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

Least squares estimation of a discrete density under k-monotonicity constraints and risk bounds. Application to the estimation of the number of species in a population.

Bornes de risque, Contrainte de forme, Densité discrète, Discrete density, Ecology, Estimation, K-Monotonicity, K-Monotonie, Risk bound, Shape constraint, Écologie

Entry games for the airline industry.

Airlines, Entry, Estimation, Industrial organization, Multiple equilibria

Some explanations about the IWLS algorithm to fit generalized linear models.

Algorithm, Estimation, Generalized Linear Models

Elasticity Optimism.

Estimation, Heterogeneity, Homogeneity, Trade

A class of random field memory models for mortality forecasting.

AR-ARCH Random Field, Estimation, Inference, Mortality Rates, QMLE