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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Performance measurement and liquidity in the hedge fund industry.

Autocorrélation, Econometrics, Econométrie, Hedge funds, Limite à l'arbitrage, Limits to arbitrage, Liquidity, Liquidité, Mesure de performance, Modèles à facteurs, Multiple factors models, Performance measurement, Prime de risque, Risk premium, Serial-Correlation

Heterogeneity, financialization and price formation in commodity derivative markets.

Commodities, Derivative markets, Effet Samuelson, Financialization, Financiarisation, Marchés dérivés, Matières premières, Prime de risque, Risk premium, Samuelson effect, Structure par terme, Term structure

Heterogeneity, financialization and price formation in commodity derivatives markets.

Commodities, Derivative markets, Effet Samuelson, Financialization, Financiarisation, Marchés dérivés, Matières premières, Prime de risque, Risk premium, Samuelson effect, Structure par terme, Term structure

Evolutionary beliefs and financial markets.

Belief formation, Evolutionary game theory, Heterogeneous beliefs, Pessimism, Risk premium

Financial market failures and public intervention.

Biens publics, Crises financières, Défaillances de marché, Financial crisis, Lender of last resort, Liquidity risk, Market failures, Maturity transformation, Primes de risque, Prêteur en dernier ressort, Public goods, Risk premium, Risque de liquidité, Transformation de maturité

Performance measurement and liquidity in the hedge fund industry.

Autocorrélation, Econometrics, Econométrie, Hedge funds, Limite à l'arbitrage, Limits to arbitrage, Liquidity, Liquidité, Mesure de performance, Modèles à facteurs, Multiple factors models, Performance measurement, Prime de risque, Risk premium, Serial-Correlation

Essays in international finance : risk, jumps and diversification.

Biais domestique, Co-sauts, Cojumps, Données à haute fréquence., Effet de levier, High frequency data, Home bias, Leverage effect, Prime de risque, Risk premium