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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Robustness of the optimal trading strategy.

Analyse technique, Calcul stochastique, Estimation de tendance, Finance quantitative, Inference of hidden Markov models, Merton, Quantitative finance, Ratio de Sharpe, Robustesse, Robustness, Sharpe ratio, Stochastic calculus, Technical analysis, Trading

M-estimation and Median of Means applied to statistical learning.

Apprentissage Statistique, Machine Learning, Median of Means, Médiane des moyennes, Robustesse, Robustness

Localization methods with applications to robust learning and interpolation.

Fast-Rates, Interpolation, Localisation, Localization, Robustesse, Robustness, Vitesses rapides

A MOM-based ensemble method for robustness, subsampling and hyperparameter tuning.

Hyperparameter tuning, MOM-based ensemble method, Robustness

Contributions to the theoretical study of variational inference and robustness.

Inférence variationnelle, Machine learning, Robustesse, Robustness, Statistics, Statistique, Variational inference

Reliability optimization of structures: methods and applications to vibration control.

Chaos polynomial, Contrôle des vibrations, Fiabilité, Formulation séquentielle, Monte Carlo, Optimisation, Optimization, Polynomial chaos, Reliability, Robustesse, Robustness, Sequential formulation, Vibration control

Robust and Bias-Corrected Estimation of the Probability of Extreme Failure Sets.

Bias-correction, Failure set, Robustness, Tail dependence, Tail quantile process

Sharper asset ranking from total drawdown durations.

Efficiency, Estimator, Heavy tails, Robustness, Sharpe ratio