Catégorie

Analyse quantitative (économie)

Publications associées (19)

Self-Exciting Point Processes: Identification and Control

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

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

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

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

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

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

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

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

Three Essays on Corporate Disclosure

Evgeny Petrov

Corporate disclosure is the most important source of information about the firm for the outside investors. While some disclosure of public firms is mandated by regulation, firm managers can provide extra information at their discretion by making voluntary ...

EPFL2017

Inventory dynamics in process industries: An empirical investigation

Ralf Seifert, Philipp Urs Moser, Olov Isaksson

Process industry firms have thrived in recent decades, but changes in the markets are currently putting both growth and profitability at risk. In this context, inventory management is increasingly viewed as an essential lever for creating a sustainable com ...

Elsevier2017

Infrequent Rebalancing, Return Autocorrelation, and Seasonality

Vincent Jean Bogousslavsky

A model of infrequent rebalancing can explain specific predictability patterns in the time series and cross-section of stock returns. First, infrequent rebalancing produces return autocorrelations that are consistent with empirical evidence from intraday r ...

Wiley-Blackwell2016

A Robust Noncooperative Meta-Game for Climate Negotiation in Europe

Alain Haurie, Marc Vielle, Frédéric Louis François Babonneau

In this paper we define and solve a ‘robust game design’ problem that could be used to assess the fair sharing of the abatement burden among the 28 EU countries in their coming climate negotiations. The problem consists in finding a distribution of a globa ...

Birkhauser Boston2016

An Algorithm for Testing the Efficient Market Hypothesis

Ioana Andreea Boboc

The objective of this research is to examine the efficiency of EUR/USD market through the application of a trading system. The system uses a genetic algorithm based on technical analysis indicators such as Exponential Moving Average (EMA), Moving Average C ...

Public Library of Science2013

A Robust Meta-Game for Climate Negotiations

Alain Haurie, Marc Vielle, Frédéric Louis François Babonneau

This paper deals with an application of the robust equilibrium concept in game theory to the assessment of the possible international agreement on climate that could be achieved in the conference of the parties negotiations organized by the UNFCCC. It is s ...

Springer Verlag2013

Demystifying Rational Financial Decision-Making : Insights from Neurofinance

Anjali Devi Vanapilli Nursimulu

Is the human brain wired for wealth? The setting is the high-velocity financial environment. Undoubtedly, the development of sophisticated derivative instruments has improved the allocation of risk across economies, highlighting the nexus between banking a ...

EPFL2011

Agile Views in a Dynamic Data Management System

Christoph Koch, Yanif Ahmad

This paper calls for a new breed of lightweight systems - dynamic data management systems (DDMS). In a nutshell, a DDMS manages large dynamic data structures with agile, frequently fresh views, and provides a facility for monitoring these views and trigger ...

2011

Does information drive trading in option strategies?

Rüdiger Fahlenbrach

We study trading in option strategies in the FTSE-100 index market. Trades in option strategies represent around 37% of the total number of trades and over 75% of the total trading volume in our sample. We find some evidence that order flow in volatility-s ...

Elsevier2010

Exploring the Nature of "Trader Intuition"

Experimental evidence has consistently confirmed the ability of uninformed traders, even novices, to infer information from the trading process. After contrasting brain activation in subjects watching markets with and without insiders, we hypothesize that ...

2010

Concurrency and dynamic protocol update for group communication middleware

Olivier Rütti

The last three decades have seen computers invading our society: computers are now present at work to improve productivity and at home to enlarge the scope of our hobbies and to communicate. Furthermore, computers have been involved in many critical system ...

EPFL2009