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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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

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

Optimal equity infusions in interbank networks.

Financial contagion, Liquidity risk, Markov decision process, Rollover risk, Systemic risk

Acyclic Gambling Games.

90C40, 91A60, Asymptotic and Uniform Value, Gambling Theory, Markov Decision Process, Mertens-Zamir System, Secondary 60G40, Splitting Games Classification Primary 91A15, Zero-Sum Stochastic Games

Acyclic Gambling Games.

Asymptotic and uniform value, Gambling theory, Markov decision process, Mertens-Zamir system, Splitting games, Zero-sum stochastic games

Mean-field Markov decision processes with common noise and open-loop controls.

Conditional propagation of chaos, Markov decision process, Mea- surable coupling, Mean-field, Randomized control