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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Some properties of the correlation between high frequency financial assets.

Correlation, Corrélation, Données financières à haute fréquence, High frequency financial data, Microstructure des marchés financiers, Microstructure of financial markets

High frequency lead/lag relationships — Empirical facts.

Correlation, High frequency data, Lead/lag, Market microstructure

First- and Second-Order Statistics Characterization of Hawkes Processes and Non-Parametric Estimation.

Circular dependence, Correlation, Correlation matrix, Correlation methods, Covariance matrices, Discrete-event systems, Earthquakes, Earthquakes occurrence dynamics, Estimation, Estimation error, Financial markets, First-order statistics characterization, Hawkes kernel matrix, High-frequency trading events, Integral equations, Inverse problems, Kernel, Mathematical model, Matrix algebra, Microstructure, Monovariate processes, Multivariate Hawkes process, Multivariate point processes, Nonparametric estimation procedure, Nonpositive kernels, Numerical inversion, Power-law, Second-order statistics characterization, Shape, Statistical analysis, Stochastic processes, Three-variate processes, Wiener-Hopf integral equations

Optimization of asset portfolios subject to default risk.

Corrélation

Futures Trading and the Excess Co-movement of Commodity Prices*.

Commodity excess co-movement hypothesis, Commodity index, Correlation, Factor model, Futures trading, Heteroscedasticity-corrected

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

Catastrophe Aversion and Risk Equity in an Interdependent World.

Catastrophe aversion, Correlation, Dependence structure, Risk equity

One-Year Volatility of Reserve Risk in a Multivariate Framework.

Aggregation, Claims development result, Correlation, Dependency, Estimation error, Lines of business, Multivariate reserving, One-year multivariate reserve risk, Prediction error, Process error, Run-off portfolio, Solvency II

Lapse risk in life insurance: Correlation and contagion effects among policyholders’ behaviors.

Contagion, Correlation, Dynamic Contagion Process, Dynamic Policyholders’ Behavior, Hawkes Process, Interest Rates Dynamic, Lapse Risk, Stress Tests, Surrender

What can we learn from theories of justice in addressing health inequalities?

Causality, Causalityés, Causalité, Circonstances, Circumstances, Comportements à risque, Correlation, Corrélation, Inequalities of opportunity, Inégalités des chances, Lifestyles