Institute of Pure and Applied Mathematics, University of California at Los Angeles (UCLA), USA.
  • 2015 Visiting researcher, invited by Prof. Nakahiro Yoshida, Graduate School of Mathematical Sciences, University of Tokyo, Japan.
  • 2008 and 2010 NVIDIA Professor Partnership, NVIDIA Corporation.
  • 2007 Initiative Postdoc Travel Grant, French Department for Research and Higher Education.
  • 2004 and 2005 IBM PhD Fellowship, IBM Corporation.

Software development

  • An open-source C++ agent-based simulator of financial markets sourceforge

Teaching

Current

To be detailed.

Past

(warning, old lecture notes not maintained, some errors remain uncorrected)

University of New Caledonia, Noumea, New Caledonia

(since 2012) Measure and Integration Theories - L3 (B.Sc. 3rd year) lecture notes
(since 2012) Random models - L3 (B.Sc. 3rd year)
(since 2012) Inner product spaces - L2 (B.Sc. 2nd year) lecture notes
(since 2012) Introduction to the mathematics of signal processing - L2 (B.Sc. 2nd year) lecture notes

University of New Caledonia, Noumea, New Caledonia

(2013) Differential Calculus 1 - L2 (B.Sc. 2nd year) lecture notes
(2012) Probability 1 and 2 (B.Sc. 2nd and 3rd year)
(2011) Probability and Statistics for Economists - L1 (B.Sc. 1st year)

Beihang University, Centrale Graduate School, Beijing, China

(2010) A6_MAS - Introduction to Stochastic Processes and Mathematical Finance lecture notes

Ecole Centrale Paris

(2007-2011) MA1100 - Real Analysis, Prof.Gabet, practical work sessions (B.Sc. 3rd year)
(2007-2011) MA1200 - Probability, Prof.Herbin, practical work sessions (B.Sc. 3rd year)
(2007-2011) MA2100 - Financial Mathematics (M.Sc.) slides lecture notes

Ecole Centrale Paris - Applied Maths to Finance Major and M.Sc. Applied Mathematics to Finance

(2007-2011) OMAF - Advanced equity stochastic models ln1 ln2 ln3
(2008-2011) OMAF - Interest rates stochastic models slides lecture notes
(2007-2011) OMAF - Numerical methods for finance
(2011) OMAF - Physique des marchés slides
(2008-2010) Computational Finance (CUDA teaching by T.Nguyen and F.Duguet)

Conservatoire National des Arts et Manufactures - IIE

(2004-2005) Analyse numérique, Prof. Mammeri, practical work sessions (B.Sc. 3rd year)

Direction Générale de l'Armement - Formation continue

(2003-2005) INFO1 - Aide à la décision