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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High-frequency trading : statistical analysis, modelling and regulation.

Adverse selection, Agent-based model, Bid-ask spread, Carnet d’ordres, Financial regulation, High frequency trading, Limit order book, Market making, Market microstructure, Microstructure de marché, Modèle multi-agents, Pas de cotation, Queue position valuation, Régulation financière, Sélection adverse, Tenue de marché, Tick size, Trading haute fréquence, Volatility, Volatilité

Seasoned equity offerings: Stock market liquidity and the rights offer paradox.

Bid-ask spread, Flotation costs, Flotation method, Liquidity, Public offerings, Rights issues, SEO, Seasoned equity offering

Seasoned Equity Offerings: Stock Market Liquidity and the Rights Offer Paradox.

Bid-ask spread, Flotation costs, Flotation method, Liquidity, Public offerings, Rights issues, SEO, Seasoned equity offering

Financial models and price formation : applications to sport betting.

Betting, Bid-ask spread, Binary options, Dynamic Programming, Finance, Football, Hamilton Jacobi Bellman, Instruments financiers, Market-maker, Offre et demande, Optimisation, Optimization, Options binaires, Pari sportif, Price, Prix, Programmation dynamique, Soccer, Sport, Teneur de marché, Utility

Applications of the error theory using Dirichlet forms.

Biais, Bias, Bid-ask spread, Calcul d’erreur, Dirichlet form, Dirichlet, Formes de, EDP non-linéaires, Equations aux dérivées partielles, Equations différentielles stochastiques, Equations stochastiques aux dérivées partielles, Error calculus financial model, Financial model, Liquidity model, Modèles de liquidité, Modèles financières, Non-linear PDE, Opérateur carré du champ, Partial differential equation, Sensibilité, Sensitivity, Stochastic differential equation, Stochastic partial differential equation

Bid-Ask Spread Modelling, a Perturbation Approach.

Bid-ask spread, CEV model, ETF, Error theory with Dirichlet forms, Liquidity, Optimal liquidation, Tracking errors, Uncertainty

Applications of the error theory using Dirichlet forms.

Biais, Bias, Bid-ask spread, Calcul d’erreur, Dirichlet, Dirichlet form, EDP non-linéaires, Equations aux dérivées partielles, Equations différentielles stochastiques, Equations stochastiques aux dérivées partielles, Error calculus financial model, Financial model, Formes de, Liquidity model, Modèles de liquidité, Modèles financières, Non-linear PDE, Opérateur carré du champ, Partial differential equation, Sensibilité, Sensitivity, Stochastic differential equation, Stochastic partial differential equation