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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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

Asymptotic study of stochastic algorithms and computation of Parisian options prices.

Algorithmes tronqués, Approximation stochastique, Central limit theorem, Inversion numérique, Laplace transforms, Numerical inversion, Options parisiennes, Parisian options, Stochastic approximation, Théorème centrale limite, Transformées de Laplace, Truncated algorithms

Asymptotic study of stochastic algorithms and computation of Parisian options prices.

Algorithmes tronqués, Approximation stochastique, Central limit theorem, Inversion numérique, Laplace transforms, Numerical inversion, Options parisiennes, Parisian options, Stochastic approximation, Théorème central limite, Transformés de Laplace, Troncated algorithms