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).


Reset

First- and Second-Order Statistics Characterization of Hawkes Processes and Non-Parametric Estimation.

Circular dependence, Correlation, Correlation matrix, Correlation methods, Covariance matrices, Discrete-event systems, Earthquakes, Earthquakes occurrence dynamics, Estimation, Estimation error, Financial markets, First-order statistics characterization, Hawkes kernel matrix, High-frequency trading events, Integral equations, Inverse problems, Kernel, Mathematical model, Matrix algebra, Microstructure, Monovariate processes, Multivariate Hawkes process, Multivariate point processes, Nonparametric estimation procedure, Nonpositive kernels, Numerical inversion, Power-law, Second-order statistics characterization, Shape, Statistical analysis, Stochastic processes, Three-variate processes, Wiener-Hopf integral equations

Three essays in the microeconomics of finance and banking.

Accord de Bâle, Microstructure, Microéconomie bancaire, Microéconomie financière, Plateformes boursières, Régulation bancaire, Spéculation

Impact of the Introduction of Options on the Dynamics and Informational Efficiency of Support Markets: The Case of French Stocks Listed on Euronext-Liffe.

ACD model, Efficience informationnelle, Efficiency, Euronext.liffe, Introduction d'options, Microstructure, Microstructure des actions, Modèle ACD, Modèle VAR, Options listing, VAR model

Cost of providing liquidity and organization of order-driven markets.

Carnet d'ordres, Coûts de transaction, Fourchette de prix, Information privée, Marché hybride, Microstructure, Offre de liquidité, Risque

Phase evolution and sinterability of lanthanum phosphate – Towards a below 600 °C Spark Plasma Sintering.

Lanthanum phosphates, Micro-hardness, Microstructure, Spark Plasma Sintering, Structure

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

Mathematical Models to Study and Control the Price Formation Process.

Apprentissage statistique, Market impact, Microstructure, Optimal trading, Statistical learning, Trading optimal

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