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).
Quantifying uncertainty in asset management : Kernel methods and statistical fluctuations.
Concentration Inequalities, Covariance matrix estimation, Estimation de la matrice de covariance, Heavy tails, Inégalité de concentration, Kernel methods, Méthodes à noyau, Portfolio theory, Quantification d'incertitudes, Queues épaisses, Théorie du portefeuille, Uncertainty Quantification
Quantifying uncertainties in asset management: kernel methods and statistical fluctuations.
Concentration Inequalities, Covariance matrix estimation, Estimation de la matrice de covariance, Heavy tails, Inégalité de concentration, Kernel methods, Méthodes à noyau, Portfolio theory, Quantification d'incertitudes, Queues épaisses, Théorie du portefeuille, Uncertainty Quantification
Orlicz norms and concentration inequalities for β-heavy tailed random variables.
Deviation inequality, Empirical process, Heavy tails, Maximal inequality, Orlicz norm, Talagrand inequality
Analysis and statistical modeling of electrical consumption data.
Analyse de survie, Censure à droite, Cox’s model, Extreme value theory, Heavy tails, Modèle de Cox, Queues lourdes, Right censoring, Survival analysis, Théorie des valeurs extrêmes
Sharper asset ranking from total drawdown durations.
Efficiency, Estimator, Heavy tails, Robustness, Sharpe ratio