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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Variable selection for unsupervised high-dimensional classification.

Classification non supervisée, Clustering, Critère de sélection de modèle non asymptotique, Data-driven non-asymptotic model selection criterion, Finite Gaussian mixture models, Grande dimension, High dimension, Inégalités oracle, L1-regularization, Lasso, Modèles de mélange gaussien, Oracle inequalities, Régularisation l1, Sélection de variables, Variable selection

Detecting reversals in the US equity market.

Allocation d'actifs, Analyse technique, Asset allocation, Bull and bear markets, Effet momentum, Gestion de portefeuille, Logistic regression, Marchés haussiers et baissiers, Market timing, Monumentum effect, Portfolio management, Prévisibilité des marchés actions, Retournements des marchés actions, Régression logistique, Stock market predictability, Stock market reversals, Sélection de variables, Technical analysis, Timing du marché, Variable selection

Scoring for credit risk: polytomous response variable, variable selection, dimension reduction, applications.

Credit risk, Lasso, Polytomous regression, Risque de crédit, Régression polytomique, Scoring, Sélection de variables, Variable selection

Logistic regression with missing covariates—Parameter estimation, model selection and prediction within a joint-modeling framework.

Incomplete data, Major trauma, Metropolis-Hastings, Observed likelihood, Public health, Variable selection

Logistic Regression with Missing Covariates -- Parameter Estimation, Model Selection and Prediction.

Incomplete data, Major trauma, Observed likelihood, Public health, Variable selection