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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An online EM algorithm in hidden (semi-)Markov models for audio segmentation and clustering.

Audio segmentation, EM algorithm, Hidden Markov models, Online learning

Using Social Network Activity Data to Identify and Target Job Seekers.

Customer Analytics, Data Fusion, Hidden Markov Models, Targeting

Non parametric finite translation mixtures with dependent regime.

Dependent latent variable models, Hidden Markov models, Non parametric estimation, Semi-parametric models, Translation mixtures

On the asymptotic behaviour of the posterior distribution in hidden Markov Models with unknown number of states.

Bayesian statistics, Hidden Markov models, Posterior consistency

Extreme risk in finance: analysis and modeling.

Conditional Value-At-Risk, Fast Fourier transforms, Hidden Markov models, Lemme de Neyman-Pearson, Lois puissances, Lévy processes, Modèles de Markov cachés, Neyman-Pearson Lemma, Power laws, Processus de Lévy, Transformée de Fourier rapide, Value-At-Risk, Value-At-Risk Conditionnelle

Nonparametric estimation of non-exchangeable latent-variable models.

Finite mixtures, Hidden Markov models, Latent variable models, Nonparametric estimation, Panel data, Unobserved heterogeneity, Wage dynamics

Maximum likelihood estimation in partially observed Markov models with applications to counting time series.

Consistance, Consistency, Ergodicity, Ergodicité, Hidden Markov models, Maximum de vraisemblance, Maximum likelihood, Modèles de Markov cachés, Modèles de Markov partiellement observés, Modèles guidés par l'observation, Observation-driven models, Partially observed Markov models, Séries temporelles de comptage, Time series of counts

Kalman Filter Demystified: From Intuition to Probabilistic Graphical Model to Real Case in Financial Markets.

And phrases kalman filter, CMA ES, Graphical model, Hidden markov models, LAMSADE, MILES, Systematic trading, Trend detection

Kalman filter demystified: from intuition to probabilistic graphical model to real case in financial markets.

And phrases kalman filter, CMA ES, Graphical model, Hidden markov models, LAMSADE, MILES, Systematic trading, Trend detection