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

Measuring Regulatory Complexity.

Basel Accords, Capital Regulation, Financial Regulation, Regulatory Complexity

Three essays on regulation and taxation of stocks and derivatives.

Capital gains tax, Derivatives markets, Efficience des marchés, Financial regulation, Financial transaction tax, French STT, Individual traders, Marchés des actions, Marchés des produits dérivés, Market efficiency, Régulation financière, Stock markets, Taxe sur les gains en capital, Taxe sur les transactions financières, Taxe sur les transactions financières (STT)

Risk or Regulatory Capital? Bringing distributions back in the foreground.

Extreme value distributions, Financial regulation, Level of confidence, Risk measures, Sub-additivity

Combining risk measures to overcome their limitations - spectrum representation of the sub-additivity issue, distortion requirement and added-value of the Spatial VaR solution: An application to Regulatory Requirement for Financial Institutions.

Distortion, Distributions, Financial regulation, Level of confidence, Risk measures, Spectral measure, Spectrum, Sub-additivity

Credit Risk Analysis Using Machine and Deep Learning Models.

Big data, Credit risk, Data science, Deep learning, Financial regulation

Credit Risk Analysis using Machine and Deep Learning models.

Bigdata, Credit risk, Data Science, Deep learning, Financial regulation

Risk Measures At Risk- Are we missing the point? Discussions around sub-additivity and distortion.

Distortion, Distributions, Financial regulation, Level of confidence, Risk measures, Spectral measure, Sub-additivity

Risk Measures at Risk- Are we missing the point? Discussions around sub-additivity and distortion.

Distortion, Distributions, Financial regulation, Level of confidence, Risk and Financial Management, Risk measures, Spatial measure, Spectral measure, Spectrum, Sub-additivity

An analysis of market-based banking regulation after the crisis: market discipline strikes back.

Banks, Banques, Discipline de marché, Financial regulation, Market discipline, Réglementation financière

Optimal make–take fees for market making regulation.

Financial regulation, High-frequency trading, Make-take fees, Market making, Principal-agent problem, Stochastic control

Optimal Make-Take Fees for Market Making Regulation.

Financial regulation, High-frequency trading, Make-take fees, Market making, Principal-agent problem, Stochastic control