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
2017

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.

Baltas A.K., and R. Kosowski, Momentum Strategies in Futures Markets and Trendfollowing Funds. Working paper.

Becam, A., Darolles. S. and Le Fol, G., Serial correlation and timevarying 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 TimeVarying 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 LongTerm Growth Prospects, Working paper SSRN.

Deville, L., J. Raposo, and F. Riva, "Event studies and (endogenous) zero returns", 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 (2017): " Positional Portfolio Management”, submitted Journal of Financial Econometrics.

Gatheral J., T. Jaisson, and M., Rosenbaum, Volatility is rough, Working paper.

Gourieroux, C. (2017): “The Least Impulse Response Estimator for Stress Test Exercices”, CRESTDP.

Gourieroux, C., and J.C., Heam (2016): "Funding Liquidity Risk in a Regulatory Perspective", submitted Journal of Banking and Finance.

Gourieroux, C., and J., Jasiak (2017): “A Stochastic Tree with Application to Bubble Modelling and Pricing”, CRESTDP.

Gourieroux, C., Jasiak, J., and A., Monfort (2017): “Stationary Dynamic Equilibria in Rational Expectations Models”, R&R, Journal of Econometrics.

Gourieroux, C., Monfort, A., and J.P., Renne (2017): “Disastrous Defaults”, CRESTDP.

Gourieroux, C., and Y., Lu (2017): " Long Term Care and Longevity", R&R, Journal of Econometrics.

Gourieroux, C., and Y., Lu (2017): “Staying at the ZeroLower Bound with Embedded Markov Chain”, CRESTDP.

Gourieroux, C., and A., Monfort (2017): “Economic Scenario Generators and Incomplete Markets”, CREST DP.

Gourieroux, C., Monfort, A., and J.M., Zakoian (2017): “Consistent PseudoMaximum Likelihood and Groups of Transformation”, R&R, Econometrica.

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 RiskBased Investing", Working Paper SSRN.

Jurczenko E. and J. Teiletche, "Riskbased Investing: but what Risk(s)", Working paper.

Jurczenko E. et J. Teiletche (2018), "RiskBased Allocation for Illiquid and Alternative Investments", 21 pages.

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 LowBeta Crowd. Working paper.

Menkveld, A. and V. van Kervel, HighFrequency 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., TradingRelated Skill Across Investment Funds, Mimeo.
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 Trendfollowing Funds. Working paper.

Becam, A., Darolles. S. and Le Fol, G., Serial correlation and timevarying 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 TimeVarying 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 LongTerm 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), PseudoMaximum 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 RiskBased Investing", Working Paper SSRN.

Jurczenko E. and J. Teiletche, "Active RiskBased Investing", Working Paper SSRN.

Jurczenko E. and J. Teiletche, "Riskbased 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 LowBeta Crowd. Working paper.

Menkveld, A. and V. van Kervel, HighFrequency 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., TradingRelated 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 highfrequency dynamics, Working paper.

Baltas A.K., and R. Kosowski, Momentum Strategies in Futures Markets and Trendfollowing Funds. Working paper.

Becam, A., Darolles. S. and Le Fol, G., Serial correlation and timevarying 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 resubmit Journal of Econometrics.

Darolles, S. and Vaissié, M., The Benefits of Dynamic Risk Management: Mitigating Downside Risk Without Compromising LongTerm 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 RiskBased Investing", Working Paper SSRN.

Jurczenko E. and J. Teiletche, "Active RiskBased Investing", Working Paper SSRN.

Lou D., and C. Polk, The Booms and Busts of Beta Arbitrage: Measuring the extent of the LowBeta 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., TradingRelated 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 highfrequency dynamics, Working paper, submitted to SIAM Journal of Financial Mathematics.

Baltas A.K., and R. Kosowski, Momentum Strategies in Futures Markets and Trendfollowing 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 LongTerm 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 201305

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 heavytailed stationary processes, MPRA paper 54907, submitted

Huang W., C.A. Lehalle, and M. Rosenbaum: Simulating and analyzing order book data: The queuereactive 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 RiskBased Investing", Working Paper SSRN.

Lou D., and C. Polk, The Booms and Busts of Beta Arbitrage: Measuring the extent of the LowBeta 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., TradingRelated 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 highfrequency dynamics, Working paper, submitted to SIAM Journal of Financial Mathematics.

Baltas A.K., and R. Kosowski, Momentum Strategies in Futures Markets and Trendfollowing 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 LongTerm 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 201305

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 201304

Huang W., C.A. Lehalle, and M. Rosenbaum: "Simulating and analyzing order book data: The queuereactive 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 RiskBased Investing", Working paper.

Lou D., and C. Polk, The Booms and Busts of Beta Arbitrage: Measuring the extent of the LowBeta 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., TradingRelated Skill Across Investment Funds, Mimeo.