Patrimony

The Louis Bachelier Group's patrimony has been defined as all the publications produced by academic researchers thanks to Group funding (ILB, FdR, IEF, Labex) or via the use of EquipEx data (BEDOFIH, EUROFIDAI).


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Algorithmic trading in a microstructural limit order book model.

Hawkes Process, High-dimensional stochastic control, High-frequency trading, Limit order book, Local regression, Markov Decision Process, Pure-jump controlled process, Quantization

On the Stability and Price Scaling Limit of a Hawkes Process-Based Order Book Model.

Diffusive limit, Hawkes process, Order book

A mathematical approach to stock market investing.

Apprentissage statistique, Hawkes process, High frequency trading, Processus de Hawkes, Statistical learning, Stratégies de trading, Trading haute fréquence, Trading strategies

Stability and price scaling limit of a Hawkes-process based order book model.

Diffusive limit, Hawkes process, Order book

Algorithmic trading in a microstructural limit order book model.

Hawkes Process, High-dimensional stochastic control, High-frequency trading, Limit order book, Local regression, Markov Decision Process, Pure-jump controlled process, Quantization

Order book modeling, Market Making applications.

Apprentissage profond, Carnet d’ordres, Deep learning, Hawkes process, High-frequency trading, Limit order book, Market microstructure, Markov decision process, Microstructure du marché, Processus de Hawkes, Processus de décision Markovien, Trading haute frequence

Uncovering Causality from Multivariate Hawkes Integrated Cumulants.

Causality Inference, Cumulants, Generalized Method of Moments, Hawkes Process

Quantitative Finance under rough volatility.

Equations stochastiques de Volterra, Hawkes process, Heston model, Limiting theorems, Make-take fees, Market microstructure, Microstructure des marchés, Modèle de Heston, Principal-agent problem, Problème de principal-agent, Processus de Hawkes, Rough volatility, Théorèmes limites, Volatilité rugueuse, Volterra Equation

Quantitative Finance under rough volatility.

Equations stochastiques de Volterra, Hawkes process, Heston model, Limiting theorems, Make-take fees, Market microstructure, Microstructure des marchés, Modèle de Heston, Principal-agent problem, Problème de principal-agent, Processus de Hawkes, Rough volatility, Théorèmes limites, Volatilité rugueuse, Volterra Equation

On the nonparametric inference of coefficients of self-exciting jump-diffusion.

Adaptation, Hawkes process, Jump diffusion, Nonparametric, Volatility estimation

Endogenous liquidity crises in financial markets.

Carnet d'ordre, Hawkes process, Instabilities, Instabilités, Market microstructure, Metastability, Microstucture, Métastabilité, Order book, Processus de Hawkes

Goodness-of-Fit Tests and Nonparametric Adaptive Estimation for Spike Train Analysis.

Adaptive estimation, Goodness-of-fit test, Hawkes process, Point processes, Poisson process, Spike trains analysis