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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Modelling Bid and Ask Prices Using Constrained Hawkes Processes: Ergodicity and Scaling Limit.

Discretisation of stochastic processes, Hawkes processes, Limit order book, Limit theorems, Point processes

Some limit theorems for Hawkes processes and application to financial statistics.

Point processes

Statistical learning for event sequences using point processes.

Causalit?, Causality, Convex optimization, Finance quantitative, Optimisation convexe, Point processes, Processus ponctuels, Quantitative finance

Modelling microstructure noise with mutually exciting point processes.

Bartlett spectrum, Epps effect, Hawkes processes, Microstructure noise, Point processes, Signature plot

Martingale Representation in the Enlargement of the Filtration Generated by a Point Process.

Initial enlargement, Martingale representation, Point processes, Progressive enlargement, Random measures

Goodness-of-Fit Tests and Nonparametric Adaptive Estimation for Spike Train Analysis.

Adaptive estimation, Goodness-of-fit test, Hawkes process, Point processes, Poisson process, Spike trains analysis

Micro-macro approaches to age-structured heterogeneous population dynamics. Application to self-exciting processes and demography.

Actuarial science, Age pyramid, Birth-death processes, Causes-of-death mortality, Censure par intervalle, Dynamique des populations, Démographie mathématique, Fast life trajectories, Hawkes processes, Heterogeneity, Hétérogénéité, Interval censoring, Limit theorems for stochastic processes, Longevity, Longévité, Mathematical demography, Maximum de vraisemblance paramétrique, Microsimulation, Modèles multi-états, Mortality, Mortalité, Mortalité par causes de décès, Multi-state models, Parametric maximum likelihood, Point processes, Population dynamics, Processus de Hawkes, Processus de naissance et mort, Processus ponctuels, Pyramide des âges, Science actuarielle, Théorèmes limites pour les processus, Trajectoires de vie accélérées

Macroscopic behavior of heterogenous populations with fast random life histories.

Age pyramid, Birth-death processes, Fast life trajectories, Heterogeneity, Limit theorems, Mathematical demography, Multi-state models, Point processes, Population dynamics