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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Bundlers' dilemmas in financial markets with sampling investors.

Bounded rationality, Complex financial products, Disagreement, Market efficiency, Sampling

Bundling, Belief Dispersion, and Mispricing in Financial Markets.

Bounded rationality, Complexnancial products, Disagreement, Market efficiency

Three essays on regulation and taxation of stocks and derivatives.

Capital gains tax, Derivatives markets, Efficience des marchés, Financial regulation, Financial transaction tax, French STT, Individual traders, Marchés des actions, Marchés des produits dérivés, Market efficiency, Régulation financière, Stock markets, Taxe sur les gains en capital, Taxe sur les transactions financières, Taxe sur les transactions financières (STT)

Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows.

C51, C52, Extended Kalman Filter, G12, G14, Information-based trading, Market efficiency, Mixture of distributionhypothesis, Strategic liquidity trading

Risk factors and choices for long-term investors.

Allocation de portefeuille, Asset pricing models, Efficience de marché, Facteurs de risque, Long term, Long terme, Market efficiency, Modèles d’évaluation d’actifs, Petites capitalisations, Portfolio allocation, Risk factors, Small capitalizations

Essays in Financial Market Microstructure.

Attention limitée, Bien-être, Efficience informationnelle de marché, High frequency trading, Imperfect market monitoring, Limit order Market, Limited attention, Liquidity, Liquidité, Marché conduit par les ordres, Market efficiency, Mini flash crash, News, Nouvelles, Surveillance de marché imparfaite, Trading haute fréquence, Welfare

Is the Bitcoin Rush Over?

Bitcoin, Bubbles, Crypto-currencies, Market efficiency, Timeseries modeling

Assessment of proxy-hedging in jet-fuel markets.

Gasoil, Hedging Strategies, Jet Fuel, Market Efficiency, Market Liquidity, Oil Distillates, Time Series Modeling

Analytical approach in the construction of event studies on narrow markets: Application to the Stock Exchange of Tunis.

Droit et finance, Efficience des marchés, Event studies, Infrastructure institutionnelle, Infrastructure légale, Institutional infrastructure, Law and finance, Legal infrastructure, Liberalization, Libéralisation, Marchés étroits, Market efficiency, Microstructure, Price limits, Seuils de réservation, Simulations, Thinly traded market, Tick sizes, Échelon de cotation, Études d’événement

Share Repurchase: Does it Increase the Informativeness of Market Prices?

Buybacks, Informativeness, Market efficiency, Share repurchase

Competition between exchange platforms.

Competition, Efficience informationnelle, Governance structure, Liquidity, Liquidité, Market efficiency, Market fragmentation, Market quality, Performance, Pre-Opening, Pré-ouverture, Qualité de marché, Reputation, Réputation, Self-Listing, Stock exchange, Structure de gouvernance

Do Google Trend data contain more predictability than price returns?

Backtest, Big data, Financial markets, Google Trends, Market efficiency, Prediction