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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Topic in mean field games theory & applications in economics and quantitative finance.

Auto-organisation, Bertrand & Cournot Models, Exécution Optimal, Jeux à Champ Moyen, Jeux à N-Joueurs, Mean Field Games, Modèles de Bertrand & Cournot, N-Person Games, Nash equilibria, Nonlinear Coupled PDE Systems, Optimal Trading, Self-organization, Systèmes d’EDP non Linéaires Couplées, Équilibres de Nash

Mean Field Game of Controls and An Application To Trade Crowding.

Crowding, Mean field games, Optimal liquidation, Optimal trading, Stochastic control

Mean field game of controls and an application to trade crowding.

Crowding, Mean field games, Optimal liquidation, Optimal trading, Stochastic control

Stochastic Impulse Control with Uncertainty in Finance and Insurance.

Bayesian filtering, CAT bond, Contrôle optimal, Filtrage Bayesien, Incertitude, Incidence sur le marché, Market impact, Obligation catastrophe, Optimal control, Optimal trading, Trading optimal, Uncertainty

Quantitative finance at the microstructure scale : algorithmic trading and regulation.

Make-Take fees, Market microstructure, Market-Making, Microstructure des marchés, Optimal trading, Options trading, Regulation, Régulation, Trading d'options, Trading optimal

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

Mathematical Models to Study and Control the Price Formation Process.

Apprentissage statistique, Market impact, Microstructure, Optimal trading, Statistical learning, Trading optimal

Topic in mean field games theory & applications in economics and quantitative finance.

Auto-organisation, Bertrand & Cournot Models, Exécution Optimal, Jeux à Champ Moyen, Jeux à N-Joueurs, Mean Field Games, Modèles de Bertrand & Cournot, N-Person Games, Nash equilibria, Nonlinear Coupled PDE Systems, Optimal Trading, Self-organization, Systèmes d’EDP non Linéaires Couplées, Équilibres de Nash

An optimal trading problem in intraday electricity markets.

Delay, Intraday electricity markets, Jumps, Linear-quadratic control problem, Market impact, Optimal trading, Power plant, Renewable energy

Quantitative finance at the microstructure scale : algorithmic trading and regulation.

Make-Take fees, Market microstructure, Market-Making, Microstructure des marchés, Optimal trading, Options trading, Regulation, Régulation, Trading d'options, Trading optimal