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Publications associées (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

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

Vehicle-to-Grid for Reliable Frequency Regulation

Dirk Lauinger

Future low-carbon societies will need to store vast amounts of electricity to stabilize electricity grids and to power electric vehicles. Vehicle-to-grid allows vehicle owners and grid operators to share the costs of electricity storage by making the batte ...

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

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

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

Quantifying Endogeneity of Cryptocurrency Markets

Thomas Alois Weber, Michael Mark

We construct a ‘reflexivity’ index to measure the activity generated endogenously within a market for cryptocurrencies. For this purpose, we fit a univariate self-exciting Hawkes process with two classes of parametric kernels to high-frequency trading data ...

2022

Nanoplasma-enabled picosecond switches for ultrafast electronics

Elison de Nazareth Matioli, Armin Jafari, Palliyage Srilak Nirmana Perera, Minghua Zhu, Giovanni Santoruvo, Mohammad Samizadeh Nikooytabalvandani

The broad applications of ultrawide-band signals and terahertz waves in quantum measurements, imaging and sensing techniques, advanced biological treatments, and very-high-data-rate communications have drawn extensive attention to ultrafast electronics. In ...

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

Activity-Based Screening of Homogeneous Catalysts through the Rapid Assessment of Theoretically Derived Turnover Frequencies

Matthew Wodrich, Anne-Clémence Corminboeuf, Boodsarin Sawatlon

In homogeneous catalysis, the turnover frequency (TOF) and turnover number (TON) are the most commonly used quantities that experimentally describe catalytic activity. Computational studies, on the other hand, generally yield the ubiquitous free energy pro ...

AMER CHEMICAL SOC2019

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

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

Efficient Online Processing for Advanced Analytics

Mohamed Elsayed Mohamed Ahmed El Seidy

With the advent of emerging technologies and the Internet of Things, the importance of online data analytics has become more pronounced. Businesses and companies are adopting approaches that provide responsive analytics to stay competitive in the global ma ...

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

Why Don't All Banks Practice Regulatory Arbitrage? Evidence from Usage of Trust-Preferred Securities

Rüdiger Fahlenbrach

We investigate why only some banks use regulatory arbitrage. We predict that banks wanting to be riskier than allowed by capital regulations (constrained banks) use regulatory arbitrage, while others do not. We find support for this hypothesis using trust- ...

Oxford Univ Press Inc2016

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

Essays on the Market Structure and Pricing of Credit Derivatives

Jan Benjamin Junge

This thesis analyzes the interrelation between market structure and price formation in credit derivatives markets. Traditionally, credit derivatives are traded in relatively opaque over-the-counter markets in which trading is segmented and subject to many ...

EPFL2016