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).
Algorithmic trading in a microstructural limit order book model.
Hawkes Process, High-dimensional stochastic control, High-frequency trading, Limit order book, Local regression, Markov Decision Process, Pure-jump controlled process, Quantization
Algorithmic trading in a microstructural limit order book model.
Hawkes Process, High-dimensional stochastic control, High-frequency trading, Limit order book, Local regression, Markov Decision Process, Pure-jump controlled process, Quantization