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

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

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

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

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

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

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

Endogenous liquidity crises in financial markets.

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

Non-parametric Bayesian estimation for Hawkes processes.

Bayesian estimation, Estimation bayésienne, Hawkes processes, Processus de Hawkes, Reversible jump, Sequential Monte Carlo