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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Clustering in foreign exchange markets : price, trades and traders.

Clustering de prix, Foreign exchange markets, Hawkes processes, Marchés FX, Market microstructure, Microstructure de marché, Price clustering, Processus de Hawkes, Réseaux validés statistiquement, Statistically validated networks, Taille de tick, Tick size

Empirical properties and modeling of high frequency assets.

Calibration, Dynamique jointe, Hawkes processes, Joint dynamics, Processus de Hawkes

High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration.

Hawkes processes, High frequency data, Limit order books, Non-convex optimization

Modelling Bid and Ask Prices Using Constrained Hawkes Processes: Ergodicity and Scaling Limit.

Discretisation of stochastic processes, Hawkes processes, Limit order book, Limit theorems, Point processes

Machine learning based on Hawkes processes and stochastic optimization.

Causality, Causalité, Hawkes processes, Logiciel libre, Open source, Optimisation stochastique, Processus de Hawkes, Stochastic optimization

Application of stochastic processes to real-time auctions and information propagation in social networks.

Cascades d'information, Diffusion processes on graphs, Hawkes processes, Influence maximization, Information cascades, Marketing viral, Maximisation d'influence, Processus de Hawkes, Processus diffusif sur les graphes, Real-Time bidding, Viral marketing

Sparse and low-rank multivariate Hawkes processes.

Data-driven concentration, Hawkes processes, Low-Rank, Random matrices, Sparsity

Modelling microstructure noise with mutually exciting point processes.

Bartlett spectrum, Epps effect, Hawkes processes, Microstructure noise, Point processes, Signature plot

Feedback effects in finance: applications to optimal execution and volatility models.

Exécution optimale, Hawkes processes, High-Frequency volatility, Impact models, Modèles d'impact, Modèles de volatilité, Optimal execution, Processus de Hawkes, Volatility feedback, Volatility modeling, Volatilité rétroactive, Volatilité à haute fréquence

Optimal control, statistical learning and order book modelling.

Apprentissage par renforcement, Carnet d’ordres, Ergodic properties, Hawkes processes, Limit order book, Modèle de file d’attente, Optimal trading, Processus de Hawkes, Propriétés ergodiques, Queuing model, Reinforcement learning, Trading optimal

Non parametric Bayesian estimation for Hawkes processes.

Hawkes processes, Non parametric Bayesian estimation

Lasso and probabilistic inequalities for multivariate point processes.

Adaptive estimation, Bernstein-type inequalities, Hawkes processes, Lasso procedure, Multivariate counting process