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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Nonlinear dynamics and recurrence plots for detecting financial crisis.

Delay vector variance DVV method, Embedding parameters, Financial bubbles, Nonlinearity analysis, Recurrence plots, Surrogates, Wavelets

Probability density of the empirical wavelet coefficients of a noisy chaos.

Alpha-stable, Chaos, Dynamical systems, Noise, Wavelets

Probability density of the wavelet coefficients of a noisy chaos.

Alpha-stable, Chaos, Dynamical systems, Loi Alpha stable, Noise, Ondelettes, Systèmes dynamiques, Wavelets

Understanding Exchange Rates Dynamics.

Analyse non linéaire, Delay vector variance DVV method, Données surrogate, Exchange rates, Méthode Delay vector variance, Nonlinearity analysis, Ondelettes, Surrogates, Taux de change, Wavelets

Optimal wavelet shrinkage of a noisy dynamical system with non-linear noise impact.

Cauchy noise, Chaos, Dynamical systems, Gaussian noise, Non-linear noise impact, Nonequispaced design, Thresholding, Wavelets

Wavelet shrinkage of a noisy dynamical system with non-linear noise impact.

Dynamical systems, Non-linear noise impact, Nonequispaced design, Thresholding, Wavelets

Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis.

Analyse non linéaire, Bulles financières, Delay vector variance DVV method, Embedding parameters, Financial bubbles, Méthode Delay vector variance, Nonlinearity analysis, Ondelettes, Plongement, Recurrence plots, Surrogates, Wavelets

Block thresholding for wavelet-based estimation of function derivatives from a heteroscedastic multichannel convolution model.

Block thresholding, Deconvolution, Derivative estimation, Minimax, Multichannel observations, Wavelets

Nonparametric estimation in a regression model with additive and multiplicative noise.

Multiplicative regression models, Nonparametric frontier, Nonparametric regression, Rates of convergence, Wavelets

Efficiency of the V -Fold Model Selection for Localized Bases.

Heteroscedastic noise, Model selection, Nonparametric regression, Random design, V-fold cross-validation, V-fold penalization, Wavelets

Linear wavelet estimation in regression with additive and multiplicative noise.

Multiplicative noise, Nonparametric regression, Rates of convergence, Wavelets

Nonparametric estimation in a regression model with additive and multiplicative noise.

Multiplicative regression models, Nonparametric frontier, Nonparametric regression, Rates of convergence, Wavelets