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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High-frequency trading : statistical analysis, modelling and regulation.

Adverse selection, Agent-based model, Bid-ask spread, Carnet d’ordres, Financial regulation, High frequency trading, Limit order book, Market making, Market microstructure, Microstructure de marché, Modèle multi-agents, Pas de cotation, Queue position valuation, Régulation financière, Sélection adverse, Tenue de marché, Tick size, Trading haute fréquence, Volatility, Volatilité

Joint stock/option dynamics and application to option trading strategies.

Market making, Option trading, Stochastic volatility, Trading d'options, Volatilité stochastique

Size matters for OTC market makers: General results and dimensionality reduction techniques.

Curse of dimensionality, Integro-dierential equations, Integro-differential equations, Market making, Risk factor models, Stochastic optimal control

The Behavior of Dealers and Clients on the European Corporate Bond Market: The Case of Multi-Dealer-to-Client Platforms.

Competition among dealers, Corporate bonds, Latent reservation price, Market making, Request for quotes

Size matters for OTC market makers: general results and dimensionality reduction techniques.

Curse of dimensionality, Integro-dierential equations, Market making, Risk factor models, Stochastic optimal control

Deep Reinforcement Learning for Market Making in Corporate Bonds: Beating the Curse of Dimensionality.

Actor-critic algorithms, Market making, Reinforcement learning, Stochastic optimal control

Deep reinforcement learning for market making in corporate bonds: beating the curse of dimensionality.

Actor-critic algorithms, Market making, Reinforcement learning, Stochastic optimal control

Optimal market making.

CDX indices, Closed-form approximations, Guéant–Lehalle–Fernandez-Tapia formulas, Market making, Stochastic optimal control

Algorithmic market making for options.

Algorithmic trading, Market making, Options, Stochastic optimal control

Algorithmic market making for options.

Algorithmic trading, Market making, Options, Stochastic optimal control

Optimal make–take fees for market making regulation.

Financial regulation, High-frequency trading, Make-take fees, Market making, Principal-agent problem, Stochastic control

Optimal Make-Take Fees for Market Making Regulation.

Financial regulation, High-frequency trading, Make-take fees, Market making, Principal-agent problem, Stochastic control