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

A mathematical approach to stock market investing.

Apprentissage statistique, Hawkes process, High frequency trading, Processus de Hawkes, Statistical learning, Stratégies de trading, Trading haute fréquence, Trading strategies

Toxic Arbitrage.

Adverse Selection, Arbitrage, High Frequency Trading, Liquidity

Essays in Financial Market Microstructure.

Attention limitée, Bien-être, Efficience informationnelle de marché, High frequency trading, Imperfect market monitoring, Limit order Market, Limited attention, Liquidity, Liquidité, Marché conduit par les ordres, Market efficiency, Mini flash crash, News, Nouvelles, Surveillance de marché imparfaite, Trading haute fréquence, Welfare

Cross-Venue Liquidity Provision: High Frequency Trading and Ghost Liquidity.

Algorithmic Trading, Fragmentation, Ghost liquidity, High Frequency Trading

High-Frequency Risk Measures.

Backtesting, High Frequency Risk Measure, High Frequency Trading, Time at Risk, Value at Risk

High frequency trading in a Markov renewal model.

Adverse selection, High frequency trading, Integro-ordinary differential equation, Marked Cox process, Markov renewal process