Library

The goal of the website is to become a showcase for the QMI and to encourage exchange between research and professionals by becoming for example a public library of research articles and computer code relating to quantitative management themes.

Annual reports

Working Papers

2016

  • Allen, D.E., McAleer, M. and Singh A.K., An entropy based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series. Working paper.
  • Allen, D.E., McAleer, M. and Singh A.K., Daily Market News Sentiment and Stock Prices. Working Paper.
  • Allard, M., Bronsard, C., and C. Gourieroux, Aversion to Impatience, Uncertainty and Illiquidity”, submitted Annals of Economics and Statistics.
  • Auray,S., and C., Gourieroux: Procyclicité des régulations Financières, CREST Working Paper.
  • Baltas A.-K., and R. Kosowski, Momentum Strategies in Futures Markets and Trend-following Funds. Working paper.
  • Becam, A., Darolles. S. and Le Fol, G., Serial correlation and time-varying liquidity in the hedge fund industry, QMI Working paper.
  • Becam, A., Darolles. S. and Le Fol, G., Smoothed Returns and Managers' skills, QMI Working paper.
  • Borgy, V., Idier, J. and Le Fol, G., Liquidity Problems in the FX market: Ask for the BIL, Working paper SSRN.
  • Calamia, A., Deville L. and F. Riva, The Provision of Liquidity in ETFs: Theory and Evidence from European Markets, Working Paper.
  • Darolles, S., Dubecq, S., and C., Gourieroux. Contagion analysis in the banking sector. Working paper.
  • Darolles, S., Dudek, J. and Le Fol, G., MLiq a Meta Liquidity Measure, working paper Université Paris - Dauphine.
  • Darolles, S., C. Francq and S. Laurent. Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas”, Working paper, submitted to Journal of Econometrics.
  • Darolles, S., Gagliardini, P., and C., Gourieroux: Survival of Hedge Funds: Frailty vs Contagion, Working paper.
  • S. Darolles, G. Le Fol and R. Sun, Liquidity Risk and Investor Behavior: Issues, Data and Models", Working paper.
  • Darolles S., and G. Roussellet, Hedge fund portfolio management with illiquid assets, working paper.
  • Darolles, S. and Vaissié, M., The Benefits of Dynamic Risk Management: Mitigating Downside Risk Without Compromising Long-Term Growth Prospects, Working paper SSRN.
  • Deville, L., J. Raposo, and F. Riva, "Event studies and (endogenous) zero returns", working paper.
  • Dungey, M. and E. Renault, Identifying Contagion. QMI’ Working paper.
  • Duvaut, P. and Jay, E., ODERIM (Outlier Detection for Risk Management), Mimeo.
  • Francq, C., and J.M., Zakoian, Joint Inference on Market and Estimation Risks in Dynamic Portfolio”, Working paper.
  • Francq, C., and J.M., Zakoian, Expected Shortfall Estimation in Volatility Models”, Working paper.
  • Gagliardini, P., Gourieroux, C., and M., Rubin, Positional Portfolio Management, Working paper. submitted Journal of Financial Econometrics.
  • Gourieroux, C., and J.C., Heam, "Funding Liquidity Risk in a Regulatory Perspective", submitted Journal of Banking and Finance.
  • Gourieroux, C., and J., Jasiak, Misspecification of Noncausal Order in Autoregressive Processes”, R&R Journal of Econometrics.
  • Gourieroux, C., Jasiak, J., and A., Monfort, Stationary Dynamic Equilibria in Rational Expectations Models”, submitted Journal of Econometrics.
  • Gourieroux, C., and Y., Lu, " Long Term Care and Longevity", R&R, Journal of Econometrics.
  • Gourieroux, C., and A., Monfort (2016), Economic Scenario Generators and Incomplete Markets”, CREST Working paper.
  • Gourieroux, C., Monfort, A., and J.M., Zakoian (2016), Pseudo-Maximum Likelihood and Lie Groups of Linear Transformation”, submitted Econometrica.
  • Gatheral J., T. Jaisson, and M., Rosenbaum, Volatility is rough, Working paper.
  • Haas M. D. and M. A. Zoican (2016), Beyond the Frequency Wall: Speed and Liquidity on Batch Auction Markets, Working paper. This paper received the Josseph de la Vega Prize 2016.
  • Huang W., C.-A. Lehalle, and M. Rosenbaum, How to predict the consequences of a tick value change? Evidence from the Tokyo Stock Exchange pilot program, Working paper.
  • Jurczenko E., T. Michel and J. Teiletche, "Generalized Risk-Based Investing", Working Paper SSRN.
  • Jurczenko E. and J. Teiletche, "Active Risk-Based Investing", Working Paper SSRN.
  • Jurczenko E. and J. Teiletche, "Risk-based Investing: but what Risk(s)", Working paper.
  • Khapko M. and M. Zoican, ‘Smart’ Settlement, Working Paper SSRN.
  • Lou D., and C. Polk, The Booms and Busts of Beta Arbitrage: Measuring the extent of the Low-Beta Crowd. Working paper.
  • Menkveld, A. and V. van Kervel, High-Frequency Trading around Large Institutional Orders. Working paper.
  • Menkveld, A., E. Pagnotta and M. Zoican, “Does Central Clearing affect Price Stability? Evidence from the Nordic Equity Markets”, Working paper and SSRN 2350762, Revise and resubmit at the Journal of Financial Economics.
  • Mero G, “Measuring Hedge Fund Performances: A Markov Regime Switching with False Discoveries Approach”, Working Paper.
  • Rosenthal D. W. R., Trading-Related Skill Across Investment Funds, Mimeo.

 

2015

  • Allen, D.E., McAleer, M. and Singh A.K., An entropy based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series. Working paper.
  • Allen, D.E., McAleer, M. and Singh A.K., Daily Market News Sentiment and Stock Prices. Working Paper.
  • Auray,S., and C., Gourieroux: Procyclicité des régulations Financières, CREST Working Paper.
  • Bacry E., and J.-F. Muzy, Hawkes model for price and trades high-frequency dynamics, Working paper.
  • Baltas A.-K., and R. Kosowski, Momentum Strategies in Futures Markets and Trend-following Funds. Working paper.
  • Becam, A., Darolles. S. and Le Fol, G., Serial correlation and time-varying liquidity in the hedge fund industry, QMI Working paper.
  • Becam, A., Darolles. S. and Le Fol, G., Smoothed Returns and Managers' skills, QMI Working paper.
  • Borgy, V., Idier, J. and Le Fol, G., Liquidity Problems in the FX market: Ask for the BIL, Working paper SSRN.
  • Cai, J., M. Fukasawa, M. Rosenbaum and P. Tankov, Optimal discretization of hedging strategies with directional views, Working Paper.
  • Calamia, A., Deville L. and Riva, F., Liquidity in ETFs: What really Matters?, Working Paper.
  • Darolles, S., Dubecq, S., and C., Gourieroux. Contagion analysis in the banking sector. Working paper.
  • Darolles, S. Dudek, J. and Le Fol, G., Liquidity risk and contagion for liquid funds, Working paper Université Paris – Dauphine.
  • Darolles, S. Dudek, J. and Le Fol, G., MLiq a Meta Liquidity Measure, working paper Université Paris - Dauphine.
  • Darolles, S., Francq, C., Le Fol, G. and J.M. Zakoian. Liquidity risk estimation in conditional volatility models. Working paper, submitted to Annals of Economics and Statistics.
  • Darolles, S., Gagliardini, P., and C., Gourieroux: Survival of Hedge Funds: Frailty vs Contagion.
  • Darolles, S., Gourieroux, C. and Jay, E., Robust Portfolio Allocation with Systematic Risk Contribution Restrictions. Working paper SSRN.
  • Darolles S., G. Le Fol, and Mero G., Financial Market Liquidity: Who is acting strategically. Working paper SSRN, Revise and re-submit Journal of Econometrics.
  • Darolles, S. and Vaissié, M., The Benefits of Dynamic Risk Management: Mitigating Downside Risk Without Compromising Long-Term Growth Prospects, Working paper SSRN.
  • Dungey, M. and E. Renault, Identifying Contagion. Working Paper.
  • Duvaut, P. and Jay, E., ODERIM (Outlier Detection for Risk Management), Mimeo.
  • Francq, C. and J.M. Zakoïan, Joint inference on market and estimation risks in dynamic portfolios. MPRA paper 68100.
  • Gagliardini, P., Gourieroux, C., and M., Rubin, Positional Portfolio Management, Mimeo.
  • Gatheral J., T. Jaisson, and M., Rosenbaum, Volatility is rough, Working paper.
  • Gourieroux, C., and J.C., Heam, Funding Liquidity Risk in a Regulatory Perspective, CREST Working paper.
  • Gourieroux, C., and J., Jasiak, Misspecification of Causal and Noncausal Orders in Autoregressive Processes, submitted Journal of Econometrics.
  • Gourieroux, C., and Y., Lu, Long Term Care and Longevity, CREST Working Paper.
  • Gourieroux, C., and A., Monfort, Revisiting Identification and Estimation in Structural VARMA Models, CREST DP.
  • Huang W., C.-A. Lehalle, and M. Rosenbaum, How to predict the consequences of a tick value change? Evidence from the Tokyo Stock Exchange pilot program, Working paper.
  • Jurczenko E., T. Michel and J. Teiletche, "Generalized Risk-Based Investing", Working Paper SSRN.
  • Jurczenko E. and J. Teiletche, "Active Risk-Based Investing", Working Paper SSRN.
  • Lou D., and C. Polk, The Booms and Busts of Beta Arbitrage: Measuring the extent of the Low-Beta Crowd. Mimeo.
  • Menkveld, A. and V. van Kervel, Predatory Trading in Equity Markets. Mimeo.
  • Menkveld, A., E. Pagnotta and M. Zoican, “Does Central Clearing affect Price Stability? Evidence from the Nordic Equity Markets”, Working paper and SSRN 2350762, Revise and resubmit at the Journal of Financial Economics.
  • Mero G, “Measuring Hedge Fund Performances: A Markov Regime Switching with False Discoveries Approach”, Working Paper.
  • Rosenthal D. W. R., Trading-Related Skill Across Investment Funds, Mimeo.
     

2014

  • Allen, D.E., McAleer, M. and Singh A.K., An entropy based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series. Working paper.
  • Allen, D.E., McAleer, M. and Singh A.K., Daily Market News Sentiment and Stock Prices. Working Paper.
  • Auray,S., and C., Gourieroux: Procyclicite des regulations Financieres, CREST Working Paper.
  • Bacry E., and J.-F. Muzy, Hawkes model for price and trades high-frequency dynamics, Working paper, submitted to SIAM Journal of Financial Mathematics.
  • Baltas A.-K., and R. Kosowski, Momentum Strategies in Futures Markets and Trend-following Funds. Mimeo.
  • Becam, A., Darolles. S. and Le Fol, G., Smoothed Returns and Managers' skills, Working paper.
  • Borgy, V., Idier, J. and Le Fol, G., Liquidity Problems in the FX market: Ask for the BIL, Working paper SSRN.
  • Cai, J., M. Fukasawa, M. Rosenbaum and P. Tankov, Optimal discretization of hedging strategies with directional views, Working Paper.
  • Calamia, A., Deville L. and Riva, F., Liquidity in ETFs: What really Matters?, Working Paper.
  • Dayri, K. and Rosenbaum, M., Large tick assets: implicit spread and optimal tick size, Working paper.
  • Darolles, S., Dubecq, S., and C., Gourieroux. Contagion analysis in the banking sector. Working paper.
  • Darolles, S. Dudek, J. and Le Fol, G., MLiq a Meta Liquidity Measure, working paper Université Paris - Dauphine.
  • Darolles, S., Francq, C., Le Fol, G. and J.M. Zakoian. Liquidity risk estimation in conditional volatility models. Working paper.
  • Darolles, S., Gagliardini, P., and C., Gourieroux: Survival of Hedge Funds: Frailty vs Contagion.
  • Darolles, S. and C., Gourieroux. The effect of management and provision accounts on hedge fund returns, submitted to The International Journal of Approximate Reasoning.
  • Darolles, S., Gourieroux, C. and Jay, E., Robust Portfolio Allocation with Systematic Risk Contribution Restrictions. Working paper SSRN.
  • Darolles S., G. Le Fol, and Mero G., Financial Market Liquidity: Who is acting strategically. Working paper SSRN.
  • Darolles, S. and Vaissié, M., The Benefits of Dynamic Risk Management: Mitigating Downside Risk Without Compromising Long-Term Growth Prospects, Working paper SSRN.
  • Dungey, M. and E. Renault, Identifying Contagion. Mimeo.
  • Duvaut, P. and Jay, E., ODERIM (Outlier Detection for Risk Management), Mimeo.
  • Gagliardini, P., Gourieroux, C., and M., Rubin, Positional Portfolio Management, Mimeo.
  • Gatheral J., T. Jaisson, and M., Rosenbaum, Volatility is rough, Working paper.
  • Gagliardini, P., and C., Gouriéroux, Correlated Risks vs Contagion in Stochastic Transition Models, Working paper.
  • Gagliardini, P., and C., Gourieroux, Identification by Laplace Transform in Nonlinear Panel or Time Series Models with Unobserved Stochastic Dynamic Effects, CREST DP.
  • Gagliardini, P., and C., Gourieroux, Double Instrumental Variable Estimation of Interaction Models with Big Data, CREST DP.
  • Gagliardini, P., Gourieroux, C., and M., Rubin, Positional Portfolio Management, CREST DP.
  • Gourieroux, C., and J.C., Heam, Funding Liquidity Risk in a Regulatory Perspective, submitted Journal of Banking and Finance.
  • Gourieroux, C ., and J., Jasiak, Filtering, Prediction and Estimation of Noncausal Processes, under revision Journal of Time Series Analysis.
  • Gourieroux, C., and J., Jasiak, Misspecification of Causal and Noncausal Orders in Autoregressive Processes, submitted Journal of Econometrics.
  • Gourieroux, C., Jasiak, J., and P., Xu, Non tradable S&P 500 Index and the Prices of its Traded Derivatives, CREST DP 2013-05
  • Gourieroux, C., and Y., Lu, Long Term Care and Longevity, submitted Review of Economic Studies.
  • Gouriéroux, C. and Monfort A., Allocating Systemic Risk in a Regulatory Perspective, Working paper. In revision for International Journal of Theoretical and Applied Finance.
  • Gourieroux, C., and A., Monfort, Revisiting Identification and Estimation in Structural VARMA Models, CREST DP.
  • Gourieroux, C., and A., Monfort, Statistical Inference for Independent Component Analysis”, CREST DP.
  • Gourieroux, C., and J.M., Zakoian, Explosive Bubble Modelling by Noncausal Process, under revision Econometrica
  • Gourieroux, C., and J.M., Zakoian, On uniqueness of moving average representations of heavy-tailed stationary processes, MPRA paper 54907, submitted
  • Huang W., C.-A. Lehalle, and M. Rosenbaum: Simulating and analyzing order book data: The queue-reactive model, Working Paper.
  • Heinen, A., Keenan, D. and Kim M.-L., Contagious Defaults: Evidence from Subprime Mortgages, Mimeo.
  • Jurczenko E., T. Michel and J. Teiletche, "Generalized Risk-Based Investing", Working Paper SSRN.
  • Lou D., and C. Polk, The Booms and Busts of Beta Arbitrage: Measuring the extent of the Low-Beta Crowd. Mimeo.
  • Menkveld, A. and V. van Kervel, Predatory Trading in Equity Markets. Mimeo.
  • Mero G, “Measuring Hedge Fund Performances: A Markov Regime Switching with False Discoveries Approach”, Working Paper.
  • Rosenthal D. W. R., Trading-Related Skill Across Investment Funds, Mimeo. 

2013

  • Abergel F., C.-A. Lehalle and M. Rosenbaum, "Understanding the stakes of high frequency trading", Institut Louis Bachelier.
  • Allen, D.E., McAleer, M. and Singh A.K., An entropy based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series. Working paper.
  • Allen, D.E., McAleer, M. and Singh A.K., Daily Market News Sentiment and Stock Prices. Working Paper.
  • Auray,S., and C., Gourieroux, "Procyclicite des regulations Financieres",CREST Working Paper.
  • Bacry E., and J.-F. Muzy, Hawkes model for price and trades high-frequency dynamics, Working paper, submitted to SIAM Journal of Financial Mathematics.
  • Baltas A.-K., and R. Kosowski, Momentum Strategies in Futures Markets and Trend-following Funds. Mimeo.
  • Becam, A., Darolles. S. and Le Fol, G., Smoothed Returns and Managers' skills, Working paper.
  • Borgy, V., Idier, J. and Le Fol, G., Liquidity Problems in the FX market: Ask for the BIL, Working paper SSRN.
  • Calamia, A., Deville L. and Riva, F., Liquidity in ETFs: What really Matters?, Working Paper.
  • Dayri K., and M. Rosenbaum, "Large tick assets: implicit spread and optimal tick size", Working paper.
  • Darolles, S. Dudek, J. and Le Fol, G., MLiq a Meta Liquidity Measure, working paper Université Paris - Dauphine.
  • Darolles,S., Gagliardini,P., and C., Gourieroux, " Survival of Hedge Funds: Frailty vs Contagion", under revision Journal of Finance.
  • Darolles, S., Gourieroux, C. and Jay, E., Robust Portfolio Allocation with Systematic Risk Contribution Restrictions (October 25, 2012). Working paper SSRN. Submitted to Statistics & Risk Modelling.
  • Darolles S., C. Gouriéroux, and E. Jay, "Portfolio Allocation with Budget and Risk Contribution Restrictions", Working paper.
  • Darolles S., and Le Fol, G., Trading Volume and Arbitrage. Working Paper.
  • Darolles S., Le Fol, G. and Mero G., The liquidity Part of Volume. Working paper SSRN. Submitted to Journal of Banking and Finance.
  • Darolles S., G. Le Fol, and Mero G., Tracking Illiquidities in Intradaily and Daily Characteristics. Working paper SSRN.
  • Darolles, S. and Vaissié, M., The Benefits of Dynamic Risk Management: Mitigating Downside Risk Without Compromising Long-Term Growth Prospects, Working paper SSRN.
  • Dungey, M. and E. Renault, Identifying Contagion. Mimeo.
  • Duvaut, P. and Jay, E., ODERIM (Outlier Detection for Risk Management), Mimeo.
  • Gagliardini,P.,Gourieroux,C., and M., Rubin, " Positional Portfolio Management', Mimeo.
  • Gagliardini, P. and Gouriéroux, C., Correlated Risks vs Contagion in Stochastic Transition Models, Working paper.
  • Gourieroux,C., and J.C., Heam, " Funding Liquidity Risk in a Regulatory Perspective",CREST DP
  • Gourieroux,C., Jasiak,J., and P., Xu, " Non tradable S&P 500 Index and the Prices of its Traded Derivatives",CREST DP 2013-05
  • Gouriéroux, C. and Monfort A., Allocating Systemic Risk in a Regulatory Perspective, Working paper. In revision for International Journal of Theoretical and Applied Finance.
  • Gourieroux,C., and J.M., Zakoian: "Explosive Bubble Modelling by Noncausal Process",CREST DP 2013-04
  • Huang W., C.-A. Lehalle, and M. Rosenbaum: "Simulating and analyzing order book data: The queue-reactive model", Working Paper.
  • Heinen, A., Keenan, D. and Kim M.-L., Contagious Defaults: Evidence from Subprime Mortgages, Mimeo.
  • Jurczenko E., T. Michel, and J. Teiletche, "Generalized Risk-Based Investing", Working paper.
  • Lou D., and C. Polk, The Booms and Busts of Beta Arbitrage: Measuring the extent of the Low-Beta Crowd. Mimeo.
  • Menkveld, A. and V. van Kervel, Predatory Trading in Equity Markets. Mimeo.
  • Rosenbaum, M. and Tankov, P., Asymptotically optimal discretization of hedging strategies with jumps, working paper.
  • Rosenthal D. W. R., Trading-Related Skill Across Investment Funds, Mimeo.