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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Liquidity, Risk, and Occupational Choices.

Entrepreneurship, Financial constraints, Insurance, Liquidity

Asset Dissemination Through Dealer Markets.

Dealer markets, Intermediation chains, Liquidity, OTC markets

The Whys of the LOIS: Credit Skew and Funding Spread Volatility.

Credit, Funding, Libor, Liquidity, OIS

Three essays on trend following strategies.

Construction de portefeuille, Fonds d'investissements, Hedge funds, Liquidity, Liquidité, Portfolio construction, Suivi de tendance, Trend following

Performance measurement and liquidity in the hedge fund industry.

Autocorrélation, Econometrics, Econométrie, Hedge funds, Limite à l'arbitrage, Limits to arbitrage, Liquidity, Liquidité, Mesure de performance, Modèles à facteurs, Multiple factors models, Performance measurement, Prime de risque, Risk premium, Serial-Correlation

Three trials in quantitative bond management.

Assurance de portefeuille, Etf, Fixed-income, Liquidity, Liquidité, Market stress, Obligations, Portfolio insurance, Stress de marché

MLiq a meta liquidity measure.

Correlations, Liquidity, Liquidity Risk Management, Liquidity measure, Regime Switching models

Three Essays in Private Equity.

Capital-Investissement, Emerging markets, IPOs, Introductions en bourse, Liquidity, Liquidité, Manager mobility, Marchés émergents, Mobilité des managers, Performance, Private equity

Liquidity risk and contagion for liquid funds.

Contagion Effects, Emerging Markets, Liquidity, Liquidity Risk Management, Regime, Sovereign Debt Market, Switching models

Gauging Liquidity Risk in Emerging Market Bond Index Funds.

Bond markets, Correlations, Dynamic Correlation, Economic statistics, Emerging Markets, Investment risk, Liquidity, Liquidity Risk Management, Liquidity risk, Liquids, Portfolio diversification, Regime Switching Models Index funds, Sovereign Debt Market

Intrinsic Liquidity in Conditional Volatility Models.

C01, C22, C58, G11, Garch, Liquidity, Quasi-Maximum Likelihood, Risk measures, Value-at-Risk

Trading volume and Arbitrage.

Arbitrage, Liquidity, Market portfolio, Volume