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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Harder, Better, Faster, Stronger Convergence Rates for Least-Squares Regression.

Accelerated gra- dient, Convex optimization, Least-squares regression, Non-parametric estimation, Stochastic gradient

Stochastic Composite Least-Squares Regression with Convergence Rate O(1/n).

Accelerated gra- dient, Convex optimization, Least-squares regression, Non-parametric estimation, Stochastic gradient

Modeling and statistical analysis of price formation across scales, Market impact.

Analyse statisique, Carnet d'ordre, Estimation non-Paramètrique, Exécution optimale, Formation de prix, Hawkes model, Limit order book, Modèle de Hawkes, Non-Parametric estimation, Optimal execution, Price formation, Statistic analyze

On the population least-squares criterion in the monotone single index model.

Least-squares, Monotonicity constraint, Non-parametric estimation, Single index model

Stochastic control and numerical methods in mathematical finance.

BSDE, Calcul de Malliavin, Contrôle stochastique, EDSR, Estimation non-paramétrique, Financial mathematics, Jump processes, Malliavin calculus, Mathématiques financières, Monte Carlo simulations, Non-parametric estimation, Processus a sauts, Simulations Monte Carlo, Solutions de viscosité, Stochastic control, Viscosity solutions

Aggregation procedures: optimality and fast rates.

Adaptation, Classification, Density estimation, Dimension reduction, Estimation de densité, Estimation non-paramétrique, Inégalités d'oracle, Minimax rates of convergence, Non-parametric estimation, Optimality, Optimalité, Oracle inequalities, Réduction de dimension, Régression, Vitesses minimax

Estimates for hidden Markov models and particle approximations: Application to simultaneous mapping and localization.

Estimation non-paramétrique, Hidden Markov model, Modèle de Markov caché, Non-parametric estimation

On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators.

Non-parametric estimation, Self-nested diagonal, Tail dependence, Transformations of Archimedean copula

Construction of laws of experience in the presence of competing events: Application to the estimation of incidence laws of a dependency contract.

Assurance dépendance, Competing risks, Durée de maintien marginale, Estimation non paramétrique, Inception rates, Latent failure time model, Long Term Care insurance, Markov process, Modèle multi-états, Multi state model, Non-parametric estimation, Processus markovien, Risques concurrents, Taux d’incidence

Beyond Least-Squares: Fast Rates for Regularized Empirical Risk Minimization through Self-Concordance.

Logistic regression, Non-parametric estimation, Regularization, Self-concordance