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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High-frequency trading : statistical analysis, modelling and regulation.

Adverse selection, Agent-based model, Bid-ask spread, Carnet d’ordres, Financial regulation, High frequency trading, Limit order book, Market making, Market microstructure, Microstructure de marché, Modèle multi-agents, Pas de cotation, Queue position valuation, Régulation financière, Sélection adverse, Tenue de marché, Tick size, Trading haute fréquence, Volatility, Volatilité

Clustering in foreign exchange markets : price, trades and traders.

Clustering de prix, Foreign exchange markets, Hawkes processes, Marchés FX, Market microstructure, Microstructure de marché, Price clustering, Processus de Hawkes, Réseaux validés statistiquement, Statistically validated networks, Taille de tick, Tick size

Market Impact: A systematic study of limit orders.

Automated Trading, Fair Pricing, Limit Orders, Market Impact, Market Microstructure, Statistical Finance

Market Impact: A Systematic Study of the High Frequency Options Market.

Automated Trading, Fair Pricing, High Frequency, Implied Volatility, Limit Orders, Market Impact, Market Microstructure, Options Market, Statistical Finance

Market Impact: A Systematic Study of Limit Orders.

Automated Trading, Fair Pricing, Limit Orders, Market Impact, Market Microstructure, Statistical Finance

Market Impact: A Systematic Study of Limit Orders.

Automated Trading, Fair Pricing, Limit Orders, Market Impact, Market Microstructure, Statistical Finance

Market impact: a systematic study of the high frequency options market.

Automated Trading, Fair Pricing, High Frequency, Implied Volatility, Limit Orders, Market Impact, Market Microstructure, Options Market, Statistical Finance

Numerical methods and models applied to market risks and financial valuation.

Algorithme glouton, Carnet d'ordres, Equation aux dérivées partielles en grande dimension, Greedy algorithm, High dimensional partial differential equations, Limit order book, Liquidity risk, Market microstructure, Microstructure de marché, Risque de liquidité

Institutional traders' behavior and market microstructure: a big data approach.

Collective optimization, Complex systems, Financial networks, Marchés financiers, Market microstructure, Microstructure de marché, Systèmes complexes

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

Market Impact: A Systematic Study of the High Frequency Options Market.

Automated Trading, Fair Pricing, High Frequency, Implied Volatility, Limit Orders, Market Impact, Market Microstructure, Options Market, Statistical Finance

High frequency lead/lag relationships — Empirical facts.

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