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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Algorithmic trading in a microstructural limit order book model.

Hawkes Process, High-dimensional stochastic control, High-frequency trading, Limit order book, Local regression, Markov Decision Process, Pure-jump controlled process, Quantization

Algorithmic trading in a microstructural limit order book model.

Hawkes Process, High-dimensional stochastic control, High-frequency trading, Limit order book, Local regression, Markov Decision Process, Pure-jump controlled process, Quantization

Order book modeling, Market Making applications.

Apprentissage profond, Carnet d’ordres, Deep learning, Hawkes process, High-frequency trading, Limit order book, Market microstructure, Markov decision process, Microstructure du marché, Processus de Hawkes, Processus de décision Markovien, Trading haute frequence

Equilibrium fast trading.

Externalities, High-frequency trading, Welfare

Anatomy of high-frequency financial markets: analysis of the influence of automation on the microstructure of financial markets.

Algorithmic trading, Automatic trading, Bourse d’échanges, Financial markets, High-frequency trading, Liquidity, Liquidité, Marché financier virtuel, Marchés financiers, Market microstructure, Market stability, Microstructure des marchés financiers, Multilateral trading facilities, Plateforme multilatérale de négociation, Stabilité financière, Stock exchange, Trading, Trading algorithmique, Trading automatique, Trading haute-fréquence, Virtual financial markets

Effects of Lit and Dark Market Fragmentation on Liquidity.

Dark trading, Fragmentation, High-frequency trading, Internalization, Liquidity, Multilateral Trading Facility MTF, OTC trading

Effects of Lit and Dark Market Fragmentation on Liquidity.

Dark trading, Fragmentation, High-frequency trading, Internalization, Liquidity, Multilateral Trading Facility MTF, OTC trading

Optimal make–take fees for market making regulation.

Financial regulation, High-frequency trading, Make-take fees, Market making, Principal-agent problem, Stochastic control

Optimal Make-Take Fees for Market Making Regulation.

Financial regulation, High-frequency trading, Make-take fees, Market making, Principal-agent problem, Stochastic control

Optimal make-take fees for market making regulation.

Financial regulation, High-frequency trading, Make-take fees, Market making, Principal-agent problem, Stochastic control

Price discovery risk in stock markets: theoretical and empirical aspects.

Co-intégration, Cointegration, Consolidation versus fragmentation, Découverte des prix, Error Correction Models, Financial regulation, High-Frequency Trading, Market Quality, Mi- FID, MiF, Microstructure, Modèles à correction d’erreurs, Price discovery, Qualité du marché, Régulation financière, Trading à Haute-Fréquence