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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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

Some examples of medium field games.

Apprentissage statistique, Graph theory, K-Means, K-Moyennes, Mean field games theorie, Partial differential equation, Statistical Learning, Théorie des graphes, Théorie des jeux à champ moyen, Équations aux dérivées partielles

Statistical learning from non-uniformed categorical variables.

Apprentissage statistique, AutoML, Données sales, Données volumineuses, Large-Scale data, Statistical learning, String categorical variables, Variables catégorielles

Optimal posting price of limit orders: learning by trading.

Co-monotony principle, Compound Poisson process, High-frequency optimal liquidation, Limit order, Market impact, Order book, Statistical learning, Stochastic approximation

Optimal transport in high dimension : obtaining regularity and robustness using convexity and projections.

Apprentissage statistique, Machine Learning, Machine learning, Optimal transport, Statistical Learning, Transport optimal

Learning from MOM’s principles: Le Cam’s approach.

62G08, High dimensional statistics 2010 MSC 62G35, Robust statistics, Statistical learning

Learning from MOM's principles : Le Cam's approach.

62G08, High dimensional statistics 2010 MSC 62G35, Robust statistics, Statistical learning

Mathematical Models to Study and Control the Price Formation Process.

Apprentissage statistique, Market impact, Microstructure, Optimal trading, Statistical learning, Trading optimal

Stochastic Control: from Gradient Methods and Dynamic Programming to Statistical Learning.

Dynamic Programming, Partial Differential Equations, Statistical Learning, Stochastic control

Non-parametric conditional quantile estimation and semi-parametric learning: applications in insurance and actuarial science.

Apprentissage statistique, Classification supervisée, Estimation non-Paramétrique du quantile conditionnel, Mean regression, Modèles à score unique, Nonparametric estimation of conditional quantile, Paramètre de lissage, Quantile, Régression non-Paramétrique, Semi parametric single index models, Smoothing parameter, Statistical learning, Supervised classification

High dimensional density estimation and curve classification.

Apprentissage statistique, Classification de courbe, Coefficient de pulvérisation, Combinatorial method, Curve classification, Dynamical system, Estimateur à noyau variable, Estimation non paramétrique, Histogramme modifié, Modified histogram, Méthode combinatoire, Nonparametric estimation, Ondelettes, Shatter coefficient, Statistical learning, Système dynamique, Variable kernel density estimate, Wavelets

Statistical learning methods for global optimization.

Apprentissage statistique, Gaussian process, Optimisation, Optimization, Processus gaussien, Statistical learning