Scientific project

Investment and quantitative trading strategies are based on a comparison of future earnings with estimation of the risks involved. This research initiative aims to explore these two directions (gains and risks) through comprehensive, well-defined case studies.

Current research focuses on the “resilience” of the market broadly conceived and on the formation of expectations. Resilience describes how prices are relaxed or tightened after strong buying or selling pressure (termed “market impact”, which is resilient to a greater or lesser extent depending on how order books respond), and how correlations are influenced by or influence investment strategies (termed “mean reversion”). Empirical and theoretical studies are conducted on these different directions. With regard to the formation of expectations, the work studies the formation of expectations on the forecasting of earnings, as well as their implications for risk premia, measured by the implicit cost of capital.

Research themes:

Theme 1. Analysis at different time scales of market impact, mean reversion and resilience on the basis of structural modelling of market behaviour

Theme 2. Analysis of the formation of investor expectations on core variables (company results) and their relationship to market prices

Scientific officers

Charles-Albert Lehalle
Charles-Albert Lehalle
Paul  Besson
Paul Besson

Academic Partner

Economic Partner