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).
Robustness of the optimal trading strategy.
Analyse technique, Calcul stochastique, Estimation de tendance, Finance quantitative, Inference of hidden Markov models, Merton, Quantitative finance, Ratio de Sharpe, Robustesse, Robustness, Sharpe ratio, Stochastic calculus, Technical analysis, Trading
Statistical learning for event sequences using point processes.
Causalit?, Causality, Convex optimization, Finance quantitative, Optimisation convexe, Point processes, Processus ponctuels, Quantitative finance
Multilevel Monte Carlo methods and statistical inference for financial models.
Algorithmes stochastiques, Calcul de Malliavin, Finance Quantitative, Functional limit theorems, Jump processes, Malliavin calculus, Multilevel Monte Carlo, Multilevel Monte Carlo methods, Numerical probabilities, Probabilités numériques, Processus de branchement-diffusion, Processus à sauts, Statistics of processes for financial models, Statistique des processus, Stochastic algorithms, Théorèmes limites fonctionnels