Concept

Algorithmic trading

Related publications (27)

Machine Learning for Modeling Stock Returns

Throughout history, the pace of knowledge and information sharing has evolved into an unthinkable speed and media. At the end of the XVII century, in Europe, the ideas that would shape the "Age of Enlightenment" were slowly being developed in coffeehouses, ...

EPFL2024

Portfolio Construction with Hierarchical Momentum

Urban Ulrych

This article presents a portfolio construction approach that combines the hierarchical clustering of a large asset universe with the stock price momentum. On one hand, investing in high-momentum stocks enhances returns by capturing the momentum premium. On ...

Pageant Media Ltd2024

uKharon: A Membership Service for Microsecond Applications

Rachid Guerraoui, Antoine Murat, Javier Picorel Obando, Athanasios Xygkis

Modern data center fabrics open the possibility of microsecond distributed applications, such as data stores and message queues. A challenging aspect of their development is to ensure that, besides being fast in the common case, these applications react fa ...

USENIX Association2023

Mortgage-backed securities

Andreas Fuster

This paper reviews the mortgage-backed securities (MBS) market, with a particular emphasis on agency residential MBS in the United States. We discuss the institutional environment, security design, MBS risks and asset pricing, and the economic effects of m ...

Edward Elgar2023

Self-Exciting Point Processes: Identification and Control

Michael Mark

This thesis addresses theoretical and practical aspects of identification and subsequent control of self-exciting point processes. The main contributions correspond to four separate scientific papers. In the first paper, we address the challenge of robust ...

EPFL2022

Hybrid Flock - Formation Control Algorithms

Alcherio Martinoli, Cyrill Silvan Baumann, Jonas Perolini, Emna Tourki

Two prominent categories for achieving coordinated multirobot displacement are flocking and navigation in formation. Both categories have their own body of literature and characteristics, including their respective advantages and disadvantages. While typic ...

Springer Nature Switzerland2022

Essays in Empirical Asset Pricing

Alexis Arilès Marchal

This thesis consists of three applications of machine learning techniques to empirical asset pricing. In the first part, which is co-authored work with Oksana Bashchenko, we develop a new method that detects jumps nonparametrically in financial time series ...

EPFL2022

Online Dating Quantification Practices: A Human-Machine Learning Process

Jessica Carolina Pidoux

The phenomenon of online dating via web and mobile phone applications involves several actors: graphical interfaces, developers, algorithmic systems for user matching, and users. These actors have been studied in parallel by the social sciences and by comp ...

EPFL2021

Slow Moving Capital and Trade Execution Costs: Evidence from a major trading Glitch

Pierre Collin Dufresne, Vincent Jean Bogousslavsky

We investigate the impact of an exogenous trading glitch at a high-frequency market-making firm on standard measures of stock liquidity (spreads, price impact, turnover, and depth) and institutional trading costs (implementation shortfall and VWAP slippage ...

2021

Liquidity regimes and optimal dynamic asset allocation

Pierre Collin Dufresne

We solve a portfolio choice problem when expected returns, covariances, and trading costs follow a regime-switching model. The optimal policy trades towards an aim portfolio given by a weighted-average of the conditional mean-variance-efficient portfolios ...

ELSEVIER SCIENCE SA2020

Trading mechanisms in over-the-counter markets

Sebastian Vogel

In the chapter ``When to Introduce Electronic Trading Platforms in Over-the-Counter Markets?'' An equilibrium in a market is determined in which traders have the choice between using an electronic platform with a request-for-quote protocol or calling a dea ...

EPFL2020

Market Structure and Transaction Costs of Index CDSs

Pierre Collin Dufresne, Jan Benjamin Junge

Despite regulatory efforts to promote all-to-all trading, the post-Dodd-Frank index credit default swap market remains two-tiered. Transaction costs are higher for dealer-to-client than interdealer trades, but the difference is explained by the higher, lar ...

WILEY2020

Potential Integration of Chinese and European Emissions Trading Market: Welfare Distribution Analysis

Marc Vielle, Sigit Pria Perdana, Ru Li

Central to the aims of the Paris Agreement, a multilateral coordinated action through integrated carbon markets has been a practical bottom up option for effective and efficient mitigation. This paper quantifies the welfare effects of potential integration ...

2020

The CDS-bond basis

Pierre Collin Dufresne

We investigate the cross-sectional variation in the credit default swap (CDS)-bond bases and test explanations for the violation of the arbitrage relation between cash bond and CDS contract, which states that the basis should be zero in normal conditions. ...

WILEY2019

Pricing interest rate, dividend, and equity risk

Sander Félix M Willems

This thesis studies the valuation and hedging of financial derivatives, which is fundamental for trading and risk-management operations in financial institutions. The three chapters in this thesis deal with derivatives whose payoffs are linked to interest ...

EPFL2019

Communication trade-offs for Local-SGD with large step size

Aymeric Daphnis Kévin Dieuleveut

Synchronous mini-batch SGD is state-of-the-art for large-scale distributed machine learning. However, in practice, its convergence is bottlenecked by slow communication rounds between worker nodes. A natural solution to reduce communication is to use the " ...

NEURAL INFORMATION PROCESSING SYSTEMS (NIPS)2019

Percolation and Internet Science

Emanuele Massaro

Percolation, in its most general interpretation, refers to the “flow” of something (a physical agent, data or information) in a network, possibly accompanied by some nonlinear dynamical processes on the network nodes (sometimes denoted reaction–diffusion s ...

2019

Equilibrium Models for Derivatives Markets with Frictions

Yuan Zhang

This thesis develops equilibrium models, and studies the effects of market frictions on risk-sharing, derivatives pricing, and trading patterns. In the chapter titled "Imbalance-Based Option Pricing", I develop an equilibrium model of fragmented options m ...

EPFL2018

From COP21 pledges to a fair 2°C pathway

Marc Vielle, Frédéric Louis François Babonneau, Alain Haurie

At COP21, about 160 countries proposed the so-called INDCs that define GHG abatement objectives by 2030. While encouraging, these commitments are not ambitious enough to achieve the 2°C threshold by 2100, and further negotiations are needed for sharing the ...

2018

Three Essays on Predictability and Seasonality in the Cross-Section of Stock Returns

Vincent Jean Bogousslavsky

This thesis examines predictability and seasonality in the cross-section of stock returns. The first chapter, titled ``Infrequent Rebalancing, Return Autocorrelation, and Seasonality,'' shows that a model of infrequent rebalancing can explain specific pred ...

EPFL2017