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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Market Impact in Systematic Trading and Option Pricing.

Evaluation d'Options, Financial Mathematics, Impact de Marché, Market Impact, Mathematiques Financières, Option Pricing, Systematic Trading, Trading Algorithmique

Market Impact: A systematic study of limit orders.

Automated Trading, Fair Pricing, Limit Orders, Market Impact, Market Microstructure, Statistical Finance

Market Impact: A Systematic Study of the High Frequency Options Market.

Automated Trading, Fair Pricing, High Frequency, Implied Volatility, Limit Orders, Market Impact, Market Microstructure, Options Market, Statistical Finance

Pricing and Hedging Contingent Claims with Liquidity Costs and Market Impact.

Liquidity costs, Market impact, Partial differential equations

Market Impact: A Systematic Study of Limit Orders.

Automated Trading, Fair Pricing, Limit Orders, Market Impact, Market Microstructure, Statistical Finance

Market Impact: A Systematic Study of Limit Orders.

Automated Trading, Fair Pricing, Limit Orders, Market Impact, Market Microstructure, Statistical Finance

Market impact: a systematic study of the high frequency options market.

Automated Trading, Fair Pricing, High Frequency, Implied Volatility, Limit Orders, Market Impact, Market Microstructure, Options Market, Statistical Finance

Market Impact: A Systematic Study of the High Frequency Options Market.

Automated Trading, Fair Pricing, High Frequency, Implied Volatility, Limit Orders, Market Impact, Market Microstructure, Options Market, Statistical Finance

Pricing and hedging contingent claims with liquidity costs and market impact.

Liquidity costs, Market impact, Partial differential equations

Stochastic Impulse Control with Uncertainty in Finance and Insurance.

Bayesian filtering, CAT bond, Contrôle optimal, Filtrage Bayesien, Incertitude, Incidence sur le marché, Market impact, Obligation catastrophe, Optimal control, Optimal trading, Trading optimal, Uncertainty

Some problems of statistics and optimal control for stochastic processes in the field of electricity markets prices modeling.

Asymptotic efficiency, Dynamic programming, Efficacité asymptotique, Electricity prices, Erreurs de modèle, Estimation for diffusions, Estimation non paramétrique par noyaux, Exécution optimale, Impact de marché, Integrated volatility, Market impact, Model errors, Nonparametric kernel estimation, Optimal execution, Prix de l’électricité, Programmation dynamique, Statistique des diffusions, Volatilité intégrée

Dynamics of limit orders book: statistical analysis, modelisation and prediction.

Carnet d'ordre, Equilibrium state, Ergodic properties, Etat Equilibre, Execution probability, High frequency data, Information propagation, Limit order book, Market impact, Market microstructure, Market participants’ intelligence, Market simulator, Markov jump process, Mechanical volatility, Priority value, Queuing model, Tick value, Transaction costs analysis, Volatility