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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Numerical methods and deep learning for stochastic control problems and partial differential equations.

Algorithmic-trading., Carnet d’ordres, Global regression, Limit order book, Local regression, Régression globale, Régression locale, Trading algorithmique

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

Algorithmic trading in a microstructural limit order book model.

Hawkes Process, High-dimensional stochastic control, High-frequency trading, Limit order book, Local regression, Markov Decision Process, Pure-jump controlled process, Quantization

Price jump prediction in a limit order book.

LASSO, Limit order book, Predictibility, Price jumps

Modelling Bid and Ask Prices Using Constrained Hawkes Processes: Ergodicity and Scaling Limit.

Discretisation of stochastic processes, Hawkes processes, Limit order book, Limit theorems, Point processes

Numerical methods and models applied to market risks and financial valuation.

Algorithme glouton, Carnet d'ordres, Equation aux dérivées partielles en grande dimension, Greedy algorithm, High dimensional partial differential equations, Limit order book, Liquidity risk, Market microstructure, Microstructure de marché, Risque de liquidité

Algorithmic trading in a microstructural limit order book model.

Hawkes Process, High-dimensional stochastic control, High-frequency trading, Limit order book, Local regression, Markov Decision Process, Pure-jump controlled process, Quantization

Order book modeling, Market Making applications.

Apprentissage profond, Carnet d’ordres, Deep learning, Hawkes process, High-frequency trading, Limit order book, Market microstructure, Markov decision process, Microstructure du marché, Processus de Hawkes, Processus de décision Markovien, Trading haute frequence

Modeling and statistical analysis of price formation across scales, Market impact.

Analyse statisique, Carnet d'ordre, Estimation non-Paramètrique, Exécution optimale, Formation de prix, Hawkes model, Limit order book, Modèle de Hawkes, Non-Parametric estimation, Optimal execution, Price formation, Statistic analyze

Optimal control, statistical learning and order book modelling.

Apprentissage par renforcement, Carnet d’ordres, Ergodic properties, Hawkes processes, Limit order book, Modèle de file d’attente, Optimal trading, Processus de Hawkes, Propriétés ergodiques, Queuing model, Reinforcement learning, Trading optimal

Dynamics of limit orders book: statistical analysis, modelisation and prediction.

Carnet d'ordre, Equilibrium state, Ergodic properties, Etat Equilibre, Execution probability, High frequency data, Information propagation, Limit order book, Market impact, Market microstructure, Market participants’ intelligence, Market simulator, Markov jump process, Mechanical volatility, Priority value, Queuing model, Tick value, Transaction costs analysis, Volatility

Dynamics of limit order book : statistical analysis, modelling and prediction.

Carnet d'ordre, Etat équilibre, Haute fréquence, Limit order book, Market impact, Order book modeling, Queue priorité, Tick valeur, Tick value