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).


Reset

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

Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence.

Final Equation Representation, Long memory, Marginalization, Vector Autoregressive Model, Volatility

Stock index futures: the case of the FCE on CAC40.

Dérivés sur indice, Futures Markets, Index derivatives, Open Interest, Position Ouverte, Spot, Volatility, Volume

Essays in household finance and Asset Pricing.

Asset pricing, Choix de portefeuille, Labor income, Portfolio choice, Volatility, Volatilité, Wage, Évaluation des actifs

European Electricity Market : Interdependencies between European prices, Impact of derivatives trading on the volatility of the physical market and Effect of recent reforms.

Electricity, Regulation, Régulation, Volatility, Volatilité, Électricité

A Probative Value for Authentication Use Case Blockchain.

Attack, Blockchain, Crypto-currency, Evidential-value, Hash rate, Immutability, Mining, Probative-value, Proof of work, Regulation, Volatility

A probative value for authentication use case blockchain.

Attack, Blockchain, Crypto-currency, Evidential value, Hash rate, Immutability, Mining, Probative value, Proof-of-Work, Regulation, Volatility

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

Fees, performance and risk of Islamic and conventional investment funds: a theoretical and empirical approach.

Agency problems, Aversion au risque, Fonds Islamiques, Frais de gestion, Islamic funds, Management fees, Performance, Problèmes d’agence, Risk aversion, Risque systématique, Simulation, Systematic risk, Volatility, Volatilité

Agricultural commodity markets and price dynamics: a re-examination through financialization.

ARCH, Agricultural commodities, Agricultural finance, Asset returns, Asymmetric causality, Bond, Causalité aymétrique, Causalité de Granger, Correlation, Corrélation, DCC-MGARCH, Développement économique, Economic development, Finance agricole, Financialization, Financiarisation, Futures markets, GARCH, Granger causality, Interest rates, Macroeconomy, Macroéconomie, Marchés monétaires, Marchés à terme, Matières premières agricoles, Monetary policy, Money markets, Obligation, Politiques monétaires, Rendements des actifs, Speculation, Spéculation, Séries chronologiques, Taux d'intérêt, Time series, Volatility, Volatilité

Volatility regressions with fat tails.

Autoregression, Fat tails, Random limits, Volatility

On the Impact of Wind Feed-in and Interconnections on Electricity Price in Germany.

Electricity spot prices, Merit order effect, Volatility